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Nonlinear Financial Econometrics "Markov Switching Models, Persistence And Nonlinear Cointegration"

Markov Switching Models, Persistence And Nonlinear Cointegration

Nonlinear Financial Econometrics "Markov Switching Models, Persistence And Nonlinear Cointegration". Markov Switching Models, Persistence And Nonlinear Cointegration

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  • ISBN:9780230283640
  • Editorial: Palgrave
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:304
  • Idiomas:Ingles

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This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models. In particular, the book proposes that there are substantial differences between 'bull' and 'bear' market efficient portfolios that need to be taken into account when building diversified portfolios. Also, the book proposes a new concept of persistence that may be used to define and better understand the concept of nonlinear cointegration. In addition, the book reviews the recent developments of using fractional integrated models to model stock market volatility and suggests a new explanation for the persistence observed in share prices and their associated returns. Lastly, the book develops a new procedure that involves using the bootstrap to build vector error correction models and as an application, investigates the nonlinear relationship between oil and stock markets, respectively

PART I: MARKOV SWITCHING MODELS Valuing Equity when Discounted Cash-Flows are Markov; J.Berkowitz Markov Switching Mean-Variance Efficient Frontier Dynamics: Theory and International Evidence; M.Guidolin & F.Ria A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets; T.C.Chiang, Z.Qiao & W.-K.Wong PART II: PERSISTENCE AND NONLINEAR COINTEGRATION Nonlinear Persistence and Cointegration; C.Gourieroux & J.Jasiak Fractionally Integrated Models for Volatility: A Review; D.Fantazzani An Explanation for Persistence in Share Prices and their Associated Returns; D.Bond & K.A.Dyson Nonlinear Shift Contagion Modelling: Further Evidence from High Frequency Stock Data; M.El Hedi Arouri, F.Jawadi, W.Couhichi & D.K.Nguyen Selection of the Extended State-Space VECM Modelling, Using the Bootstrap; J.Penm & R.D. Terrell Nonlinear Cointegration and Nonlinear Error Correction Models: Theory and Empirical Applications for Oil and Stock Markets; M.El Hedi Arouri, F.Jawadi & D.K.Nguyen

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