Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

Edited by Greg N. Gregoriou and Razvan Pascalau

in Palgrave Macmillan Books from Palgrave Macmillan

Date: 2011
ISBN: 978-0-230-29521-6
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Chapters in this book:

Ch 1 Valuing Equity when Discounted Cash Flows are Markov

Jeremy Berkowitz

Ch 2 Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence

Massimo Guidolin and Federica Ria

Ch 3 A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets

Thomas C. Chiang, Zhuo Qiao and Wing-Keung Wong

Ch 4 Nonlinear Persistence and Copersistence

Christian Gourieroux and Joann Jasiak

Ch 5 Fractionally Integrated Models for Volatility: A Review

Dean Fantazzini

Ch 6 An Explanation for Persistence in Share Prices and their Associated Returns

Derek Bond and Kenneth A. Dyson

Ch 7 Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data

Mohamed Arouri, Fredj Jawadi, Wael Louhichi and Duc Khuong Nguyen

Ch 8 Sparse-Patterned Wavelet Neural Networks and Their Applications to Stock Market Forecasting

Jack Penm and R. D. Terrell

Ch 9 Nonlinear Cointegration and Nonlinear Error-Correction Models: Theory and Empirical Applications for Oil and Stock Markets

Mohamed El Hedi Arouri, Fredj Jawadi and Duc Khuong Nguyen

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DOI: 10.1057/9780230295216

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