ISBN 13 : 978-0230283640

Sommaire : Contributors : Jeremy Berkowitz, Massimo Guidolin, Frederica Ria, Thomas C.Chiang, Zhuo Qiao, Wing-Keung Wong, Christian Gourieroux, Joann Jasiak, Dean Fantazzini, Derek Bond, Kenneth A.Dyson, Mohamed El Hedi Arouri, Fredj Jawadi, Waël Louhichi, Duc Khuong Nguyen, Jack Penm, R.D. Terrell.

PART I: Markov switching models

Valuing Equity when Discounted Cash-Flows are Markov
Markov Switching Mean-Variance Efficient Frontier Dynamics: Theory and International Evidence
A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets

PART II: Persistence and nonlinear cointegration

Nonlinear Persistence and copersistence
Fractionally Integrated Models for Volatility: A Review
An Explanation for Persistence in Share Prices and their Associated Returns
Nonlinear Shift Contagion Modelling: Further Evidence from High Frequency Stock Data
Sparse patterned wawelet neural networks and their applications to stock market forecasting
Nonlinear Cointegration and Nonlinear Error Correction Models: Theory and Empirical Applications for Oil and Stock Markets

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque