Overview

Full Product Details

Author:   Greg N. Gregoriou ,  Razvan Pascalau
Publisher:   Palgrave Macmillan
Imprint:   Palgrave Macmillan
Dimensions:   Width: 15.20cm , Height: 1.40cm , Length: 22.90cm
Weight:   0.465kg
ISBN:  

9780230283640

ISBN 10:   0230283640
Pages:   196
Publication Date:   08 December 2010
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

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.Fantazzini 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

Reviews

Author Information

JEREMY BERKOWITZ Associate Professor of Finance at Bauer College of Business, University of Houston, USA DEREK BOND Senior Lecturer in Financial Econometrics at the University of Ulster, UK THOMAS C. CHIANG Marshall M. Austin Professor of Finance at Drexel University, USA MICHAEL DREW Professor of Finance and Head of Finance and Financial Planning at Griffith Business School, Griffith University, Australia KENNETH DYSON Lecturer in Finance at the University of Ulster, UK MOHAMED EL HEDI AROURI Associate Professor of Finance at the University of Orleans, France DEAN FANTAZZINI Associate Professor in Econometrics and Finance at the Moscow School of Economics, Moscow State University, Russia CHRISTIAN GOURIEROUX Professor in the Department of Economics, University of Toronto, Canada MASSIMO GUIDOLIN Chair Professor of Finance at Manchester Business School, UK JOANN JASIAK Associate Professor in the Department of Economics, York University, Canada FREDJ JAWADI Assistant Professor at AmiensSchool of Management, France DUC KHUONG NGUYEN Professor of Finance and Head of the Department of Economics, Finance and Law at ISC Paris School of Management, France JACK PENM Academic Level D at the Australian National University, Australia ZHUO QIAO holds a Ph.D.in Economics from National University of Singapore FEDERICA RIA research affiliate with the Center for Analysis of Investment Risk, at Manchester Business School, UK WING-KEUNG WONG Professor of Economics of Department of Economics and Institute for Computational Mathematics, Hong Kong Baptist University, Hong Kong.

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions