Nonlinear financial econometrics: Markhov switching models, persistence and nonlinear cointegration
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Basingstoke [u.a.]
Palgrave Macmillan
2011
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIX, 196 S. graf. Darst. |
| ISBN: | 9780230283640 0230283640 |
Internformat
MARC
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| 020 | |a 0230283640 |c (hbk.) £65.00 |9 0-230-28364-0 | ||
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| 245 | 1 | 0 | |a Nonlinear financial econometrics |b Markhov switching models, persistence and nonlinear cointegration |c ed. by Greg N. Gregoriou ... |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Basingstoke [u.a.] |b Palgrave Macmillan |c 2011 | |
| 300 | |a XIX, 196 S. |b graf. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
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| 650 | 0 | 7 | |a Finanzierung |0 (DE-588)4017182-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Markov-Prozess |0 (DE-588)4134948-9 |2 gnd |9 rswk-swf |
| 653 | |a Corporations / Valuation / Econometric models | ||
| 653 | |a Markov processes | ||
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| 700 | 1 | |a Gregoriou, Greg N. |d 1956- |e Sonstige |0 (DE-588)132185016 |4 oth | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020795595&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
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Datensatz im Suchindex
| _version_ | 1804143588372643840 |
|---|---|
| adam_text | Contents
List of
Tables
vii
List of Figures
ix
Acknowledgments
χ
About the Editors
xi
Notes on Contributors
xii
Chapter Abstracts
xvi
Part I Markov Switching Models
1
Valuing Equity when Discounted Cash Flows are Markov
3
¡eremy
Berkowitz
2
Markov Switching Mean-Variance Frontier Dynamics:
Theory and International Evidence
21
Massimo
Guidolin
and
Federica
Ria
3
A Markov Regime-Switching Model of Stock Return
Volatility: Evidence from Chinese Markets
49
Thomas
С
Chiang, Zhuo Qiao and Wing-Keung Wong
Part II Persistence and Nonlinear
Cointegration
4
Nonlinear Persistence and Copersistence
77
Christian Gourienmx and
Joann
fasiak
5
Fractionally Integrated Models for Volatility: A Review
104
Dean
Fantaziím
6
An Explanation for Persistence in Share Prices and their
Associated Returns
124
Derek Bond and Kenneth A. Dyson
vi
Contents
7
Nonlinear Shift Contagion Modeling: Further Evidence from
High Frequency Stock Data
143
Mohamed El Hédi Amuri,
Fredj fawadi, Wael Louhichi and
Due Khuong Nguyen
8
Sparse-Patterned Wavelet Neural Networks and Their
Applications to Stock Market Forecasting
161
Jack Perm and RJ). Terrell
9
Nonlinear
Cointegration
and Nonlinear Error-Correction
Models: Theory and Empirical Applications for Oil and Stock
Markets
171
Mohamed
El Hedi Arouri, Fredj Jawadi and Due Khuong Nguyen
Index
194
|
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| id | DE-604.BV036880192 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T22:50:03Z |
| institution | BVB |
| isbn | 9780230283640 0230283640 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020795595 |
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| physical | XIX, 196 S. graf. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
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| publisher | Palgrave Macmillan |
| record_format | marc |
| spelling | Nonlinear financial econometrics Markhov switching models, persistence and nonlinear cointegration ed. by Greg N. Gregoriou ... 1. publ. Basingstoke [u.a.] Palgrave Macmillan 2011 XIX, 196 S. graf. Darst. txt rdacontent n rdamedia nc rdacarrier Ökonometrisches Modell Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Markov-Prozess (DE-588)4134948-9 gnd rswk-swf Corporations / Valuation / Econometric models Markov processes Ökonometrie (DE-588)4132280-0 s Finanzierung (DE-588)4017182-6 s DE-604 Markov-Prozess (DE-588)4134948-9 s Gregoriou, Greg N. 1956- Sonstige (DE-588)132185016 oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020795595&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nonlinear financial econometrics Markhov switching models, persistence and nonlinear cointegration Ökonometrisches Modell Ökonometrie (DE-588)4132280-0 gnd Finanzierung (DE-588)4017182-6 gnd Markov-Prozess (DE-588)4134948-9 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4017182-6 (DE-588)4134948-9 |
| title | Nonlinear financial econometrics Markhov switching models, persistence and nonlinear cointegration |
| title_auth | Nonlinear financial econometrics Markhov switching models, persistence and nonlinear cointegration |
| title_exact_search | Nonlinear financial econometrics Markhov switching models, persistence and nonlinear cointegration |
| title_full | Nonlinear financial econometrics Markhov switching models, persistence and nonlinear cointegration ed. by Greg N. Gregoriou ... |
| title_fullStr | Nonlinear financial econometrics Markhov switching models, persistence and nonlinear cointegration ed. by Greg N. Gregoriou ... |
| title_full_unstemmed | Nonlinear financial econometrics Markhov switching models, persistence and nonlinear cointegration ed. by Greg N. Gregoriou ... |
| title_short | Nonlinear financial econometrics |
| title_sort | nonlinear financial econometrics markhov switching models persistence and nonlinear cointegration |
| title_sub | Markhov switching models, persistence and nonlinear cointegration |
| topic | Ökonometrisches Modell Ökonometrie (DE-588)4132280-0 gnd Finanzierung (DE-588)4017182-6 gnd Markov-Prozess (DE-588)4134948-9 gnd |
| topic_facet | Ökonometrisches Modell Ökonometrie Finanzierung Markov-Prozess |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020795595&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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