Edhec-Risk
Asset Pricing
Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

Authors: Edited by Greg N. Gregoriou and Razvan Pascalau
Editions: Palgrave Macmillan
Pages: 196 pages
Date: December 2010
 
 
 
Summary
This book introduces 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.

About the Editors:

Greg N. Gregoriou is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC-Risk Institute, Nice, France. He has published 50 books, more than 55 refereed publications and 22 book chapters. His research interests focus on Hedge Funds, Funds of Hedge Funds and Managed Futures.

Razvan Pascalau is Assistant Professor of Economics at State University of New York at Plattsburgh, USA. His fields of interest are Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.
 
 

URL for this document:
http://www.edhec-risk.com/edhec_publications/books/RISKBook.2010-09-01.3511

Hyperlinks in this document: