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

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.

Greg N. Gregoriou is Professor of Finance at State University of New York at Pittsburgh, USA. He is also Research Associate at EDHEC Business School, 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.

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.Fantazzani
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