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

  • Greg N. Gregoriou
  • Razvan Pascalau

Table of contents

  1. Front Matter
    Pages i-xix
  2. Markov Switching Models

    1. Front Matter
      Pages 1-1
  3. Persistence and Nonlinear Cointegration

    1. Front Matter
      Pages 75-75
    2. Christian Gourieroux, Joann Jasiak
      Pages 77-103
    3. Mohamed El Hedi Arouri, Fredj Jawadi, Wael Louhichi, Duc Khuong Nguyen
      Pages 143-160
  4. Back Matter
    Pages 194-196

About this book


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.


cointegration dynamics econometrics integration modeling volatility

Editors and affiliations

  • Greg N. Gregoriou
    • 1
    • 2
  • Razvan Pascalau
    • 1
  1. 1.State University of New YorkPlattsburghUSA
  2. 2.Research Associate EDHEC Business SchoolNiceFrance

Bibliographic information