Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonli
152,55 €
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.
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