This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions t

This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series,

Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibi

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new fi

This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it consider