Empirical Dynamic Asset Pricing

Model Specification and Econometric Assessment

Kenneth J. Singleton

500 pages, parution le 27/04/2006

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Résumé

Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities.

Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures.

As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.

L'auteur - Kenneth J. Singleton

Kenneth J. Singleton is the C.O.G. Miller Distinguished Professor of Finance at the Graduate School of Business, Stanford University. He is the author of numerous articles in professional journals and an editor of the Review of Financial Studies.

Sommaire

Econometric Methods for Analyzing DAPMs
- Model Specification and Estimation Strategies
- Large-Sample Properties of Extremum Estimators
- Goodness-of-Fit and Hypothesis Testing
- Affine Processes
- Simulation-Based Estimators of DAPMs
- Stochastic Volatility, Jumps, and Asset Returns
Pricing Kernels, Preferences, and DAPMs
- Pricing Kernels and DAPMs
- Linear Asset Pricing Models
- Consumption-Based DAPMs
- Pricing Kernels and Factor Models
No-Arbitrage DAPMs
- Models of the Term Structure of Bond Yields
- Empirical Analyses of Dynamic Term Structure Models
- Term Structures of Corporate Bond Spreads
- Equity Option Pricing Models
- Pricing Fixed-Income Derivatives

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Princeton University Press
Auteur(s)	Kenneth J. Singleton
Parution	27/04/2006
Nb. de pages	500
Format	16 x 24
Couverture	Relié
Poids	825g
Intérieur	Noir et Blanc
EAN13	9780691122977
ISBN13	978-0-691-12297-7