Empirical Dynamic Asset Pricing : : Model Specification and Econometric Assessment / / Kenneth J. Singleton.

• Superior document: Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
• VerfasserIn: Singleton, Kenneth J.,
• Place / Publishing House: Princeton, NJ : : Princeton University Press, , [2009]; ©2006
• Year of Publication: 2009
• Language: English
• Physical Description: 1 online resource (496 p.) :; 32 line illus.26 tables.

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.

Table of Contents

Frontmatter -- Contents -- Preface -- Acknowledgments -- 1 Introduction -- Part I Econometric Methods for Analyzing DAPMs -- 2 Model Specification and Estimation Strategies -- 3 Large-Sample Properties of Extremum Estimators -- 4 Goodness-of-Fit and Hypothesis Testing -- 5 Affine Processes -- 6 Simulation-Based Estimators of DAPMs -- 7 Stochastic Volatility, Jumps, and Asset Returns -- Part II Pricing Kernels, Preferences, and DAPMs -- 8 Pricing Kernels and DAPMs -- 9 Linear Asset Pricing Models -- 10 Consumption-Based DAPMs -- 11 Pricing Kernels and Factor Models -- Part III No-Arbitrage DAPMs -- 12 Models of the Term Structure of Bond Yields -- 13 Empirical Analyses of Dynamic Term Structure Models -- 14 Term Structures of Corporate Bond Spreads -- 15 Equity Option Pricing Models -- 16 Pricing Fixed-Income Derivatives -- References -- Index