Empirical Dynamic Asset Pricing : : Model Specification and Econometric Assessment / / Kenneth J. Singleton.
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 financia...
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| Superior document: | Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
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| Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2009] ©2006 |
| Year of Publication: | 2009 |
| Language: | English |
| Online Access: | |
| Physical Description: | 1 online resource (496 p.) :; 32 line illus.26 tables. |
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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