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Empirical Dynamic Asset Pricing：Model Specification and Econometric Assessment
作者：
Singleton
分類：
行銷企管
／
財務管理•會計
叢書系列：財務其他
出版社：
華泰文化
出版日期：2006/10/4
ISBN：0691122970
書籍編號：kk0159550
頁數：536
定價：
1250
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<a href='https://www.silkbook.com/book_detail.asp?goods_ser=kk0159550'>Empirical Dynamic Asset Pricing：Model Specification and Econometric Assessment</a>
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<b><font color="#aa0000">內容簡介</font></b> 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. <b><font color="#aa0000">目錄</font></b> Ch.1 Introduction PARTI ECONOMETRIC METHODS FOR ANALYZING DAPMS Ch.2 Model Specification and Estimation Strategies Ch.3 Large-Sample Properties of Extremum Estimators Ch.4 Goodness-of-Fit and Hypothesis Testing Ch.5 Affine Processes Ch.6 Simulation-Based Estimators of DAPMs Ch.7 Stochastic Volatility, Jumps, and Asset Returns PARTII PRICING KERNELS, PREFERENCES, AND DAPMS Ch.8 Pricing Kernels and DAPMs Ch.9 Linear Asset Pricing Models Ch.10 Consumption-Based DAPMs Ch.11 Pricing Kernels and Factor Models PARTIII NO-ARBITRAGE DAPMS Ch.12 Models of the Term Structure of Bond Yields Ch.13 Empirical Analyses of Dynamic Term Structure Models Ch.14 Term Structures of Corporate Bond Spreads Ch.15 Equity Option Pricing Models Ch.16 Pricing Fixed-Income Derivatives
看漫畫學會計與財務管
漫畫 搶救瀕死公司大
別想了，人生就是一本
專技普考記帳士 會計
圖解統計學：徹底搞懂
把統計學剝光光：用直
圖解商用統計學入門：
財報就像一本故事書【
統計分析入門與應用(
不需公式！一看就懂的
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