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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：
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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
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