Empirical Dynamic Asset Pricing | Model Specification and Econometric Assessment
Idioma: inglés
Editorial: Princeton University Press, 2006
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Empirical Dynamic Asset Pricing | Model Specification and Econometric Assessment | Kenneth J. Singleton | Buch | Englisch | 2006 | Princeton University Press | EAN 9780691122977 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand.
N° de ref. del artículo 132521837
- Título
- Empirical Dynamic Asset Pricing | Model Specification and Econometric Assessment
- Autor
- Kenneth J. Singleton
- Editorial
- Princeton University Press
- Año de publicación
- 2006
- Estado
- Neu
- Encuadernación
- Buch
- Idioma
- inglés
- ISBN 10
- 0691122970
- ISBN 13
- 9780691122977
- Peso del artículo
- 907 gramos
- Dimensiones
- 240 x 161 x 31 mm
- Catálogos de vendedores
- Bücher
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.
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