Empirical Dynamic Asset Pricing : Model Specification and Econometric Assessment /
Singleton, Kenneth J.
Empirical Dynamic Asset Pricing : Model Specification and Econometric Assessment / Kenneth J. Singleton. - 1 online resource (496 p.) : 32 line illus.26 tables.
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
restricted access http://purl.org/coar/access_right/c_16ec
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.
Mode of access: Internet via World Wide Web.
In English.
9781400829231
10.1515/9781400829231 doi
BUSINESS & ECONOMICS / Econometrics.
Arbitrage. Asymptotic distribution. Autocorrelation. Autocovariance. Autoregressive conditional heteroskedasticity. Bayesian inference. Bayesian probability. Bond Yield. Capital asset pricing model. Central limit theorem. Collateral Value. Conditional expectation. Conditional probability distribution. Conditional variance. Consistent estimator. Correlation and dependence. Covariance function. Covariance matrix. Credit risk. Credit spread (options). Discount function. Discrete time and continuous time. Doubly stochastic model. Dynamic pricing. Econometric model. Economic equilibrium. Economics. Equity premium puzzle. Ergodic process. Estimation theory. Estimation. Estimator. Expectations hypothesis. Expected value. Forecasting. Forward price. Forward rate. General equilibrium theory. Generalized method of moments. High-yield debt. Inference. Interest rate risk. Interest rate. Investment Horizon. Investment strategy. Investor. Joint probability distribution. LIBOR market model. Leverage (finance). Likelihood function. Liquidity premium. Liquidity risk. Margin (finance). Marginal rate of substitution. Marginal utility. Market Risk Premium. Market capitalization. Market liquidity. Market portfolio. Market price. Market value. Markov model. Markov process. Mathematical finance. Monetary policy. Objective Probability. Option (finance). Parameter. Partial equilibrium. Portfolio insurance. Precautionary savings. Predictability. Preference (economics). Present value. Price index. Pricing. Principal component analysis. Probability. Real interest rate. Repurchase agreement. Revaluation of fixed assets. Risk aversion. Risk management. Risk premium. Skewness. Special case. Standard deviation. State variable. Statistic. Stochastic differential equation. Stochastic volatility. Supply (economics). Time series. Underlying Security. Utility maximization problem. Utility. Variable (mathematics). Vector autoregression. Yield curve. Yield spread.
HG4515.2 .S55 2008
332.6
Empirical Dynamic Asset Pricing : Model Specification and Econometric Assessment / Kenneth J. Singleton. - 1 online resource (496 p.) : 32 line illus.26 tables.
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
restricted access http://purl.org/coar/access_right/c_16ec
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.
Mode of access: Internet via World Wide Web.
In English.
9781400829231
10.1515/9781400829231 doi
BUSINESS & ECONOMICS / Econometrics.
Arbitrage. Asymptotic distribution. Autocorrelation. Autocovariance. Autoregressive conditional heteroskedasticity. Bayesian inference. Bayesian probability. Bond Yield. Capital asset pricing model. Central limit theorem. Collateral Value. Conditional expectation. Conditional probability distribution. Conditional variance. Consistent estimator. Correlation and dependence. Covariance function. Covariance matrix. Credit risk. Credit spread (options). Discount function. Discrete time and continuous time. Doubly stochastic model. Dynamic pricing. Econometric model. Economic equilibrium. Economics. Equity premium puzzle. Ergodic process. Estimation theory. Estimation. Estimator. Expectations hypothesis. Expected value. Forecasting. Forward price. Forward rate. General equilibrium theory. Generalized method of moments. High-yield debt. Inference. Interest rate risk. Interest rate. Investment Horizon. Investment strategy. Investor. Joint probability distribution. LIBOR market model. Leverage (finance). Likelihood function. Liquidity premium. Liquidity risk. Margin (finance). Marginal rate of substitution. Marginal utility. Market Risk Premium. Market capitalization. Market liquidity. Market portfolio. Market price. Market value. Markov model. Markov process. Mathematical finance. Monetary policy. Objective Probability. Option (finance). Parameter. Partial equilibrium. Portfolio insurance. Precautionary savings. Predictability. Preference (economics). Present value. Price index. Pricing. Principal component analysis. Probability. Real interest rate. Repurchase agreement. Revaluation of fixed assets. Risk aversion. Risk management. Risk premium. Skewness. Special case. Standard deviation. State variable. Statistic. Stochastic differential equation. Stochastic volatility. Supply (economics). Time series. Underlying Security. Utility maximization problem. Utility. Variable (mathematics). Vector autoregression. Yield curve. Yield spread.
HG4515.2 .S55 2008
332.6