Empirical dynamic asset pricing : model specification and econometric assessment / Kenneth J. Singleton.

Format:

Book

Author/Creator:

Singleton, Kenneth J., author.

Language:

English

Subjects (All):

Capital assets pricing model.

Pricing--Econometric models.

Pricing.

Physical Description:

1 online resource (497 p.)

Place of Publication:

Princeton ; Oxford : Princeton University Press, [2006]

Language Note:

English

Summary:

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 t

Contents:

pt. 1. Econometric methods for analyzing DAPMs

pt. 2. Pricing kernels, preferences, and DAPMs

pt. 3. No-arbitrage DAPMs.

Notes:

La pagination de l'edition imprimee correspondante est de 496 p.

Numerisation de l'edition de Princeton, NJ, USA : Princeton University Press, 2006.

Titre provenant de la page de titre du document numerise.

Includes bibliographical references (p. 435-464) and index.

Description based on print version record.

ISBN:

9786612608032

9781282608030

1282608037

9781400829231

1400829232

OCLC:

609855996