Description: Empirical Dynamic Asset Pricing : Model Specification & Econometric Assessment, Hardcover by Singleton, Kenneth J., ISBN 0691122970, ISBN-13 9780691122977, Like New Used, Free shipping in the US
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 th interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singletons previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, th will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
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Book Title: Empirical Dynamic Asset Pricing : Model Specification & Econometr
Number of Pages: 496 Pages
Publication Name: Empirical Dynamic Asset Pricing : Model Specification and Econometric Assessment
Language: English
Publisher: Princeton University Press
Subject: Marketing / General, Finance / General, Econometrics
Publication Year: 2006
Item Height: 1.3 in
Item Weight: 28 Oz
Type: Textbook
Item Length: 9.4 in
Subject Area: Business & Economics
Author: Kenneth J. Singleton
Item Width: 6.6 in
Format: Hardcover
