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Empirical Dynamic Asset Pricing : Model Specification and Econometric Assessment by Kenneth J. Singleton is a nonfiction available to read on EtoBox.

What is Empirical Dynamic Asset Pricing : Model Specification and Econometric Assessment about?

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 S

Who reads Empirical Dynamic Asset Pricing : Model Specification and Econometric Assessment?

Author

Kenneth J. Singleton

Publisher

Princeton: Princeton University Press

Published

2006

Language

EN

ISBN

9786612608032

Category

nonfiction

Subjects

Business, Finance, Economics