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Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment
Kenneth J. Singleton
€ 152.59
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Description for Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment
Hardback. Focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. This book includes the econometric methods used in analyzing financial time-series models, and the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates. Num Pages: 496 pages, 32 line illus.26 tables. BIC Classification: KFFM. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 229 x 152 x 38. Weight in Grams: 828.
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 ... Read more
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 ... Read more
Product Details
Publisher
Princeton University Press United States
Number of pages
496
Format
Hardback
Publication date
2006
Condition
New
Weight
860g
Number of Pages
496
Place of Publication
New Jersey, United States
ISBN
9780691122977
SKU
V9780691122977
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Kenneth J. Singleton
Kenneth J. Singleton is Adams Distinguished Professor of Management and Senior Associate Dean for Academic Affairs at the Graduate School of Business, Stanford University. A Fellow of the Econometric Society, he is the recipient of the organization's Frisch Prize. He is also the recipient of the Smith-Breeden Distinguished Paper Award from the "Journal of Finance". Singleton is a director of ... Read more
Reviews for Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment
"This book is at the intersection of modern time series and modern asset pricing theory... Ken Singleton gives us the ultimate treatise of empirical asset pricing... [I]t is sure to become a classic work in this field."
Economic Dynamics "This seminal book provides for an in-depth treatment (i) of the various econometric methods used in dynamic asset pricing models, (ii) of ... Read more
Economic Dynamics "This seminal book provides for an in-depth treatment (i) of the various econometric methods used in dynamic asset pricing models, (ii) of ... Read more