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.
General
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