Kenneth J. Singleton Empirical Dynamic Asset Pricing (Hardback) (UK IMPORT)

Description: Further DetailsTitle: Empirical Dynamic Asset PricingCondition: NewEAN: 9780691122977ISBN: 9780691122977Publisher: Princeton University PressFormat: HardbackRelease Date: 03/26/2006Item Height: 235mmItem Length: 152mmItem Weight: 794gAuthor: Kenneth J. SingletonLanguage: EnglishSubtitle: Model Specification and Econometric AssessmentISBN-10: 0691122970Description: 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.Country/Region of Manufacture: USGenre: Business & FinanceRelease Year: 2006 Missing Information?Please contact us if any details are missing and where possible we will add the information to our listing.

Price: 177.34 USD

Location: GU14 0GT

End Time: 2024-11-12T03:41:00.000Z

Shipping Cost: 0 USD