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Empirical Dynamic Asset Pricing (Original)
作  /  譯    者 : Kenneth J. Singleton
I S B N -  13 : 9780691122977
I S B N -  10 : 0691122970
類             別: 財務其他
版             次: 1 版
年             份: 2006
規             格: 536 頁
出     版     商: Princeton
     

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.

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Ch.1 Introduction

PARTI ECONOMETRIC METHODS FOR ANALYZING DAPMS
Ch.2 Model Specification and Estimation Strategies
Ch.3 Large-Sample Properties of Extremum Estimators
Ch.4 Goodness-of-Fit and Hypothesis Testing
Ch.5 Affine Processes
Ch.6 Simulation-Based Estimators of DAPMs
Ch.7 Stochastic Volatility, Jumps, and Asset Returns

PARTII PRICING KERNELS, PREFERENCES, AND DAPMS
Ch.8 Pricing Kernels and DAPMs
Ch.9 Linear Asset Pricing Models
Ch.10 Consumption-Based DAPMs
Ch.11 Pricing Kernels and Factor Models

PARTIII NO-ARBITRAGE DAPMS
Ch.12 Models of the Term Structure of Bond Yields
Ch.13 Empirical Analyses of Dynamic Term Structure Models
Ch.14 Term Structures of Corporate Bond Spreads
Ch.15 Equity Option Pricing Models
Ch.16 Pricing Fixed-Income Derivatives

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