【书名】Empirical Dynamic Asset Pricing：Model Specification and Econometric Assessment
【作者】Kenneth J. Singleton
【出版社】Princeton University Press
【版本】1st edition
【出版日期】2006
【文件格式】PDF
【文件大小】4.02MB
【页数】536
【ISBN出版号】0691122970
【资料类别】计量金融学
【市面定价】￥678.00
【扫描版还是影印版】影印版
【是否缺页】否
【关键词】Empirical Dynamic Asset Pricing，Econometric Assessment
【内容简介】
    This book fills a huge gap. It goes beyond the detailed description of methodology to provide a critical overview of findings in the literature. As a result, it not only offers the state of the art, but identifies the paths for future research--an invaluable textbook feature. With more than twenty-five years' worth of incredibly influential research on the topic, Kenneth Singleton was the perfect person to write it.
【目录】
Preface xi
Acknowledgments xiii
Chapter 1: Introduction 1
Chapter 2: Model Specification and Estimation Strategies 17
Chapter 3: Large-Sample Properties of Extremum Estimators 35
Chapter 4: Goodness-of-Fit and Hypothesis Testing 71
Chapter 5: Affine Processes 98
Chapter 6: Simulation-Based Estimators of DAPMs 130
Chapter 7: Stochastic Volatility, Jumps, and Asset Returns 158
Chapter 8: Pricing Kernels and DAPMs 195
Chapter 9: Linear Asset Pricing Models 211
Chapter 10: Consumption-Based DAPMs 246
Chapter 11: Pricing Kernels and Factor Models 282
Chapter 12: Models of the Term Structure of Bond Yields 311
Chapter 13: Empirical Analyses of Dynamic Term Structure Models 338
Chapter 14: Term Structures of Corporate Bond Spreads 364
Chapter 15: Equity Option Pricing Models 391
Chapter 16: Pricing Fixed-Income Derivatives 412
Index 465
【书评】
     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 the American Finance Association and was previously an editor of the Review of Financial Studies. He is coauthor, with Darrell Duffle, of Credit Risk: Pricing, Management, and Measurement (Princeton).
    "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 pricing kernels, preferences and dynamic asset pricing models and (iii) of no-arbitrage based dynamic asset pricing models. The book contains sixteen chapters and really does provide for much more than an overview of those three broad topics mentioned above."--Emmanuel Haven, Mathematical Reviews
    "Writing a treatise about empirical asset pricing is as much art as it is science. Professor Singleton intertwines these two dimensions with remarkable skill to provide a critical review of the field. . . . The book accomplishes the goal of great clarity without compromising on the depth of the treatment. . . . The author deserves special praise for encouraging the reader to perceive various compromises involved in financial modeling. The text provides a road map for novices and inspiration for seasoned researchers in the field. As such, it is certain to become a classic of empirical asset pricing."--Anna Cieslak, Financial Markets and Portfolio Management
    "Writing a treatise about empirical asset pricing is as much art as it is science. Professor Singleton intertwines these two dimensions with remarkable skill to provide a critical review of the field. As such Empirical Dynamic Asset Pricing extends far beyond a textbook treatment of the subject. It gives the reader a unique opportunity to look at dynamic asset pricing models through the eyes of a researcher who has shaped their development during 25 years of his influential work."--Anna Cieslak, Financial Markets and Portfolio Management