作　　者： Kenneth J. Singleton　著
出 版 社： Oversea Publishing House

• 出版时间： 2006-3-1
• 字　　数：
• 版　　次： 1
• 页　　数： 480
• 印刷时间： 2006-3-1
• 开　　本：
• 印　　次：
• 纸　　张： 胶版纸
• I S B N ： 9780691122977
• 包　　装： 精装

所属分类： 图书 >> 进口原版书 >> 经管与理财 Business & Investing
定价：￥678.00 当当价：￥560.00 折扣：83折 节省：￥118.00



Preface
Acknowledgments
1 Introduction
　1.1. Model Implied Restrictions
　1.2. Econometric Estimation Strategies
Ⅰ Econometric Methods for Analyzing DAPMs
　2 Model Specification and Estimation Strategies
　　2.1. Full Information about Distributions
　　2.2. No Information about the Distribution
　　2.3. Limited Information: GMM Estimators
　　2.4. Summary of Estimators
　3 Large-Sample Properties of Extremum Estimators
　　3.1. Basic Probability Model
　　3.2. Consistency: General Considerations
　　3.3. Consistency of Extremum Estimators
　　3.4. Asymptotic Normality of Extremum Estimators
　　3.5. Distributions of Specific Estimators
　　3.6. Relative Efficiency of Estimators
　4　Goodness-of-Fit and Hypothesis Testing
　　4.1. GMM Tests of Goodness-of-Fit
.　　4.2. Testing Restrictions on 00
　　4.3. Comparing LR, Wald, and LM Tests
　　4.4. Inference for Sequential Estimators
　　4.5. Inference with Unequal-Length Samples
　　4.6. Underidentified Parameters under H0
　5 Affme Processes
5.1. Affine Processes: Overview
5.2. Continuous-Time Affine Processes
5.3. Discrete-Time Affine Processes
5.4. Transforms for Affine Processes
5.5. GMM Estimation of Affine Processes
5.6. ML Estimation of Affine Processes
5.7. Characteristic Function-Based Estimators
　6 Simulation-Based Estimators of DAPMs
6.1. Introduction
6.2. SME: The Estimation Problem
6.3. Consistency of the SME
6.4. Asymptotic Normality of the SME
6.5. Extensions of the SME
6.6. Moment Selection with SME
6.7. Applications of SME to Diffusion Models
　　6.8. Markov Chain Monte Carlo Estimation
　7 Stochastic Volatility, Jumps, and Asset Returns
7.1. Preliminary Observations about Shape
7.2. Discrete-Time Models
7.3. Estimation of Discrete-Time Models
7.4. Continuous-Time Models
7.5. Estimation of Continuous-Time Models
7.6. Volatility Scaling
7.7. Term Structures of Conditional Skewness and Kurtosis
Ⅱ Pricing Kernels, Preferences, and DAPMs
　8　Pricing Kernels and DAPMs
　　8.1. Pricing Kernels
　　8.2. Marginal Rates of Substitution as q*
　　8.3. No-Arbitrage and Risk-Neutral Pricing
　9　Linear Asset Pricing Models
10 Conumption-Based DAPMs
11 Pricing Dernels and Factor Models
Ⅲ No-Arbitrage DAPMs
12 Mordels of the Term Structure of Bond Yields
13 Empirical Analyses of Dynamic Term Structure Models
14 Term Structures of Corporate Bond Spreads
15 Equity Option Pricing Models
16 Pricing Fixed-Income Derivatives
References
Index