Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment

product description:

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.

Shoppingbag.pk's Advice

• Before ordering any product, please make sure the product technically fulfills your need and contains no illegal ingredients (e.g., wine, alcohol, pig, pork, animal-based gelatin, etc.) or contents.
• For technical support or manufacturer's warranty of the products found on shoppingbag.pk, you can contact directly with the original manufacturer or visit their website.
• We are your importer of goods from the USA, UK, China, Russia, etc., and will not provide any technical support, product warranty, or quality check.
• Our enlarged and enhanced product pictures may differ slightly from the original products. Also, read product reviews and ratings before buying.
• Since dollar rate keep fluctuating so prices are not confirmed on our website
• We take 30% advance of the total value and remaining payment done at the time of delivery.
• We are assuming you have read our terms and conditions and agreed with them.