Title
Empirical Dynamic Asset Pricing: Model Specification And Econometric Assessment,Used
Delivery time: 8-12 business days (International)
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 indepth treatment of the econometric methods used in analyzing financial timeseries models. The remainder explores the goodnessoffit of preferencebased and noarbitrage models of equity returns and the term structure of interest rates; equity and fixedincome 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 goodnessoffit, 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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We provide a 2-year limited warranty, from the date of purchase for all our products.
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This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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