Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment经验动态资产定价：模型说明与计量经济学评定 mobi 下载 网盘 caj lrf pdf txt 阿里云

This book fills a huge gap. It goes beyond the detailed de*ion 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.

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

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作者简介：

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).

书籍介绍

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.