Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment

by Kenneth J. Singleton

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...

• Format: Hardcover
• Language: English
• ISBN: 0691122970
• ISBN13: 9780691122977
• Release Date: March 2006
• Publisher: Princeton University Press
• Length: 496 Pages
• Weight: 1.81 lbs.
• Dimensions: 1.5" x 6.5" x 9.5"