Empirical Dynamic Asset Pricing
Model Specification and Econometric Assessment
By (author) Kenneth J. Singleton
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Empirical Dynamic Asset Pricing by Kenneth J. Singleton
Book DescriptionWritten 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.
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Book DetailsISBN: 9780691122977
(229mm x 152mm x 38mm)
Imprint: Princeton University Press
Publisher: Princeton University Press
Publish Date: 6-Mar-2006
Country of Publication: United States
Books By Author Kenneth J. Singleton
New Approaches to Monetary Economics, Paperback (January 2009)
New Approaches to Monetary Economics brings together presentations of innovative research in the field of monetary economics.
Credit Risk, Hardback (January 2003)» View all books by Kenneth J. Singleton
Offers a treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. This book models credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. It is intended as a resource for researchers and students.
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Author Biography - Kenneth J. Singleton
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 Duffie, of "Credit Risk: Pricing, Management, and Measurement" (Princeton).
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