Empirical dynamic asset pricing : model specification and econometric assessment /
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| Author / Creator: | Singleton, Kenneth J. |
|---|---|
| Imprint: | Princeton : Princeton University Press, c2006. |
| Description: | xiv, 480 p. : ill. ; 25 cm. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5813339 |
Table of Contents:
- 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 [theta subscript 0]
- 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 H[subscript 0]
- 5. Affine 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
- 9.1. Economic Motivations for Examining Asset Return Predictability
- 9.2. Market Microstructure Effects
- 9.3. A Digression on Unit Roots in Time Series
- 9.4. Tests for Serial Correlation in Returns
- 9.5. Evidence on Stock-Return Predictability
- 9.6. Time-Varying Expected Returns on Bonds
- 10. Consumption-Based DAPMs
- 10.1. Empirical Challenges Facing DAPMs
- 10.2. Assessing Goodness-of-Fit
- 10.3. Time-Separable Single-Good Models
- 10.4. Models with Durable Goods
- 10.5. Habit Formation
- 10.6. Non-State-Separable Preferences
- 10.7. Other Preference-Based Models
- 10.8. Bounds on the Volatility of m[superscript n subscript t]
- 11. Pricing Kernels and Factor Models
- 11.1. A Single-Beta Representation of Returns
- 11.2. Beta Representations of Excess Returns
- 11.3. Conditioning Down and Beta Relations
- 11.4. From Pricing Kernels to Factor Models
- 11.5. Methods for Testing Beta Models
- 11.6. Empirical Analyses of Factor Models
- III. No-Arbitrage DAPMs
- 12. Models of the Term Structure of Bond Yields
- 12.1. Key Ingredients of a DTSM
- 12.2. Affine Term Structure Models
- 12.3. Continuous-Time Affine DTSMs
- 12.4. Discrete-Time Affine DSTMs
- 12.5. Quadratic-Gaussian Models
- 12.6. Nonaffine Stochastic Volatility Models
- 12.7. Bond Pricing with Jumps
- 12.8. DTSMs with Regime Shifts
- 13. Empirical Analyses of Dynamic Term Structure Models
- 13.1. Estimation of DTSMs
- 13.2. Empirical Challenges for DTSMs
- 13.3. DTSMs of Swap and Treasury Yields
- 13.4. Factor Interpretations in Affine DTSMs
- 13.5. Macroeconomic Factors and DTSMs
- 14. Term Structures of Corporate Bond Spreads
- 14.1. DTSMs of Defaultable Bonds
- 14.2. Parametric Reduced-Form Models
- 14.3. Parametric Structural Models
- 14.4. Empirical Studies of Corporate Bonds
- 14.5. Modeling Interest Rate Swap Spreads
- 14.6. Pricing Credit Default Swaps
- 14.7. Is Default Risk Priced?
- 15. Equity Option Pricing Models
- 15.1. No-Arbitrage Option Pricing Models
- 15.2. Option Pricing
- 15.3. Estimation of Option Pricing Models
- 15.4. Econometric Analysis of Option Prices
- 15.5. Options and Revealed Preferences
- 15.6. Options on Individual Common Stocks
- 16. Pricing Fixed-Income Derivatives
- 16.1. Pricing with Affine DTSMs
- 16.2. Pricing Using Forward-Rate Models
- 16.3. Risk Factors and Derivatives Pricing
- 16.4. Affine Models of Derivatives Prices
- 16.5. Forward-Rate-Based Pricing Models
- 16.6. On Model-Basing Hedging
- 16.7. Pricing Eurodollar Futures Options
- References
- Index
