Model Specification and Econometric Assessment – Empirical Dynamic Asset Pricing
Description
Written by one of the leading experts in the field, this book focuses on the interaction between Model Specification, data collection, and econometric testing of dynamic asset price models. The first chapters provide an in-depth treatment of econometric methods used in the analysis of financial Time series models.
The rest explore the goodness-of-fit of preference-based, non-arbitrage models of capital returns and the temporal structure of interest rates; the prices of fixed-income and fixed-income derivatives; and the prices of unpayable securities.
Singleton addresses the constraints on joint distributions of asset returns and other economic variables implicit in dynamic asset price models, as well as the interaction between model formulation and econometric estimation strategy choice.
For each pricing problem, it provides a complete overview of empirical evidence on goodness of fit, with tables and graphs that facilitate critical assessment of the current state of relevant literatures.
As an additional feature, Singleton includes throughout the book interesting trivia from new research.
These range from empirical results (not reported elsewhere, or updated from earlier Singleton articles) to new observations on Model Specification and New econometric methods for test models.
Clear and complete, the book will appeal to researchers from financial institutions, as well as advanced students of Economics and Finance, Mathematics and science.
Financial development course
Financial development means some improvements in the production of information on prospective investments and capital allocation, the tracking of the companies and the exercise of corporate governance, trade, diversification and risk management, mobilization and pooling of savings, facilitating the exchange of goods and services.
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