Empirical dynamic asset pricing: model specification and econometric assessment
Auteur :
Singleton, Kenneth J.
Éditeur :
Princeton University Press
ISBN :
9780691122977
Date de publication :
26 mars 2006
Dimensions :
23,5 x 15,2 cm
Poids :
794 g
Format :
B315
Langue :
Anglais
Pays d'origine :
USA
Focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. This book includes the econometric methods used in analyzing financial time-series models, and the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates.