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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 of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on t

Capital assets pricing model. --- Pricing --- Econometric models. --- Arbitrage. --- Asymptotic distribution. --- Autocorrelation. --- Autocovariance. --- Autoregressive conditional heteroskedasticity. --- Bayesian inference. --- Bayesian probability. --- Bond Yield. --- Capital asset pricing model. --- Central limit theorem. --- Collateral Value. --- Conditional expectation. --- Conditional probability distribution. --- Conditional variance. --- Consistent estimator. --- Correlation and dependence. --- Covariance function. --- Covariance matrix. --- Credit risk. --- Credit spread (options). --- Discount function. --- Discrete time and continuous time. --- Doubly stochastic model. --- Dynamic pricing. --- Econometric model. --- Economic equilibrium. --- Economics. --- Equity premium puzzle. --- Ergodic process. --- Estimation theory. --- Estimation. --- Estimator. --- Expectations hypothesis. --- Expected value. --- Forecasting. --- Forward price. --- Forward rate. --- General equilibrium theory. --- Generalized method of moments. --- High-yield debt. --- Inference. --- Interest rate risk. --- Interest rate. --- Investment Horizon. --- Investment strategy. --- Investor. --- Joint probability distribution. --- LIBOR market model. --- Leverage (finance). --- Likelihood function. --- Liquidity premium. --- Liquidity risk. --- Margin (finance). --- Marginal rate of substitution. --- Marginal utility. --- Market Risk Premium. --- Market capitalization. --- Market liquidity. --- Market portfolio. --- Market price. --- Market value. --- Markov model. --- Markov process. --- Mathematical finance. --- Monetary policy. --- Objective Probability. --- Option (finance). --- Parameter. --- Partial equilibrium. --- Portfolio insurance. --- Precautionary savings. --- Predictability. --- Preference (economics). --- Present value. --- Price index. --- Pricing. --- Principal component analysis. --- Probability. --- Real interest rate. --- Repurchase agreement. --- Revaluation of fixed assets. --- Risk aversion. --- Risk management. --- Risk premium. --- Skewness. --- Special case. --- Standard deviation. --- State variable. --- Statistic. --- Stochastic differential equation. --- Stochastic volatility. --- Supply (economics). --- Time series. --- Underlying Security. --- Utility maximization problem. --- Utility. --- Variable (mathematics). --- Vector autoregression. --- Yield curve. --- Yield spread.