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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.

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The utility idea has had a long history in economics, especially in the explanation of demand and in welfare economics. In a comprehensive survey and critique of the Slutsky theory and the pattern to which it belongs in the economic context, S. N. Afriat offers a resolution of questions central to its main idea, including sufficient conditions as well.Originally published in 1980.The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

Demand functions (Economic theory) --- Utility theory --- 330.105 --- 338.5 --- Demand (Economic theory) --- Value --- Revealed preference theory --- Demand curves (Economic theory) --- Functions, Demand (Economic theory) --- Economics --- 330.105 Wiskundige economie. Wiskundige methoden in de economie --- Wiskundige economie. Wiskundige methoden in de economie --- 338.5 Prijsvorming. Prijskostenverhouding. Prijsbeweging. Prijsfluctuatie--macroeconomisch; prijsindex zie {336.748.12} --- Prijsvorming. Prijskostenverhouding. Prijsbeweging. Prijsfluctuatie--macroeconomisch; prijsindex zie {336.748.12} --- Mathematical models --- Quantitative methods (economics) --- E-books --- Utility theory. --- DEMAND FUNCTIONS (Economic theory) --- Adjoint. --- Aggregate supply. --- Arrow's impossibility theorem. --- Axiom. --- Big O notation. --- Bruno de Finetti. --- Chain rule. --- Coefficient. --- Commodity. --- Concave function. --- Continuous function. --- Convex cone. --- Convex function. --- Convex set. --- Corollary. --- Cost curve. --- Cost-effectiveness analysis. --- Cost–benefit analysis. --- Counterexample. --- Demand curve. --- Derivative. --- Determinant. --- Differentiable function. --- Differential calculus. --- Differential equation. --- Differential form. --- Divisia index. --- Economic equilibrium. --- Economics. --- Einstein notation. --- Equivalence relation. --- Explicit formulae (L-function). --- Factorization. --- Frobenius theorem (differential topology). --- Function (mathematics). --- Functional equation. --- General equilibrium theory. --- Heine–Borel theorem. --- Hessian matrix. --- Homogeneous function. --- Idempotence. --- Identity (mathematics). --- Identity matrix. --- Inequality (mathematics). --- Inference. --- Infimum and supremum. --- Integrating factor. --- Interdependence. --- Interval (mathematics). --- Inverse demand function. --- Inverse function theorem. --- Inverse function. --- Invertible matrix. --- Lagrange multiplier. --- Lagrangian (field theory). --- Lagrangian. --- Law of demand. --- Limit point. --- Line segment. --- Linear function. --- Linear inequality. --- Linear map. --- Linearity. --- Logical disjunction. --- Marginal cost. --- Mathematical induction. --- Mathematical optimization. --- Maxima and minima. --- Monotonic function. --- Ordinary differential equation. --- Orthogonal complement. --- Oskar Morgenstern. --- Pareto efficiency. --- Partial derivative. --- Permutation. --- Preference (economics). --- Price index. --- Principal part. --- Production function. --- Production theory. --- Quasiconvex function. --- Recursive definition. --- Reductio ad absurdum. --- Regular matrix. --- Requirement. --- Row and column vectors. --- Samuelson condition. --- Second derivative. --- Sign (mathematics). --- Special case. --- Statistic. --- Support function. --- Symmetric relation. --- Theorem. --- Theory. --- Transpose. --- Upper and lower bounds. --- Utility. --- Variable (mathematics). --- Welfare economics.