Empirical dynamic asset pricing : model specification and econometric assessment
Type
Book
Authors
ISBN 10
0691122970
ISBN 13
9780691122977
Category
Financial economics
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Publication Year
2006
Publisher
Pages
xiv, 480 p.
Subject
Capital assets pricing model
Abstract
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.
Number of Copies
1
