EMPIRICAL DYNAMIC ASSET PRICING SINGLETON K. Bankowa.pl

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 the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures.

As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.

"This book fills a huge gap. It goes beyond the detailed description of methodology to provide a critical overview of findings in the literature. As a result, it not only offers the state of the art, but identifies the paths for future research--an invaluable textbook feature. With more than twenty-five years' worth of incredibly influential research on the topic, Kenneth Singleton was the perfect person to write it."
Mikhail Chernov, Columbia University

Kenneth J. Singleton is Adams Distinguished Professor of Management and Senior Associate Dean for Academic Affairs at the Graduate School of Business, Stanford University. A Fellow of the Econometric Society, he is the recipient of the organization's Frisch Prize. He is also the recipient of the Smith-Breeden Distinguished Paper Award from the Journal of Finance. Singleton is a director of the American Finance Association and was previously an editor of the Review of Financial Studies. He is coauthor, with Darrell Duffie, of Credit Risk: Pricing, Management, and Measurement (Princeton).

TABLE OF CONTENTS:

Preface
Acknowledgments

Chapter 1: Introduction

1.1. Model Implied Restrictions
1.2. Econometric Estimation Strategies

Part I: Econometric Methods for Analyzing DAPMs

Chapter 2: Model Specification and Estimation Strategies

2.1. Full Information about Distributions
2.2. No Information about the Distribution
2.3. Limited Information: GMM Estimators
2.4. Summary of Estimators

Chapter 3: Large-Sample Properties of Extremum Estimators

3.1. Basic Probability Model
3.2. Consistency: General Considerations
3.3. Consistency of Extremum Estimators
3.4. Asymptotic Normality of Extremum Estimators
3.5. Distributions of Specific Estimators
3.6. Relative Efficiency of Estimators

Chapter 4: Goodness-of-Fit and Hypothesis Testing

4.1. GMM Tests of Goodness-of-Fit
4.2. Testing Restrictions on ?
4.3. Comparing LR, Wald, and LM Tests
4.4. Inference for Sequential Estimators
4.5. Inference with Unequal-Length Samples
4.6. Underidentified Parameters under H 0

Chapter 5: Affine Processes

5.1. Affine Processes: Overview
5.2. Continuous-Time Affine Processes
5.3. Discrete-Time Affine Processes
5.4. Transforms for Affine Processes
5.5. GMM Estimation of Affine Processes
5.6. ML Estimation of Affine Processes
5.7. Characteristic Function-Based Estimators

Chapter 6: Simulation-Based Estimators of DAPMs

6.1. Introduction
6.2. SME: The Estimation Problem
6.3. Consistency of the SME
6.4. Asymptotic Normality of the SME
6.5. Extensions of the SME
6.6. Moment Selection with SME
6.7. Applications of SME to Diffusion Models
6.8. Markov Chain Monte Carlo Estimation

Chapter 7: Stochastic Volatility, Jumps, and Asset Returns

7.1. Preliminary Observations about Shape
7.2. Discrete-Time Models
7.3. Estimation of Discrete-Time Models
7.4. Continuous-Time Models
7.5. Estimation of Continuous-Time Models
7.6. Volatility Scaling
7.7. Term Structures of Conditional Skewness and Kurtosis

Part II: Pricing Kernels, Preferences, and DAPMs

Chapter 8: Pricing Kernels and DAPMs

8.1. Pricing Kernels
8.2. Marginal Rates of Substitution as q *
8.3. No-Arbitrage and Risk-Neutral Pricing

Chapter 9: Linear Asset Pricing Models

9.1. Economic Motivations for Examining Asset Return Predictability
9.2. Market Microstructure Effects
9.3. A Digression on Unit Roots in Time Series
9.4. Tests for Serial Correlation in Returns
9.5. Evidence on Stock-Return Predictability
9.6. Time-Varying Expected Returns on Bonds

Chapter 10: Consumption-Based DAPMs

10.1. Empirical Challenges Facing DAPMs
10.2. Assessing Goodness-of-Fit
10.3. Time-Separable Single-Good Models
10.4. Models with Durable Goods
10.5. Habit Formation
10.6. Non-State-Separable Preferences
10.7. Other Preference-Based Models
10.8. Bounds on the Volatility of m nt

Chapter 11: Pricing Kernels and Factor Models

11.1. A Single-Beta Representation of Returns
11.2. Beta Representations of Excess Returns
11.3. Conditioning Down and Beta Relations
11.4. From Pricing Kernels to Factor Models
11.5. Methods for Testing Beta Models
11.6. Empirical Analyses of Factor Models

Part III: No-Arbitrage DAPMs

Chapter 12: Models of the Term Structure of Bond Yields

12.1. Key Ingredients of a DTSM
12.2. Affine Term Structure Models
12.3. Continuous-Time Affine DTSMs
12.4. Discrete-Time Affine DSTMs
12.5. Quadratic-Gaussian Models
12.6. NonAffine Stochastic Volatility Models
12.7. Bond Pricing with Jumps
12.8. DTSMs with Regime Shifts

Chapter 13: Empirical Analyses of Dynamic Term Structure Models

13.1. Estimation of DTSMs
13.2. Empirical Challenges for DTSMs
13.3. DTSMs of Swap and Treasury Yields
13.4. Factor Interpretations in Affine DTSMs
13.5. Macroeconomic Factors and DTSMs

Chapter 14: Term Structures of Corporate Bond Spreads

14.1. DTSMs of Defaultable Bonds
14.2. Parametric Reduced-Form Models
14.3. Parametric Structural Models
14.4. Empirical Studies of Corporate Bonds
14.5. Modeling Interest Rate Swap Spreads
14.6. Pricing Credit Default Swaps
14.7. Is Default Risk Priced?

Chapter 15: Equity Option Pricing Models

15.1. No-Arbitrage Option Pricing Models
15.2. Option Pricing
15.3. Estimation of Option Pricing Models
15.4. Econometric Analysis of Option Prices
15.5. Options and Revealed Preferences
15.6. Options on Individual Common Stocks

Chapter 16: Pricing Fixed-Income Derivatives

16.1. Pricing with Affine DTSMs
16.2. Pricing Using Forward-Rate Models
16.3. Risk Factors and Derivatives Pricing
16.4. Affine Models of Derivatives Prices
16.5. Forward-Rate-Based Pricing Models
16.6. On Model-Basing Hedging
16.7. Pricing Eurodollar Futures Options

References
Index

536 pp., 6 x 9, 32 line illus.26 tables

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