Empirical dynamic asset pricing: model specification and econometric assessment
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2006
|
| Schlagworte: | |
| Online-Zugang: | Klappentext Inhaltsverzeichnis |
| Beschreibung: | XIV, 480 S. graph. Darst. |
| ISBN: | 0691122970 9780691122977 |
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| adam_text | Modei
Econometric Assessment
Kenneth J. Singleton
Written by one of the leading experts in
the field, this book focuses on the inter¬
play 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; eq¬
uity 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 estima¬
tion 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.
Asan
throughout the book interesting tidbits
of new research. These range from em¬
pirical 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.
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
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 Darreli Duffie, of
Credit Risk; Pricing. Management and
Measurement (Princeton).
CONTENTS PREFACE XI ACKNOWLEDGMENTS XIII 1 INTRODUCTION 1 1.1. MODEL
IMPLIED RESTRICTIONS 3 1.2. ECONOMETRIC ESTIMATION STRATEGIES 10 I
ECONOMETRIC METHODS FOR ANALYZING DAPMS 15 2 MODEL SPECIFICATION AND
ESTIMATION STRATEGIES 17 2.1. FULL INFORMATION ABOUT DISTRIBUTIONS 17
2.2. NO INFORMATION ABOUT THE DISTRIBUTION 21 2.3. LIMITED INFORMATION:
GMM ESTIMATORS 25 2.4. SUMMARY OF ESTIMATORS 34 3 LARGE-SAMPLE
PROPERTIES OF EXTREMUM ESTIMATORS 35 3.1. BASIC PROBABILITY MODEL 35
3.2. CONSISTENCY: GENERAL CONSIDERATIONS 39 3.3. CONSISTENCY OF EXTREMUM
ESTIMATORS 44 3.4. ASYMPTOTIC NORMALITY OF EXTREMUM ESTIMATORS 48 3.5.
DISTRIBUTIONS OF SPECIFIC ESTIMATORS 53 3.6. RELATIVE EFFICIENCY OF
ESTIMATORS 60 4 GOODNESS-OF-FIT AND HYPOTHESIS TESTING 71 4.1. GMM TESTS
OF GOODNESS-OF-FIT 71 4.2. TESTING RESTRICTIONS ON 0Q 77 4.3. COMPARING
LR, WALD, AND LM TESTS 84 4.4. INFERENCE FOR SEQUENTIAL ESTIMATORS 86
VII VIII CONTENTS 4.5. INFERENCE WITH UNEQUAL-LENGTH SAMPLES 88 4.6.
UNDERIDENTIFIED PARAMETERS UNDER HO 94 5 AFFINE PROCESSES 98 5.1. AFFINE
PROCESSES: OVERVIEW 100 5-2. CONTINUOUS-TIME AFFINE PROCESSES 101 5.3.
DISCRETE-TIME AFFINE PROCESSES 108 5.4. TRANSFORMS FOR AFFINE PROCESSES
114 5.5. GMM ESTIMATION OF AFFINE PROCESSES 117 5.6. ML ESTIMATION OF
AFFINE PROCESSES 118 5.7. CHARACTERISTIC FUNCTION-BASED ESTIMATORS 124 6
SIMULATION-BASED ESTIMATORS OF DAPMS 130 6.L INTRODUCTION 130 6.2. SME:
THE ESTIMATION PROBLEM 132 6.3. CONSISTENCY OF THE SME 135 6.4.
ASYMPTOTIC NORMALITY OF THE SME 142 6.5. EXTENSIONS OF THE SME 144 6.6.
MOMENT SELECTION WITH SME 146 6.7. APPLICATIONS OF SME TO DIFFUSION
MODELS 152 6.8. MARKOV CHAIN MONTE CARLO ESTIMATION 153 7 STOCHASTIC
VOLATILITY, JUMPS, AND ASSET RETURNS 158 7.1. PRELIMINARY OBSERVATIONS
ABOUT SHAPE 159 7.2. DISCRETE-TIME MODELS 164 7.3. ESTIMATION OF
DISCRETE-TIME MODELS 171 7.4. CONTINUOUS-TIME MODELS 174 7.5. ESTIMATION
OF CONTINUOUS-TIME MODELS 179 7.6. VOLATILITY SCALING 185 7.7. TERM
STRUCTURES OF CONDITIONAL SKEWNESS AND KURTOSIS 187 II PRICING KERNELS,
PREFERENCES, AND DAPMS 193 8 PRICING KERNELS AND DAPMS 195 8.1. PRICING
KERNELS 195 8.2. MARGINAL RATES OF SUBSTITUTION AS Q* 198 8.3.
NO-ARBITRAGE AND RISK-NEUTRAL PRICING 202 CONTENTS IX 9 LINEAR ASSET
PRICING MODELS 211 9.1. ECONOMIC MOTIVATIONS FOR EXAMINING ASSET RETURN
PREDICTABILITY 211 9.2. MARKET MICROSTRUCTURE EFFECTS 214 9.3. A
DIGRESSION ON UNIT ROOTS IN TIME SERIES 219 9.4. TESTS FOR SERIAL
CORRELATION IN RETURNS 224 9.5. EVIDENCE ON STOCK-RETURN PREDICTABILITY
231 9.6. TIME-VARYING EXPECTED RETURNS ON BONDS 237 10 CONSUMPTION-BASED
DAPMS 246 10.1. EMPIRICAL CHALLENGES FACING DAPMS 247 10.2. ASSESSING
GOODNESS-OF-FIT 251 10.3. TIME-SEPARABLE SINGLE-GOOD MODELS 254 10.4.
MODELS WITH DURABLE GOODS 260 10.5. HABIT FORMATION 265 10.6.
NON-STATE-SEPARABLE PREFERENCES 274 10.7. OTHER PREFERENCE-BASED MODELS
276 10.8. BOUNDS ON THE VOLATILITY OF M ( 277 11 PRICING KERNELS AND
FACTOR MODELS 282 11.1. A SINGLE-BETA REPRESENTATION OF RETURNS 283
11.2. BETA REPRESENTATIONS OF EXCESS RETURNS 285 11.3. CONDITIONING DOWN
AND BETA RELATIONS 287 11 A. FROM PRICING KERNELS TO FACTOR MODELS 290
11.5. METHODS FOR TESTING BETA MODELS 297 11.6. EMPIRICAL ANALYSES OF
FACTOR MODELS 302 HI NO-ARBITRAGE DAPMS 309 12 MODELS OF THE TERM
STRUCTURE OF BOND YIELDS 311 12.1. KEY INGREDIENTS OF A DTSM 312 12.2.
AFFINE TERM STRUCTURE MODELS 316 12.3. CONTINUOUS-TIME AFFINE DTSMS 317
12.4. DISCRETE-TIME AFFINE DSTMS 327 12.5. QUADRATIC-GAUSSIAN MODELS 329
12.6. NONAFFINE STOCHASTIC VOLATILITY MODELS 331 12.7. BOND PRICING WITH
JUMPS 332 12.8. DTSMS WITH REGIME SHIFTS 334 CONTENTS 13 EMPIRICAL
ANALYSES OF DYNAMIC TERM STRUCTURE MODELS 338 13.1. ESTIMATION OF DTSMS
338 13.2. EMPIRICAL CHALLENGES FOR DTSMS 344 13.3. DTSMS OF SWAP AND
TREASURY YIELDS 348 13.4. FACTOR INTERPRETATIONS IN AFFINE DTSMS 356
13.5. MACROECONOMIC FACTORS AND DTSMS 359 14 TERM STRUCTURES OF
CORPORATE BOND SPREADS 364 14.1. DTSMS OF DEFAULTABLE BONDS 364 14.2.
PARAMETRIC REDUCED-FORM MODELS 369 14.3. PARAMETRIC STRUCTURAL MODELS
371 14.4. EMPIRICAL STUDIES OF CORPORATE BONDS 373 14.5. MODELING
INTEREST RATE SWAP SPREADS 383 14.6. PRICING CREDIT DEFAULT SWAPS 384
14.7. IS DEFAULT RISK PRICED? 387 15 EQUITY OPTION PRICING MODELS 391
15.1. NO-ARBITRAGE OPTION PRICING MODELS 392 15.2. OPTION PRICING 396
15.3. ESTIMATION OF OPTION PRICING MODELS 397 15.4. ECONOMETRIC ANALYSIS
OF OPTION PRICES 401 15.5. OPTIONS AND REVEALED PREFERENCES 404 15.6.
OPTIONS ON INDIVIDUAL COMMON STOCKS 410 16 PRICING FIXED-INCOME
DERIVATIVES 412 16.1. PRICING WITH AFFINE DTSMS 413 16.2. PRICING USING
FORWARD-RATE MODELS 417 16.3. RISK FACTORS AND DERIVATIVES PRICING 425
16.4. AFFINE MODELS OF DERIVATIVES PRICES 428 16.5. FORWARD-RATE-BASED
PRICING MODELS 429 16.6. ON MODEL-BASING HEDGING 431 16.7. PRICING
EURODOLLAR FUTURES OPTIONS 433 REFERENCES 435 INDEX 465
|
| adam_txt |
Modei
Econometric Assessment
Kenneth J. Singleton
Written by one of the leading experts in
the field, this book focuses on the inter¬
play 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; eq¬
uity 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 estima¬
tion 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.
Asan
throughout the book interesting tidbits
of new research. These range from em¬
pirical 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.
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
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 Darreli Duffie, of
Credit Risk; Pricing. Management and
Measurement (Princeton).
CONTENTS PREFACE XI ACKNOWLEDGMENTS XIII 1 INTRODUCTION 1 1.1. MODEL
IMPLIED RESTRICTIONS 3 1.2. ECONOMETRIC ESTIMATION STRATEGIES 10 I
ECONOMETRIC METHODS FOR ANALYZING DAPMS 15 2 MODEL SPECIFICATION AND
ESTIMATION STRATEGIES 17 2.1. FULL INFORMATION ABOUT DISTRIBUTIONS 17
2.2. NO INFORMATION ABOUT THE DISTRIBUTION 21 2.3. LIMITED INFORMATION:
GMM ESTIMATORS 25 2.4. SUMMARY OF ESTIMATORS 34 3 LARGE-SAMPLE
PROPERTIES OF EXTREMUM ESTIMATORS 35 3.1. BASIC PROBABILITY MODEL 35
3.2. CONSISTENCY: GENERAL CONSIDERATIONS 39 3.3. CONSISTENCY OF EXTREMUM
ESTIMATORS 44 3.4. ASYMPTOTIC NORMALITY OF EXTREMUM ESTIMATORS 48 3.5.
DISTRIBUTIONS OF SPECIFIC ESTIMATORS 53 3.6. RELATIVE EFFICIENCY OF
ESTIMATORS 60 4 GOODNESS-OF-FIT AND HYPOTHESIS TESTING 71 4.1. GMM TESTS
OF GOODNESS-OF-FIT 71 4.2. TESTING RESTRICTIONS ON 0Q 77 4.3. COMPARING
LR, WALD, AND LM TESTS 84 4.4. INFERENCE FOR SEQUENTIAL ESTIMATORS 86
VII VIII CONTENTS 4.5. INFERENCE WITH UNEQUAL-LENGTH SAMPLES 88 4.6.
UNDERIDENTIFIED PARAMETERS UNDER HO 94 5 AFFINE PROCESSES 98 5.1. AFFINE
PROCESSES: OVERVIEW 100 5-2. CONTINUOUS-TIME AFFINE PROCESSES 101 5.3.
DISCRETE-TIME AFFINE PROCESSES 108 5.4. TRANSFORMS FOR AFFINE PROCESSES
114 5.5. GMM ESTIMATION OF AFFINE PROCESSES 117 5.6. ML ESTIMATION OF
AFFINE PROCESSES 118 5.7. CHARACTERISTIC FUNCTION-BASED ESTIMATORS 124 6
SIMULATION-BASED ESTIMATORS OF DAPMS 130 6.L INTRODUCTION 130 6.2. SME:
THE ESTIMATION PROBLEM 132 6.3. CONSISTENCY OF THE SME 135 6.4.
ASYMPTOTIC NORMALITY OF THE SME 142 6.5. EXTENSIONS OF THE SME 144 6.6.
MOMENT SELECTION WITH SME 146 6.7. APPLICATIONS OF SME TO DIFFUSION
MODELS 152 6.8. MARKOV CHAIN MONTE CARLO ESTIMATION 153 7 STOCHASTIC
VOLATILITY, JUMPS, AND ASSET RETURNS 158 7.1. PRELIMINARY OBSERVATIONS
ABOUT SHAPE 159 7.2. DISCRETE-TIME MODELS 164 7.3. ESTIMATION OF
DISCRETE-TIME MODELS 171 7.4. CONTINUOUS-TIME MODELS 174 7.5. ESTIMATION
OF CONTINUOUS-TIME MODELS 179 7.6. VOLATILITY SCALING 185 7.7. TERM
STRUCTURES OF CONDITIONAL SKEWNESS AND KURTOSIS 187 II PRICING KERNELS,
PREFERENCES, AND DAPMS 193 8 PRICING KERNELS AND DAPMS 195 8.1. PRICING
KERNELS 195 8.2. MARGINAL RATES OF SUBSTITUTION AS Q* 198 8.3.
NO-ARBITRAGE AND RISK-NEUTRAL PRICING 202 CONTENTS IX 9 LINEAR ASSET
PRICING MODELS 211 9.1. ECONOMIC MOTIVATIONS FOR EXAMINING ASSET RETURN
PREDICTABILITY 211 9.2. MARKET MICROSTRUCTURE EFFECTS 214 9.3. A
DIGRESSION ON UNIT ROOTS IN TIME SERIES 219 9.4. TESTS FOR SERIAL
CORRELATION IN RETURNS 224 9.5. EVIDENCE ON STOCK-RETURN PREDICTABILITY
231 9.6. TIME-VARYING EXPECTED RETURNS ON BONDS 237 10 CONSUMPTION-BASED
DAPMS 246 10.1. EMPIRICAL CHALLENGES FACING DAPMS 247 10.2. ASSESSING
GOODNESS-OF-FIT 251 10.3. TIME-SEPARABLE SINGLE-GOOD MODELS 254 10.4.
MODELS WITH DURABLE GOODS 260 10.5. HABIT FORMATION 265 10.6.
NON-STATE-SEPARABLE PREFERENCES 274 10.7. OTHER PREFERENCE-BASED MODELS
276 10.8. BOUNDS ON THE VOLATILITY OF M ( " 277 11 PRICING KERNELS AND
FACTOR MODELS 282 11.1. A SINGLE-BETA REPRESENTATION OF RETURNS 283
11.2. BETA REPRESENTATIONS OF EXCESS RETURNS 285 11.3. CONDITIONING DOWN
AND BETA RELATIONS 287 11 A. FROM PRICING KERNELS TO FACTOR MODELS 290
11.5. METHODS FOR TESTING BETA MODELS 297 11.6. EMPIRICAL ANALYSES OF
FACTOR MODELS 302 HI NO-ARBITRAGE DAPMS 309 12 MODELS OF THE TERM
STRUCTURE OF BOND YIELDS 311 12.1. KEY INGREDIENTS OF A DTSM 312 12.2.
AFFINE TERM STRUCTURE MODELS 316 12.3. CONTINUOUS-TIME AFFINE DTSMS 317
12.4. DISCRETE-TIME AFFINE DSTMS 327 12.5. QUADRATIC-GAUSSIAN MODELS 329
12.6. NONAFFINE STOCHASTIC VOLATILITY MODELS 331 12.7. BOND PRICING WITH
JUMPS 332 12.8. DTSMS WITH REGIME SHIFTS 334 CONTENTS 13 EMPIRICAL
ANALYSES OF DYNAMIC TERM STRUCTURE MODELS 338 13.1. ESTIMATION OF DTSMS
338 13.2. EMPIRICAL CHALLENGES FOR DTSMS 344 13.3. DTSMS OF SWAP AND
TREASURY YIELDS 348 13.4. FACTOR INTERPRETATIONS IN AFFINE DTSMS 356
13.5. MACROECONOMIC FACTORS AND DTSMS 359 14 TERM STRUCTURES OF
CORPORATE BOND SPREADS 364 14.1. DTSMS OF DEFAULTABLE BONDS 364 14.2.
PARAMETRIC REDUCED-FORM MODELS 369 14.3. PARAMETRIC STRUCTURAL MODELS
371 14.4. EMPIRICAL STUDIES OF CORPORATE BONDS 373 14.5. MODELING
INTEREST RATE SWAP SPREADS 383 14.6. PRICING CREDIT DEFAULT SWAPS 384
14.7. IS DEFAULT RISK PRICED? 387 15 EQUITY OPTION PRICING MODELS 391
15.1. NO-ARBITRAGE OPTION PRICING MODELS 392 15.2. OPTION PRICING 396
15.3. ESTIMATION OF OPTION PRICING MODELS 397 15.4. ECONOMETRIC ANALYSIS
OF OPTION PRICES 401 15.5. OPTIONS AND REVEALED PREFERENCES 404 15.6.
OPTIONS ON INDIVIDUAL COMMON STOCKS 410 16 PRICING FIXED-INCOME
DERIVATIVES 412 16.1. PRICING WITH AFFINE DTSMS 413 16.2. PRICING USING
FORWARD-RATE MODELS 417 16.3. RISK FACTORS AND DERIVATIVES PRICING 425
16.4. AFFINE MODELS OF DERIVATIVES PRICES 428 16.5. FORWARD-RATE-BASED
PRICING MODELS 429 16.6. ON MODEL-BASING HEDGING 431 16.7. PRICING
EURODOLLAR FUTURES OPTIONS 433 REFERENCES 435 INDEX 465 |
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| author | Singleton, Kenneth J. 1951- |
| author_GND | (DE-588)135847680 |
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| author_role | aut |
| author_sort | Singleton, Kenneth J. 1951- |
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| ctrlnum | (OCoLC)255138892 (DE-599)BVBBV021560959 |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV021560959 |
| illustrated | Illustrated |
| index_date | 2024-07-02T14:34:43Z |
| indexdate | 2024-07-09T20:38:40Z |
| institution | BVB |
| isbn | 0691122970 9780691122977 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014776898 |
| oclc_num | 255138892 |
| open_access_boolean | |
| owner | DE-945 DE-355 DE-BY-UBR DE-739 DE-11 DE-384 DE-19 DE-BY-UBM DE-473 DE-BY-UBG DE-188 DE-523 |
| owner_facet | DE-945 DE-355 DE-BY-UBR DE-739 DE-11 DE-384 DE-19 DE-BY-UBM DE-473 DE-BY-UBG DE-188 DE-523 |
| physical | XIV, 480 S. graph. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Princeton Univ. Press |
| record_format | marc |
| spelling | Singleton, Kenneth J. 1951- Verfasser (DE-588)135847680 aut Empirical dynamic asset pricing model specification and econometric assessment Kenneth J. Singleton Princeton, NJ [u.a.] Princeton Univ. Press 2006 XIV, 480 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Capital Asset Pricing Model / Optionspreistheorie / Schätztheorie / Modell-Spezifikation / Theorie Capital-Asset-Pricing-Modell - Ökonometrie - Optionspreistheorie Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Optionspreistheorie (DE-588)4135346-8 s Ökonometrie (DE-588)4132280-0 s b DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014776898&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Klappentext SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014776898&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Singleton, Kenneth J. 1951- Empirical dynamic asset pricing model specification and econometric assessment Capital Asset Pricing Model / Optionspreistheorie / Schätztheorie / Modell-Spezifikation / Theorie Capital-Asset-Pricing-Modell - Ökonometrie - Optionspreistheorie Optionspreistheorie (DE-588)4135346-8 gnd Ökonometrie (DE-588)4132280-0 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4132280-0 (DE-588)4121078-5 |
| title | Empirical dynamic asset pricing model specification and econometric assessment |
| title_auth | Empirical dynamic asset pricing model specification and econometric assessment |
| title_exact_search | Empirical dynamic asset pricing model specification and econometric assessment |
| title_exact_search_txtP | Empirical dynamic asset pricing model specification and econometric assessment |
| title_full | Empirical dynamic asset pricing model specification and econometric assessment Kenneth J. Singleton |
| title_fullStr | Empirical dynamic asset pricing model specification and econometric assessment Kenneth J. Singleton |
| title_full_unstemmed | Empirical dynamic asset pricing model specification and econometric assessment Kenneth J. Singleton |
| title_short | Empirical dynamic asset pricing |
| title_sort | empirical dynamic asset pricing model specification and econometric assessment |
| title_sub | model specification and econometric assessment |
| topic | Capital Asset Pricing Model / Optionspreistheorie / Schätztheorie / Modell-Spezifikation / Theorie Capital-Asset-Pricing-Modell - Ökonometrie - Optionspreistheorie Optionspreistheorie (DE-588)4135346-8 gnd Ökonometrie (DE-588)4132280-0 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Capital Asset Pricing Model / Optionspreistheorie / Schätztheorie / Modell-Spezifikation / Theorie Capital-Asset-Pricing-Modell - Ökonometrie - Optionspreistheorie Optionspreistheorie Ökonometrie Capital-Asset-Pricing-Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014776898&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014776898&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT singletonkennethj empiricaldynamicassetpricingmodelspecificationandeconometricassessment |