Dynamic asset-pricing models:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cheltenham [u.a.]
Elgar
2007
|
| Schriftenreihe: | The international library of financial econometrics
3 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XIX, 639 S. graph. Darst. |
| ISBN: | 9781847202642 9781843763420 |
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| 245 | 1 | 0 | |a Dynamic asset-pricing models |c ed. by Andrew W. Lo |
| 264 | 1 | |a Cheltenham [u.a.] |b Elgar |c 2007 | |
| 300 | |a XIX, 639 S. |b graph. Darst. | ||
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| 650 | 7 | |a Rentabilité - Méthodes statistiques |2 ram | |
| 650 | 7 | |a Économétrie |2 ram | |
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Datensatz im Suchindex
| _version_ | 1804137574162235392 |
|---|---|
| adam_text | Contents
Acknowledgements
vii
Introduction Andrew W.
Lo
ix
PART I VARIANCE-BOUNDS TESTS
1.
Stephen F. LeRoy and Richard D. Porter
(1981),
The Present-
Value Relation: Tests Based on Implied Variance Bounds ,
Econometrica,
49 (3),
May,
555-74 3
2.
Robert J. Shiller
(1981),
Do Stock Prices Move Too Much to be
Justified by Subsequent Changes in Dividends? , American
Economic Review,
71 (3),
June,
421-36 23
3.
Marjorie A. Flavin
(1983),
Excess Volatility in the Financial
Markets: A Reassessment of the Empirical Evidence , Journal of
Political Economy,
91 (6), 929-56 39
4.
Terry A. Marsh and Robert C. Merton
(1986),
Dividend Variability
and Variance Bounds Tests for the Rationality of Stock Market
Prices , American Economic Review,
76 (3), 483-98 67
5.
Allan W. Kleidon
(1986),
Variance Bounds Tests and Stock Price
Valuation Models , Journal of Political Economy,
94 (5), 953-1001 83
6.
John Y. Campbell and Robert J. Shiller
(1987),
Cointegration
and
Tests of Present Value Models , Journal of Political Economy,
95 (5), 1062-88 132
7.
Robert
С
Merton
(1987),
On the Current State of the Stock Market
Rationality Hypothesis , in
Rudiger Dornbusch,
Stanley Fischer and
John
Bossons
(eds),
Macroeconomics and Finance: Essays in
Honor of Franco
Modigliani,
Cambridge, MA: MIT Press,
93-124 159
8.
Kenneth D. West
(1988),
Dividend Innovations and Stock Price
Volatility ,
Econometrica,
56 (1),
January,
37-61 191
9.
Christian
Gilles
and Stephen F. LeRoy
(1991),
Econometric
Aspects of the Variance-Bounds Tests: A Survey , Review of
Financial Studies,
4 (4), 753-91 216
PART II CONSUMPTION-BASED ASSET-PRICING MODELS
10.
Lars Peter
Hansen
and Kenneth J. Singleton
(1983),
Stochastic
Consumption, Risk Aversion, and the Temporal Behavior of Asset
Returns
,
Journal of Political Economy,
91 (2), 249-65 257
11.
Rajnish Mehra and Edward C. Prescott
(1985),
The Equity
Premium: A Puzzle , Journal of Monetary Economics,
15, 145-61 274
Dynamic
Asset-Pricing
Models
12. Douglas
T.
Breeden, Michael R. Gibbons and Robert H.
Litzenberger (1989),
Empirical
Tests
of the Consumption-Oriented
САРМ
,
Journal of Finance,
XLIV (2),
June,
231-62 291
13.
Lars Peter
Hansen
and Ravi Jagannathan
(1992),
Implications of
Security Market Data for Models of Dynamic Economies , Journal
of Political Economy,
99 (2), 225-62 323
14.
John Heaton and Deborah J. Lucas
(1996),
Evaluating the Effects
of Incomplete Markets on Risk Sharing and Asset Pricing , Journal
of Political Economy,
104 (3), 443-87 361
15.
John Y. Campbell and John H. Cochrane
(1999),
By Force of
Habit: A Consumption-Based Explanation of Aggregate Stock
Market Behavior
,
Journal of Political Economy,
107 (2), 205-51 406
PART III TERM STRUCTURE MODELS AND CREDIT
16.
J. Huston McCulloch
(1971),
Measuring the Term Structure of
Interest Rates , Journal of Business,
44 (1),
January,
19-31 455
17.
Oldřich
A. Vasicek and H. Gifford Fong
(1982),
Term Structure
Modeling Using Exponential Splines , Journal of Finance,
XXXVII
(2),
May,
339-48 468
18.
Andrew W.
Lo
(1986),
Logit Versus Discriminant Analysis: A
Specification Test and Application to Corporate Bankruptcies ,
Journal of Econometrics,
31 (2),
March,
151-78 478
19.
Stephen J. Brown and Philip H. Dybvig
(1986),
The Empirical
Implications of the Cox, Ingersoll, Ross Theory of the Term
Structure of Interest Rates
,
Journal of Finance,
XLI (3),
July,
617-32 506
20.
Eugene F.
Fama
and Robert R. Bliss
(1987),
The Information in
Long-Maturity Forward Rates , American Economic Review,
77 (4),
September,
680-92 522
21.
Darrell Duffie and Kenneth J. Singleton
(1993),
Simulated
Moments Estimation of Markov Models of Asset Prices ,
Econometrica,
61 (4),
July,
929-52 535
22.
Michael R. Gibbons and Krishna Ramaswamy
(1993),
A Test of
the Cox, Ingersoll, and Ross Model of the Term Structure , Review
of Financial Studies,
6 (3), 619-58 559
23.
Darrell Duffie and Kenneth J. Singleton
(1997),
An Econometric
Model of the Term Structure of Interest-Rate Swap Yields , Journal
of Finance,
LII
(4),
September,
1287-1321 599
Name Index
635
THE INTERNATIONAL LIBRARY OF
FINANCIAL ECONOMETRICS
Editor Andrew W.
Lo
This major five-volume work
-
prepared by a leading scholar, Andrew
W
Lo
-
is a testimony
to the remarkable advances made in financial econometrics dunng the last forty years.
The sheer breadth of topics included in these volumes will give readers a sense of the
impact and intellectual vitality of financial econometrics today The articles selected in these
volumes span a period of four decades
-
ranging from classic tests of the Random Walk
Hypothesis in the
1960s
to the application of random matrix theory to covanance-matrix
estimators in
2002 -
illustrating the remarkable progress that the field has achieved over
time. The papers present
a neh
tapestry of models and methods that have not only
intellectual interest but genuine practical value.
Volume
1
includes the most influential statistical models of financial-asset returns. It is the
starting point for this intimate connection between finance and econometrics. Even without
the economic infrastructure of preferences, supply and demand, and general equilibrium,
the contributions in Volume
1
shed considerable light on the basic properties of asset
returns such as fat tails, serial correlation, and time-varying volatilities.
Volume
2
presents papers that extract additional information from asset returns and volume
by imposing additional structure: investor preferences, probability distributions for
underlying sources of uncertainty, and general equilibrium. Using a two-period or static
framework
-
the simplest possible context in which price uncertainty exists
-
the papers of
Volume
2
yield remarkably simple yet far-reaching implications for the relation between risk
and expected return, the proper economic definition of risk, and methods for evaluating the
performance of portfolio managers.
Volume
3
focuses on papers which go beyond the static two-period framework to the more
complex multi-period case. By modeling the
intertemporal
consumption/savings and
investment decisions of investors, a wealth of additional testable implications can be derived
for the time-series and cross-sectional properties of asset returns and volume.
Volum·
4
presents papers which examine the dynamics of prices and quantities and shows
how they lead naturally to questions about the fine structure of financial transactions and
markets as well as the notion of continuous-time trading. The econometrics of
continuous-time stochastic processes is essential for applications of derivatives pricing
models to data, and the practical relevance of continuous-time approximations is dictated
by the particular market microstructure of the derivative s underlying asset.
Volum«
5
contains methodological papers, as well as contributions to finance that are not
yet part of the mainstream, but which address important issues nonetheless. In particular,
Volume
5
includes papers on quantifying selection and data-snooping biases in tests of
financial asset-pricing models, applications of Bayesian methods, event-study analysis,
generalized method of moments estimation, and some example from the emerging field of
econophyslcs.
This five-volume work will be an essential source of reference for financial econometricians,
economists and investors.
Andrew W.
Lo
is Harris
&
Harris Group Professor and Director of the MIT Laboratory for
Financial Engineering at the Massachusetts Institute of Technology, USA.
|
| adam_txt |
Contents
Acknowledgements
vii
Introduction Andrew W.
Lo
ix
PART I VARIANCE-BOUNDS TESTS
1.
Stephen F. LeRoy and Richard D. Porter
(1981),
'The Present-
Value Relation: Tests Based on Implied Variance Bounds',
Econometrica,
49 (3),
May,
555-74 3
2.
Robert J. Shiller
(1981),
'Do Stock Prices Move Too Much to be
Justified by Subsequent Changes in Dividends?', American
Economic Review,
71 (3),
June,
421-36 23
3.
Marjorie A. Flavin
(1983),
'Excess Volatility in the Financial
Markets: A Reassessment of the Empirical Evidence', Journal of
Political Economy,
91 (6), 929-56 39
4.
Terry A. Marsh and Robert C. Merton
(1986),
'Dividend Variability
and Variance Bounds Tests for the Rationality of Stock Market
Prices', American Economic Review,
76 (3), 483-98 67
5.
Allan W. Kleidon
(1986),
'Variance Bounds Tests and Stock Price
Valuation Models', Journal of Political Economy,
94 (5), 953-1001 83
6.
John Y. Campbell and Robert J. Shiller
(1987),
'Cointegration
and
Tests of Present Value Models', Journal of Political Economy,
95 (5), 1062-88 132
7.
Robert
С
Merton
(1987),
'On the Current State of the Stock Market
Rationality Hypothesis', in
Rudiger Dornbusch,
Stanley Fischer and
John
Bossons
(eds),
Macroeconomics and Finance: Essays in
Honor of Franco
Modigliani,
Cambridge, MA: MIT Press,
93-124 159
8.
Kenneth D. West
(1988),
'Dividend Innovations and Stock Price
Volatility',
Econometrica,
56 (1),
January,
37-61 191
9.
Christian
Gilles
and Stephen F. LeRoy
(1991),
'Econometric
Aspects of the Variance-Bounds Tests: A Survey', Review of
Financial Studies,
4 (4), 753-91 216
PART II CONSUMPTION-BASED ASSET-PRICING MODELS
10.
Lars Peter
Hansen
and Kenneth J. Singleton
(1983),
'Stochastic
Consumption, Risk Aversion, and the Temporal Behavior of Asset
Returns'
,
Journal of Political Economy,
91 (2), 249-65 257
11.
Rajnish Mehra and Edward C. Prescott
(1985),
'The Equity
Premium: A Puzzle', Journal of Monetary Economics,
15, 145-61 274
Dynamic
Asset-Pricing
Models
12. Douglas
T.
Breeden, Michael R. Gibbons and Robert H.
Litzenberger (1989),
'Empirical
Tests
of the Consumption-Oriented
САРМ'
,
Journal of Finance,
XLIV (2),
June,
231-62 291
13.
Lars Peter
Hansen
and Ravi Jagannathan
(1992),
'Implications of
Security Market Data for Models of Dynamic Economies', Journal
of Political Economy,
99 (2), 225-62 323
14.
John Heaton and Deborah J. Lucas
(1996),
'Evaluating the Effects
of Incomplete Markets on Risk Sharing and Asset Pricing', Journal
of Political Economy,
104 (3), 443-87 361
15.
John Y. Campbell and John H. Cochrane
(1999),
'By Force of
Habit: A Consumption-Based Explanation of Aggregate Stock
Market Behavior'
,
Journal of Political Economy,
107 (2), 205-51 406
PART III TERM STRUCTURE MODELS AND CREDIT
16.
J. Huston McCulloch
(1971),
'Measuring the Term Structure of
Interest Rates', Journal of Business,
44 (1),
January,
19-31 455
17.
Oldřich
A. Vasicek and H. Gifford Fong
(1982),
'Term Structure
Modeling Using Exponential Splines', Journal of Finance,
XXXVII
(2),
May,
339-48 468
18.
Andrew W.
Lo
(1986),
'Logit Versus Discriminant Analysis: A
Specification Test and Application to Corporate Bankruptcies',
Journal of Econometrics,
31 (2),
March,
151-78 478
19.
Stephen J. Brown and Philip H. Dybvig
(1986),
'The Empirical
Implications of the Cox, Ingersoll, Ross Theory of the Term
Structure of Interest Rates'
,
Journal of Finance,
XLI (3),
July,
617-32 506
20.
Eugene F.
Fama
and Robert R. Bliss
(1987),
The Information in
Long-Maturity Forward Rates', American Economic Review,
77 (4),
September,
680-92 522
21.
Darrell Duffie and Kenneth J. Singleton
(1993),
'Simulated
Moments Estimation of Markov Models of Asset Prices',
Econometrica,
61 (4),
July,
929-52 535
22.
Michael R. Gibbons and Krishna Ramaswamy
(1993),
'A Test of
the Cox, Ingersoll, and Ross Model of the Term Structure', Review
of Financial Studies,
6 (3), 619-58 559
23.
Darrell Duffie and Kenneth J. Singleton
(1997),
'An Econometric
Model of the Term Structure of Interest-Rate Swap Yields', Journal
of Finance,
LII
(4),
September,
1287-1321 599
Name Index
635
THE INTERNATIONAL LIBRARY OF
FINANCIAL ECONOMETRICS
Editor Andrew W.
Lo
This major five-volume work
-
prepared by a leading scholar, Andrew
W
Lo
-
is a testimony
to the remarkable advances made in financial econometrics dunng the last forty years.
The sheer breadth of topics included in these volumes will give readers a sense of the
impact and intellectual vitality of financial econometrics today The articles selected in these
volumes span a period of four decades
-
ranging from classic tests of the Random Walk
Hypothesis in the
1960s
to the application of random matrix theory to covanance-matrix
estimators in
2002 -
illustrating the remarkable progress that the field has achieved over
time. The papers present
a neh
tapestry of models and methods that have not only
intellectual interest but genuine practical value.
Volume
1
includes the most influential statistical models of financial-asset returns. It is the
starting point for this intimate connection between finance and econometrics. Even without
the economic infrastructure of preferences, supply and demand, and general equilibrium,
the contributions in Volume
1
shed considerable light on the basic properties of asset
returns such as fat tails, serial correlation, and time-varying volatilities.
Volume
2
presents papers that extract additional information from asset returns and volume
by imposing additional structure: investor preferences, probability distributions for
underlying sources of uncertainty, and general equilibrium. Using a two-period or static
framework
-
the simplest possible context in which price uncertainty exists
-
the papers of
Volume
2
yield remarkably simple yet far-reaching implications for the relation between risk
and expected return, the proper economic definition of risk, and methods for evaluating the
performance of portfolio managers.
Volume
3
focuses on papers which go beyond the static two-period framework to the more
complex multi-period case. By modeling the
intertemporal
consumption/savings and
investment decisions of investors, a wealth of additional testable implications can be derived
for the time-series and cross-sectional properties of asset returns and volume.
Volum·
4
presents papers which examine the dynamics of prices and quantities and shows
how they lead naturally to questions about the fine structure of financial transactions and
markets as well as the notion of continuous-time trading. The econometrics of
continuous-time stochastic processes is essential for applications of derivatives pricing
models to data, and the practical relevance of continuous-time approximations is dictated
by the particular market microstructure of the derivative's underlying asset.
Volum«
5
contains methodological papers, as well as contributions to finance that are not
yet part of the mainstream, but which address important issues nonetheless. In particular,
Volume
5
includes papers on quantifying selection and data-snooping biases in tests of
financial asset-pricing models, applications of Bayesian methods, event-study analysis,
generalized method of moments estimation, and some example from the emerging field of
econophyslcs.
This five-volume work will be an essential source of reference for financial econometricians,
economists and investors.
Andrew W.
Lo
is Harris
&
Harris Group Professor and Director of the MIT Laboratory for
Financial Engineering at the Massachusetts Institute of Technology, USA. |
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| illustrated | Illustrated |
| index_date | 2024-07-02T20:33:10Z |
| indexdate | 2024-07-09T21:14:27Z |
| institution | BVB |
| isbn | 9781847202642 9781843763420 |
| language | English |
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| series | The international library of financial econometrics |
| series2 | The international library of financial econometrics An Elgar reference collection |
| spelling | Dynamic asset-pricing models ed. by Andrew W. Lo Cheltenham [u.a.] Elgar 2007 XIX, 639 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The international library of financial econometrics 3 An Elgar reference collection Gestion de portefeuille - Méthodes statistiques ram Investissements - Méthodes statistiques ram Rentabilité - Méthodes statistiques ram Économétrie ram Mathematisches Modell Capital assets pricing model Finance Mathematical models Investments Mathematical models Lo, Andrew W. 1960- Sonstige (DE-588)124791433 oth The international library of financial econometrics 3 (DE-604)BV023263721 3 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449138&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449138&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Dynamic asset-pricing models The international library of financial econometrics Gestion de portefeuille - Méthodes statistiques ram Investissements - Méthodes statistiques ram Rentabilité - Méthodes statistiques ram Économétrie ram Mathematisches Modell Capital assets pricing model Finance Mathematical models Investments Mathematical models |
| title | Dynamic asset-pricing models |
| title_auth | Dynamic asset-pricing models |
| title_exact_search | Dynamic asset-pricing models |
| title_exact_search_txtP | Dynamic asset-pricing models |
| title_full | Dynamic asset-pricing models ed. by Andrew W. Lo |
| title_fullStr | Dynamic asset-pricing models ed. by Andrew W. Lo |
| title_full_unstemmed | Dynamic asset-pricing models ed. by Andrew W. Lo |
| title_short | Dynamic asset-pricing models |
| title_sort | dynamic asset pricing models |
| topic | Gestion de portefeuille - Méthodes statistiques ram Investissements - Méthodes statistiques ram Rentabilité - Méthodes statistiques ram Économétrie ram Mathematisches Modell Capital assets pricing model Finance Mathematical models Investments Mathematical models |
| topic_facet | Gestion de portefeuille - Méthodes statistiques Investissements - Méthodes statistiques Rentabilité - Méthodes statistiques Économétrie Mathematisches Modell Capital assets pricing model Finance Mathematical models Investments Mathematical models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449138&sequence=000001&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=016449138&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023263721 |
| work_keys_str_mv | AT loandreww dynamicassetpricingmodels |