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Solving Estimating And Testing Nonlinear Asset Pricing Models
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Author :Alexander Craig Burnside Publisher :Ann Arbor, Mich. : University Microfilms International ISBN 13 : Total Pages :302 pages Book Rating :4.:/5 (445 download)
Book Synopsis Solving, Estimating and Testing Nonlinear Asset Pricing Models by : Alexander Craig Burnside
Download or read book Solving, Estimating and Testing Nonlinear Asset Pricing Models written by Alexander Craig Burnside and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 1991 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Estimating and Testing Asset Pricing Models by :
Download or read book Essays on Estimating and Testing Asset Pricing Models written by and published by . This book was released on 2009 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Asset Pricing by : Wayne Ferson
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Book Synopsis Empirical Tests of Asset Pricing Models with Individual Assets by : Narasimhan Jegadeesh
Download or read book Empirical Tests of Asset Pricing Models with Individual Assets written by Narasimhan Jegadeesh and published by . This book was released on 2015 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Staff Paper Series written by and published by . This book was released on 1987-08 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Solving an Empirical Puzzle in the Capital Asset Pricing Model by : John Leusner
Download or read book Solving an Empirical Puzzle in the Capital Asset Pricing Model written by John Leusner and published by . This book was released on 1997 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing by : B.Philipp Kellerhals
Download or read book Asset Pricing written by B.Philipp Kellerhals and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.
Book Synopsis Estimating and Testing Investment-based Asset Pricing Models by : Frederico Belo
Download or read book Estimating and Testing Investment-based Asset Pricing Models written by Frederico Belo and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most investment-based asset pricing models predict a close link between a firm's stock return and firm-characteristics at any point in time. Yet, previous work typically examines the weaker prediction that this link should hold on average. We show how to incorporate the time-series predictions in the estimation and testing of investment-based models using the generalized method of moments. We find that standard specifications of the investment-based model with one physical capital input fail to match the time series properties of stock returns in the data, and discuss the implications of the findings for future research.
Book Synopsis Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models by : Nikolay Gospodinov
Download or read book Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models written by Nikolay Gospodinov and published by . This book was released on 2014 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a general statistical framework for estimation, testing and comparison of asset pricing models using the unconstrained distance measure of Hansen and Jagannathan (1997). The limiting results cover both linear and nonlinear models that could be correctly specified or misspecified. We propose modified versions of the existing model selection tests and new pivotal specification and model comparison tests with improved finite-sample properties. In addition, we fill an important gap in the literature by providing formal tests of multiple model comparison.
Book Synopsis Journal of International Economics by :
Download or read book Journal of International Economics written by and published by . This book was released on 1994 with total page 856 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Numerical Methods for Nonlinear Estimating Equations by : Christopher G. Small
Download or read book Numerical Methods for Nonlinear Estimating Equations written by Christopher G. Small and published by Oxford University Press. This book was released on 2003 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: Non linearity arises in statistical inference in various ways, with varying degrees of severity, as an obstacle to statistical analysis. More entrenched forms of nonlinearity often require intensive numerical methods to construct estimators, and the use of root search algorithms, or one-step estimators, is a standard method of solution. This book provides a comprehensive study of nonlinear estimating equations and artificial likelihood's for statistical inference. It provides extensive coverage and comparison of hill climbing algorithms, which when started at points of nonconcavity often have very poor convergence properties, and for additional flexibility proposes a number of modification to the standard methods for solving these algorithms. The book also extends beyond simple root search algorithms to include a discussion of the testing of roots for consistency, and the modification of available estimating functions to provide greater stability in inference. A variety of examples from practical applications are included to illustrate the problems and possibilities thus making this text ideal for the research statistician and graduate student.
Book Synopsis Journal of Economic Dynamics & Control by :
Download or read book Journal of Economic Dynamics & Control written by and published by . This book was released on 2001 with total page 1276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach by : Manuel Ammann
Download or read book Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach written by Manuel Ammann and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new approach for the estimation of conditional asset pricing models based on a Markov Chain Monte Carlo (MCMC) approach. In contrast to existing approaches, it is truly conditional because the assumption that time variation in betas is driven by a set of conditioning variables is not necessary. Moreover, the approach has exact finite sample properties and accounts for errors-in-variables in a one-step estimation procedure. Using Samp;P 500 panel data, we analyze the empirical performance of the CAPM and the Fama and French (1993) three-factor model. We find that time-variation of betas in the CAPM and the time variation of the coefficients for the size factor (SMB) and the distress factor (HML) in the three-factor model improve the empirical performance by a similar amount. Therefore, our findings are consistent with time variation of firm-specific exposure to market risk, systematic credit risk and systematic size effects. However, a Bayesian model comparison trading off goodness of fit and model complexity indicates that the conditional CAPM performs best, followed by the conditional three-factor model, the unconditional CAPM, and the unconditional three-factor model.
Book Synopsis Discrete Methods for the Estimation of Nonlinear Economic Models by : Leland Edward Farmer
Download or read book Discrete Methods for the Estimation of Nonlinear Economic Models written by Leland Edward Farmer and published by . This book was released on 2017 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists increasingly use nonlinear methods to confront their theories with data. The switch from linear to nonlinear methods is driven, in part, by increased computing power, but also by a desire to understand economic phenomena that cannot easily be captured by linear models. My research is informed by questions at the intersection of macroeconomics and finance that cannot be addressed with standard methods. Existing methods for estimating nonlinear dynamic models are either too computationally complex to be of practical use, or rely on local approximations which fail to adequately capture the nonlinear features of interest. My research develops a new methodology for accurately estimating nonlinear dynamic models which is computationally simple and easy to apply. In my dissertation, I apply this methodology to study a model of interest rate dynamics near the zero lower bound, an asset pricing model of rare disasters, and a model of learning about cash flows in the presence of structural change.
Book Synopsis The Role of Macroeconomic Shocks in Estimating and Testing Capital Asset Pricing Models by : Virginia Harper
Download or read book The Role of Macroeconomic Shocks in Estimating and Testing Capital Asset Pricing Models written by Virginia Harper and published by . This book was released on 1998 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis New Directions in Time Series Analysis by : David Brillinger
Download or read book New Directions in Time Series Analysis written by David Brillinger and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications NEW DIRECTIONS IN TIME SERIES ANALYSIS, PART II is based on the proceedings of the IMA summer program "New Directions in Time Series Analysis. " We are grateful to David Brillinger, Peter Caines, John Geweke, Emanuel Parzen, Murray Rosenblatt, and Murad Taqqu for organizing the program and we hope that the remarkable excitement and enthusiasm of the participants in this interdisciplinary effort are communicated to the reader. A vner Friedman Willard Miller, Jr. PREFACE Time Series Analysis is truly an interdisciplinary field because development of its theory and methods requires interaction between the diverse disciplines in which it is applied. To harness its great potential, strong interaction must be encouraged among the diverse community of statisticians and other scientists whose research involves the analysis of time series data. This was the goal of the IMA Workshop on "New Directions in Time Series Analysis. " The workshop was held July 2-July 27, 1990 and was organized by a committee consisting of Emanuel Parzen (chair), David Brillinger, Murray Rosenblatt, Murad S. Taqqu, John Geweke, and Peter Caines. Constant guidance and encouragement was provided by Avner Friedman, Director of the IMA, and his very helpful and efficient staff. The workshops were organized by weeks. It may be of interest to record the themes that were announced in the IMA newsletter describing the workshop: l.
