13 Empirical Analyses of Dynamic Term Structure Models

Kapitel in diesem Buch

1. Frontmatter i
2. Contents vii
3. Preface xi
4. Acknowledgments xiii
5. 1 Introduction 1
6. Part I Econometric Methods for Analyzing DAPMs
7. 2 Model Specification and Estimation Strategies 17
8. 3 Large-Sample Properties of Extremum Estimators 35
9. 4 Goodness-of-Fit and Hypothesis Testing 71
10. 5 Affine Processes 98
11. 6 Simulation-Based Estimators of DAPMs 130
12. 7 Stochastic Volatility, Jumps, and Asset Returns 158
13. Part II Pricing Kernels, Preferences, and DAPMs
14. 8 Pricing Kernels and DAPMs 195
15. 9 Linear Asset Pricing Models 211
16. 10 Consumption-Based DAPMs 246
17. 11 Pricing Kernels and Factor Models 282
18. Part III No-Arbitrage DAPMs
19. 12 Models of the Term Structure of Bond Yields 311
20. 13 Empirical Analyses of Dynamic Term Structure Models 338
21. 14 Term Structures of Corporate Bond Spreads 364
22. 15 Equity Option Pricing Models 391
23. 16 Pricing Fixed-Income Derivatives 412
24. References 435
25. Index 465