Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment

By Kenneth J. Singleton | Go to book overview

References

Abel, A. (1990). Asset Prices under Habit Formation and Catching Up with the Jones. American Economic Review Paper and Proceedings80, 38–42.

Ahn, C., and H. Thompson (1988). Jump Diffusion Processes and Term Structure of Interest Rates. Journal of Finance43, 155–174.

Ahn, D., and B. Gao (1999). A Parametric Nonlinear Model of Term Structure Dynamics. Review of Financial Studies12, 721–762.

Ahn, D., R. Dittmar, and A. Gallant (2002). Quadratic Term Structure Models: Theory and Evidence. Review of Financial Studies15, 243–288.

Ahn, D., R. Dittmar, B. Gao, and A. Gallant (2003). Purebred or Hybrid? Reproducing the Volatility in Term Structure Dynamics. Journal of Econometrics116, 147–180.

Ait-Sahalia, Y. (1996). Testing Continuous-Time Models of the Spot Interest Rate. Review of Financial Studies9(2), 385–426.

——— (2001). Closed-Form Likelihood Expansions for Multivariate Diffusions. Working Paper, Princeton University.

——— (2002). Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach. Econometrica70, 223–262.

Ait-Sahalia, Y., and A. W. Lo (1998). Nonparametric Estimation of StatePrice Densities Implicit in Financial Asset Prices. Journal of Finance53, 499–547.

——— (2000). Nonparametric Risk Management and Implied Risk Aversion. Journal of Econometrics94, 9–51.

Akaike, H. (1973). Information Theory and an Extension of the Likelihood Principle. In B. Petrov and F. Csaki (Eds.), Proceedings of the Second International Symposium of Information Theory. Budapest: Akademiai Kiado.

Altman, E., and V. Kishore (1998). Defaults and Returns on High Yield Bonds: Analysis through 1997. Working Paper, New York University Salomon Center.

Alvarez, F., and U. Jermann (2001). Quantitative Asset Pricing Implications of Endogenous Solvency Constraints. Review of Financial Studies14, 1117–1151.

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