Empirical Dynamic Asset Pricing

Transcription

1 Empirical Dynamic Asset Pricing Model Specification and Econometric Assessment Kenneth J. Singleton Princeton University Press Princeton and Oxford

2 Preface Acknowledgments xi xiii 1 Introduction Model Implied Restrictions Econometric Estimation Strategies 10 I Econometric Methods for Analyzing DAPMs 15 2 Model Specification and Estimation Strategies Full Information about Distributions No Information about, the Distribution Limited Information: GMM Estimators Summary of Estimators 34 3 Large-Sample Properties of Extremum Estimators Basic Probability Model Consistency: General Considerations Consistency of Extremum Estimators Asymptotic Normality of Extremum Estimators Distributions of Specific Estimators Relative Efficiency of Estimators 60 4 Goodness-of-Fit and Hypothesis Testing GMM Tests of Goodness-of-Fit Testing Restrictions on 0 O Comparing LR, Wald, and LM Tests Inference for Sequential Estimators 86

3 /Hi Contents 4.5. Inference with Unequal-Length Samples Underidentified Parameters under HQ 94 5 Affine Processes Affine Processes: Overview Continuous-Time Affine Processes Discrete-Time Affine Processes Transforms for Affine Processes GMM Estimation of Affine Processes ML Estimation of Atrine Processes Characteristic Function-Based Estimators Simulation-Based Estimators of DAPMs Introduction SME: The Estimation Problem Consistency of the SME Asymptotic Normality of the SME Extensions of the SME Moment Selection with SME Applications of SME to Diffusion Models Markov Chain Monte Carlo Estimation Stochastic Volatility, Jumps, and Asset Returns Preliminary Observations about Shape Discrete-Time Models Estimation of Discrete-Time Models Continuous-Time Models Estimation of Continuous-Time Models Volatility Scaling Term Structures of Conditional Skewness and Kurtosis 187 II Pricing Kernels, Preferences, and DAPMs Pricing Kernels and DAPMs Pricing Kernels Marginal Rates of Substitution as q* No-Arbitrage and Risk-Neutral Pricing 202

4 ix 9 Linear Asset Pricing Models Economic Motivations for Examining Asset Return Predictability Market Microstructure Effects A Digression on Unit Roots in Time Series Tests for Serial Correlation in Returns Evidence on Stock-Return Predictability Time-Varying Expected Returns on Bonds Consumption-Based DAPMs Empirical Challenges Facing DAPMs Assessing Goodness-of-Fit Time-Separable Single-Good Models Models with Durable Goods Habit Formation Non-State-Separable Preferences Other Preference-Based Models Bounds on the Volatility of mf Pricing Kernels and Factor Models A Single-Beta Representation of Returns Beta Representations of Excess Returns Conditioning Down and Beta Relations From Pricing Kernels to Factor Models Methods for Testing Beta Models Empirical Analyses of Factor Models 302 III No-Arbitrage DAPMs Models of the Term Structure of Bond Yields Key Ingredients of a DTSM Affine Term Structure Models Continuous-Time Affine DTSMs Discrete-Time Affine DSTMs Quadratic-Gaussian Models Nonaffine Stochastic Volatility Models Bond Pricing with Jumps DTSMs with Regime Shifts 334

5 13 Empirical Analyses of Dynamic Term Structure Models Estimation of DTSMs Empirical Challenges for DTSMs DTSMs of Swap and Treasury Yields Factor Interpretations in Affine DTSMs Macroeconomic Factors and DTSMs Term Structures of Corporate Bond Spreads DTSMs ofdefaultable Bonds Parametric Reduced-Form Models Parametric Structural Models Empirical Studies of Corporate Bonds Modeling Interest Rate Swap Spreads Pricing Credit Default Swaps Is Default Risk Priced? Equity Option Pricing Models No-Arbitrage Option Pricing Models Option Pricing Estimation of Option Pricing Models Econometric Analysis of Option Prices Options and Revealed Preferences Options on Individual Common Stocks Pricing Fixed-Income Derivatives Pricing with Affine DTSMs Pricing Using Forward-Rate Models Risk Factors and Derivatives Pricing 425 J 6.4. Affine Models of Derivatives Prices Forward-Rate-Based Pricing Models On Model-Basing Hedging Pricing Eurodollar Futures Options 433 References 435 Index 465