The Resource Empirical asset pricing : models and methods, Wayne Ferson
Empirical asset pricing : models and methods, Wayne Ferson
Resource Information
The item Empirical asset pricing : models and methods, Wayne Ferson represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Empirical asset pricing : models and methods, Wayne Ferson represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
- Language
- eng
- Extent
- xiv, 476 pages
- Contents
-
- Introduction to empirical asset pricing
- Stochastic discount factors and yen
- State pricing and m-talk
- Maximization and the m-talk euler equations
- Expected risk premiums and alphas
- So many models, so little time (taxonomy)
- Applications of m-talk
- The three paradigms of empirical asset pricing
- Mean-variance models
- Mean efficiency and the capm
- Mean variance efficiency with conditioning information
- Variance bounds on stochastic discount factors
- Variance bounds with conditioning information
- Multi-beta pricing
- Arbitrage pricing and factor analysis
- Multibeta equilibrium models
- Multibeta models with conditioning information
- Empirical asset pricing tools
- Introduction to the generalized method of moments (GMM)
- Gmm implementation
- GMM covariance matrices
- GMM tests
- Advanced gmm
- GMM examples
- Multivariate regression models
- Cross sectional regression methods
- Introduction to panel methods in finance
- Bootstrap methods and multiple comparisons
- Investment performance evaluation
- Classical investment performance evaluation
- Conditional investment performance evaluation
- Term structure and bond fund performance
- Investment performance evaluation: a modern perspective
- Production-based asset pricing
- The campbell shiller approximation and vector autoregressions
- Long run risk models
- Predictability: an overview
- Characteristics versus covariances
- Volatility and the cross-section of stock returns
- Appendix
- References
- Index
- Isbn
- 9780262039376
- Label
- Empirical asset pricing : models and methods
- Title
- Empirical asset pricing
- Title remainder
- models and methods
- Statement of responsibility
- Wayne Ferson
- Language
- eng
- http://library.link/vocab/creatorName
- Ferson, Wayne E
- Illustrations
- illustrations
- Index
- index present
- Literary form
- non fiction
- Nature of contents
- bibliography
- http://library.link/vocab/subjectName
-
- Stocks
- Rate of return
- Econometric models
- Moments method (Statistics)
- Estimation theory
- Label
- Empirical asset pricing : models and methods, Wayne Ferson
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- Introduction to empirical asset pricing -- Stochastic discount factors and yen -- State pricing and m-talk -- Maximization and the m-talk euler equations -- Expected risk premiums and alphas -- So many models, so little time (taxonomy) -- Applications of m-talk -- The three paradigms of empirical asset pricing -- Mean-variance models -- Mean efficiency and the capm -- Mean variance efficiency with conditioning information -- Variance bounds on stochastic discount factors -- Variance bounds with conditioning information -- Multi-beta pricing -- Arbitrage pricing and factor analysis -- Multibeta equilibrium models -- Multibeta models with conditioning information -- Empirical asset pricing tools -- Introduction to the generalized method of moments (GMM) -- Gmm implementation -- GMM covariance matrices -- GMM tests -- Advanced gmm -- GMM examples -- Multivariate regression models -- Cross sectional regression methods -- Introduction to panel methods in finance -- Bootstrap methods and multiple comparisons -- Investment performance evaluation -- Classical investment performance evaluation -- Conditional investment performance evaluation -- Term structure and bond fund performance -- Investment performance evaluation: a modern perspective -- Production-based asset pricing -- The campbell shiller approximation and vector autoregressions -- Long run risk models -- Predictability: an overview -- Characteristics versus covariances -- Volatility and the cross-section of stock returns -- Appendix -- References -- Index
- Control code
- on1044775972
- Dimensions
- 24 cm
- Extent
- xiv, 476 pages
- Isbn
- 9780262039376
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- System control number
- (OCoLC)1044775972
- Label
- Empirical asset pricing : models and methods, Wayne Ferson
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- Introduction to empirical asset pricing -- Stochastic discount factors and yen -- State pricing and m-talk -- Maximization and the m-talk euler equations -- Expected risk premiums and alphas -- So many models, so little time (taxonomy) -- Applications of m-talk -- The three paradigms of empirical asset pricing -- Mean-variance models -- Mean efficiency and the capm -- Mean variance efficiency with conditioning information -- Variance bounds on stochastic discount factors -- Variance bounds with conditioning information -- Multi-beta pricing -- Arbitrage pricing and factor analysis -- Multibeta equilibrium models -- Multibeta models with conditioning information -- Empirical asset pricing tools -- Introduction to the generalized method of moments (GMM) -- Gmm implementation -- GMM covariance matrices -- GMM tests -- Advanced gmm -- GMM examples -- Multivariate regression models -- Cross sectional regression methods -- Introduction to panel methods in finance -- Bootstrap methods and multiple comparisons -- Investment performance evaluation -- Classical investment performance evaluation -- Conditional investment performance evaluation -- Term structure and bond fund performance -- Investment performance evaluation: a modern perspective -- Production-based asset pricing -- The campbell shiller approximation and vector autoregressions -- Long run risk models -- Predictability: an overview -- Characteristics versus covariances -- Volatility and the cross-section of stock returns -- Appendix -- References -- Index
- Control code
- on1044775972
- Dimensions
- 24 cm
- Extent
- xiv, 476 pages
- Isbn
- 9780262039376
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- System control number
- (OCoLC)1044775972
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Empirical-asset-pricing--models-and-methods/SxgEL_dATv8/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Empirical-asset-pricing--models-and-methods/SxgEL_dATv8/">Empirical asset pricing : models and methods, Wayne Ferson</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Empirical-asset-pricing--models-and-methods/SxgEL_dATv8/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Empirical-asset-pricing--models-and-methods/SxgEL_dATv8/">Empirical asset pricing : models and methods, Wayne Ferson</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
