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The Resource Empirical asset pricing : models and methods, Wayne Ferson

Empirical asset pricing : models and methods, Wayne Ferson

Label
Empirical asset pricing : models and methods
Title
Empirical asset pricing
Title remainder
models and methods
Statement of responsibility
Wayne Ferson
Creator
Subject
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
Instantiates
Publication
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
Publication
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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