European University Institute Library

Empirical asset pricing, models and methods, Wayne Ferson

eng

Includes bibliographical references and index

illustrations

index present

non fiction

Empirical asset pricing

bibliography

1044775972

Wayne Ferson

models and methods

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