Preface xi
Acknowledgments xiii
Chapter 1: Introduction 1
Chapter 2: Model Specification and Estimation Strategies 17
Chapter 3: Large-Sample Properties of Extremum Estimators 35
Chapter 4: Goodness-of-Fit and Hypothesis Testing 71
Chapter 5: Affine Processes 98
Chapter 6: Simulation-Based Estimators of DAPMs 130
Chapter 7: Stochastic Volatility, Jumps, and Asset Returns 158
Chapter 8: Pricing Kernels and DAPMs 195
Chapter 9: Linear Asset Pricing Models 211
Chapter 10: Consumption-Based DAPMs 246
Chapter 11: Pricing Kernels and Factor Models 282
Chapter 12: Models of the Term Structure of Bond Yields 311
Chapter 13: Empirical Analyses of Dynamic Term Structure Models 338
Chapter 14: Term Structures of Corporate Bond Spreads 364
Chapter 15: Equity Option Pricing Models 391
Chapter 16: Pricing Fixed-Income Derivatives 412
Index 465