Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed- income derivatives prices; and the prices of defaultable securities. INDICE: Chapter 1:Introduction. Chapter 2: Model Specification and Estimation Strategies. Chapter 3: Large-Sample Properties of Extremum Estimators. Chapter 4: Goodness-of-Fit and Hypothesis Testing. Chapter 5: Affine Processes. Chapter 6: Simulation-Based Estimators of DAPMs. Chapter 7: Stochastic Volatility, Jumps, and Asset Returns. Chapter 8: Pricing Kernels and DAPMs. Chapter 9: Linear Asset Pricing Models. Chapter 10: Consumption-Based DAPMs. Chapter 11: Pricing Kernels and Factor Models. Chapter 12: Models of the Term Structure of Bond Yields. Chapter 13: Empirical Analyses of Dynamic Term Structure Models. Chapter 14: Term Structures of Corporate Bond Spreads. Chapter 15: Equity Option Pricing Models. Chapter 16: Pricing Fixed-Income Derivatives.