Overview

This major collection presents a careful selection of the most important published articles in the field of financial econometrics. Starting with a review of the philosophical background, the collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, market microstructure, Bayesian methods and other statistical tools. Andrew Lo - one of the world's leading financial economists - has written an authoritative introduction, which offers a comprehensive overview of the subject and complements his selection.

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9781843763420

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Edited by Andrew W. Lo, Charles E. and Susan T. Harris Professor, MIT Sloan School of Management and Director, MIT Laboratory for Financial Engineering, Cambridge, Massachusetts, US

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