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.
Product details
- Publisher : Edward Elgar Publishing Ltd (25 May 2007)
- Language : English
- Hardcover : 672 pages
- ISBN-10 : 1847202659
- ISBN-13 : 978-1847202659
- Dimensions : 17.15 x 5.08 x 24.13 cm
Reviews
There are no reviews yet.