Description

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