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.1764 The Journal of Finance ations may lead to an entirely new branch of technical analysis, one based on selecting ... Campbell, John, Andrew W. Lo, and A. Craig MacKinlay, 1997, The Econometrics of Financial Markets (Princetonanbsp;...
|Title||:||Statistical Methods and Non-standard Finance|
|Author||:||Andrew Wen-Chuan Lo|
|Publisher||:||Edward Elgar Pub - 2007-01-01|