The International Library Of Financial Econometrics (Elgar Mini Series)
Authors: Andrew W. Lo
Publisher: Edward Elgar Pub
Keywords: mini, series, elgar, econometrics, library, financial, international
Category: Economics, Business & Investing,
ISBN-10: 1843763427 ISBN-13: 9781843763420
List Price: 1,350.00 USD
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. It contains 114 articles, dating from 1960 to 2004.
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