Dynamic Asset-Pricing Models (International Library Of Financial Econometrics)

Authors: Andrew W. Lo
Publisher: Edward Elgar Pub
Keywords: library, financial, econometrics, international, models, asset, pricing, dynamic
Pages: 639
Published: 2007-06-15
Language: English
Category: Economics, Business & Investing,
ISBN-10: 1847202640     ISBN-13: 9781847202642
Binding: Hardcover
List Price: 290.00 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.

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