Continuous-Time Methods And Market Microstructure (International Library Of Financial Econometrics)
Authors: Andrew W. Lo
Publisher: Edward Elgar Pub
Keywords: international, library, fina, microstructure, market, time, methods, continuous
Category: Finance, Business & Investing,
ISBN-10: 1847202659 ISBN-13: 9781847202659
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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