The International Library Of Financial Econometrics Series. 5 Vols. Set

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Lo, Andrew W.

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ISBN:9781843763420
Editorial: Edward Elgar
Fecha de la edición:2007
Encuadernación:Tapa dura
Dimensiones: 0 cm x 0 cm
Nº Pág.:3232
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/ Economía Cuantitativa

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 worlds leading financial economists - has written an authoritative introduction, which offers a comprehensive overview of the subject and complements his selection.

114 articles, dating from 1960 to 2004 Contributors include: E. Fama, L.P. Hansen, S. LeRoy, A. MacKinlay, B. Mandelbrot, D. McCloskey, R.C. Merton, R. Roll, K. Singleton