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.
- ISBN10 1847202624
- ISBN13 9781847202628
- Publish Date 23 April 2007
- Publish Status Active
- Out of Print 13 July 2022
- Publish Country GB
- Imprint Edward Elgar Publishing Ltd
- Format Hardcover
- Pages 576
- Language English