Statistical Models of Asset Returns
Author | : Andrew W. Lo |
Publisher | : Edward Elgar Publishing |
Total Pages | : 0 |
Release | : 2007 |
ISBN-10 | : 1843763427 |
ISBN-13 | : 9781843763420 |
Rating | : 4/5 (420 Downloads) |
Download or read book Statistical Models of Asset Returns written by Andrew W. Lo and published by Edward Elgar Publishing. This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.