Statistical Models Of Asset Returns

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.