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Statistical models of asset returns [Book] / edited by Andrew W. Lo.

Contributor(s): Material type: TextTextSeries: The international library of financial economics ; 1Publication details: Northampton, MA : Northampton, MA : Edward Elgar, c2007.Description: xix, 562 p. : ill. ; 25 cmISBN:
  • 9781843763420 (set)
  • 1843763427 (set)
  • 9781847202628 (v. 1)
  • 1847202624 (v. 1)
  • 9781847202635 (v. 2)
  • 1847202632 (v. 2)
  • 9781847202642 (v. 3)
  • 1847202640 (v. 3)
  • 9781847202659 (v. 4)
  • 1847202659 (v. 4)
  • 9781847202666 (v. 5)
  • 1847202667 (v. 5)
Other title:
  • The international library of financial econometrics . Volume 1, Statistical models of asset returns
Subject(s): DDC classification:
  • 332.01 5195 22
Other classification:
  • 332.015195
Contents:
v. 1. Statistical models of asset returns -- v. 2. Static asset-pricing models -- v. 3. Dynamic asset-pricing models -- v. 4. Continuous-time methods and market microstructure -- v. 5. Statistical methods and non-standard finance.
Summary: 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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Includes bibliographical references and index.

v. 1. Statistical models of asset returns -- v. 2. Static asset-pricing models -- v. 3. Dynamic asset-pricing models -- v. 4. Continuous-time methods and market microstructure -- v. 5. Statistical methods and non-standard finance.

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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