Continuous-Time methods and market microstructure [Book] / edited by Andrew W. Lo.
Material type: TextSeries: The international library of financial econometrics ; 4Publication details: Northampton, MA : Northampton, MA : Edward Elgar, c2007.Description: 5 v. : 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)
- The international library of financial econometrics. Volume 4, Continuous-Time methods and market microstructure
- 332.01 5195 22
- HG106 .I578 2007
- 332.015195
Item type | Current library | Call number | Status | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|
Books | Junaid Zaidi Library, COMSATS University Islamabad | 332.015195 CON (Browse shelf(Opens below)) | Available | 49497 |
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332.015195 BRO-I Introductory econometrics for finance / | 332.015195 BRO-I Introductory econometrics for finance | 332.015195 BRO-I Introductory econometrics for finance | 332.015195 CON Continuous-Time methods and market microstructure | 332.015195 ECO Econophysics an introduction / | 332.015195 KOO-A Analysis of financial data | 332.015195 KOO-A Analysis of financial data |
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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