Book format: An electronic version of a printed book that can be read on a computer or handheld device designed specifically for this purpose.
Publisher: Edward Elgar Publishing Ltd (25 May 2007)
By: Andrew W. Lo (Editor)
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.