International Library of Financial Econometrics, Volumes I to V


Edited by Andrew W. Lo, 2007
Glos, UK: Edward Elgar Publishing Limited
8 Lansdown Place, Cheltenham, Glos, GL50 2HU, UK
Tel: +44 1242 226934
Fax: +44 1242 262111
ISBN: 1843763427

Read Andrew Lo's Introduction to the International Library of Financial Econometrics

To order, see publisher information at Elgar Financial Econometrics Webpage

(Excerpt from book cover)

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.