Dynamic asset-pricing models
著者
書誌事項
Dynamic asset-pricing models
（An Elgar reference collection）（The international library of financial econometrics, 3）
Edward Elgar, c2007
大学図書館所蔵 全51件
注記
"Wherever possible, the articles in these volumes have beeen reproduced as originally publishded using facsimile reproduction, inclusive of footnotes and pagination to faciliate ease of reference"- -added t.p. verso
Includes bibliographical references and index
内容説明・目次
内容説明
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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