Dynamic asset-pricing models
Author(s)
Bibliographic Information
Dynamic asset-pricing models
（An Elgar reference collection）（The international library of financial econometrics, 3）
Edward Elgar, c2007
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Note
"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
Description and Table of Contents
Description
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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