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The international library of financial econometrics / edited by Andrew W. Lo. - Cheltenham, Glos, UK ; Northampton, MA : Edward Elgar, c2007. - 5 v. : ill. ; 25 cm. - An Elgar reference collection. .

Statistical models of asset returns.
Other Titles:
Static asset-pricing models.
Dynamic asset-pricing models.
Continuous-time methods and market microstructure.
Statistical methods and non-standard finance.

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. TOC

Summary:
Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more.



ISBN: 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)

LCCN: 2009285637

Subjects--Topical Terms:
Finance--Econometric models.
Business enterprises--Valuation--Mathematical models.
Corporations--Valuation--Mathematical models.
Stocks--Prices--Mathematical models.
Capital assets pricing model.

LC Class. No.: HG106 / .I578 2007

Dewey Class. No.: 332.015195 / INT 2007