Statistical Methods and Non-standard FinanceAndrew W. Lo 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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abnormal performance alternative approximation arbitrage pricing theory asset pricing models assumed assumptions autocorrelation Bayesian inference Black-Scholes compute conditional correlation covariance matrix cross-sectional daily returns delta-hedging dividends econometrics empirical equation estimates event period event study event-date uncertainty event-study method example excess returns expected return Financial Economics Financial Studies Fraction function GARCH-M increases induced ordering intercepts interval Journal of Finance likelihood linear market model maximum maximum-likelihood Monte Carlo multivariate nonlinear normal null hypothesis observations obtained odds ratio optimal options p-value parameters percent portfolio efficiency posterior density posterior distribution prediction prior distribution probability procedure Quintile random walk regression regressors rejection residuals Review of Financial risk riskless asset sample Section Shanken Sharpe measure simulated specification standard deviation standard errors stock returns subperiods Table technical analysis test statistic Theorem tion trading value-weighted values variables variance vector x₁ Y₁ zero