Continous-time Methods and Market Microstructure (International Library of Financial Econometrics Series v. 4)

Continous-time Methods and Market Microstructure (International Library of Financial Econometrics Series v. 4)

By: Andrew W. Lo (editor)Hardback

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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.

Product Details

  • ISBN13: 9781847202659
  • Format: Hardback
  • Number Of Pages: 672
  • ID: 9781847202659
  • ISBN10: 1847202659

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