The Econometrics of Financial Markets
This book is an ambitious effort by three well-known and well-respected scholars to fill an acknowledged void in the literature—a text covering the burgeoning field of empirical...
Publications
4 shownImplementing Option Pricing Models When Asset Returns Are Predictable
ABSTRACT The predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not e...
An ordered probit analysis of transaction stock prices
We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. This approach recognizes that t...
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Journal Article Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test Get access Andrew W. Lo, Andrew W. Lo University of Pennsylvania Search...
Frequent Co-Authors
Researcher Info
- h-index
- 4
- Publications
- 4
- Citations
- 10,526
- Institution
- California University of Pennsylvania
External Links
Impact Metrics
h-index
4
h-index: Number of publications with at least h citations each.