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Variety is the spice of life : irrational behavior as adaptation to stochastic environments
Brennan, Thomas J.; Lo, Andrew W.; Zhang, Ruixun - In: The quarterly journal of finance 8 (2018) 3, pp. 1-39
Persistent link: https://www.econbiz.de/10011922009
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The econometrics of financial markets
Campbell, John Y.; Lo, Andrew W.; MacKinlay, Archie Craig - 1997 - 2. printing, with corrections
Persistent link: https://www.econbiz.de/10000592406
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Market efficiency : stock market behaviour in theory and practice
Lo, Andrew W. (contributor) - 1997
Persistent link: https://www.econbiz.de/10000971430
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The econometrics of financial markets
Campbell, John Y.; Lo, Andrew W.; MacKinlay, A. Craig - 2012
, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory …, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a … particular financial application. This exciting new text contains a unique and accessible combination of theory and practice …
Persistent link: https://www.econbiz.de/10014482555
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Paying off the competition : market power and innovation incentives
Li, Xuelin; Lo, Andrew W.; Thakor, Richard T. - 2021 - This Draft: 19 June 2021
How does a firm’s market power in existing products affect its incentives to innovate? We explore this fundamental question using granular project-level and firm-level data from the pharmaceutical industry, focusing on a particular mechanism through which incumbent firms maintain their market...
Persistent link: https://www.econbiz.de/10012818283
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The International Library of Financial Econometrics
Lo, Andrew W. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003358529
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Regulatory reform in the wake of the financial crisis of 2007 - 2008
Lo, Andrew W. - In: Journal of financial economic policy 1 (2009) 1, pp. 4-43
Persistent link: https://www.econbiz.de/10003908967
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Econometric measures of systemic risk in the finance and insurance sectors
Billio, Monica; Getmansky, Mila; Lo, Andrew W.; … - 2010
Persistent link: https://www.econbiz.de/10003995037
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Econometric measures of connectedness and systemic risk in the finance and insurance sectors
Billio, Monica; Getmansky, Mila; Lo, Andrew W.; … - In: Journal of financial economics 104 (2012) 3, pp. 535-559
Persistent link: https://www.econbiz.de/10009622463
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Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
Billio, Monica - 2010
We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly...
Persistent link: https://www.econbiz.de/10013139889