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.

Table of Contents:
Contents: Volume I: Statistical Models of Asset Returns Acknowledgements Introduction Andrew W. Lo PART I PHILOSOPHICAL BACKGROUND 1. Edward Leamer (1983), ‘Let's Take the Con Out of Econometrics’ 2. Richard Roll (1988), ‘R2’ 3. D.R. Cox (1990), ‘Role of Models in Statistical Analysis’ 4. Deirdre N. McCloskey and Stephen T. Ziliak (1996), ‘The Standard Error of Regressions’ PART II THE RANDOM WALK HYPOTHESIS 5. Holbrook Working (1960), ‘Note on the Correlation of First Differences of Averages in a Random Chain’ 6. Benoit Mandelbrot (1963), ‘The Variation of Certain Speculative Prices’ 7. Eugene F. Fama (1965), ‘The Behavior of Stock-Market Prices’ 8. Andrew W. Lo and A. Craig MacKinlay (1988), ‘Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test’ 9. James M. Poterba and Lawrence H. Summers (1988), ‘Mean Reversion in Stock Prices: Evidence and Implications’ 10. Matthew Richardson and James H. Stock (1990), ‘Drawing Inferences From Statistics Based on Multiyear Asset Returns’ PART III TIME-VARYING MOMENTS 11. Robert F. Engle (1982), ‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation’ 12. Tim Bollerslev (1986), ‘Generalized Autoregressive Conditional Heteroskedasticity’ 13. James D. Hamilton (1989), ‘A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle’ 14. Daniel B. Nelson (1991), ‘Conditional Heteroskedasticity in Asset Returns: A New Approach’ PART IV LONG MEMORY AND FAT TAILS 15. Benoit B. Mandelbrot and John W. Van Ness (1968), ‘Fractional Brownian Motions, Fractional Noises and Applications’ 16. Myron T. Greene and Bruce D. Fielitz (1977), ‘Long-Term Dependence in Common Stock Returns’ 17. C.W.J. Granger and Roselyne Joyeux (1980), ‘An Introduction to Long-Memory Time Series Models and Fractional Differencing’ 18. John Geweke and Susan Porter-Hudak (1983), ‘The Estimation and Application of Long Memory Time Series Models’ 19. Andrew W. Lo (1991), ‘Long-Term Memory in Stock Market Prices’ 20. Richard T. Baillie (1996), ‘Long Memory Processes and Fractional Integration in Econometrics’ PART V UNIT ROOTS AND CO-INTEGRATION 21. Robert F. Engle and C.W.J. Granger (1987), ‘Co-Integration and Error Correction: Representation, Estimation, and Testing’ 22. P.C.B. Phillips (1987), ‘Time Series Regression with a Unit Root’ Name Index Volume II: Static Asset Pricing Models Introduction Andrew W. Lo PART I THE CAPITAL ASSET PRICING MODEL 1. Eugene F. Fama and James D. MacBeth (1973), ‘Risk, Return, and Equilibrium: Empirical Tests’ 2. Michael R. Gibbons (1982), ‘Multivariate Tests of Financial Models: A New Approach’ 3. J.D. Jobson and Bob Korkie (1982), ‘Potential Performance and Tests of Portfolio Efficiency’ 4. A. Craig MacKinlay (1987), ‘On Multivariate Tests of the CAPM’ 5. Michael R. Gibbons, Stephen A. Ross and Jay Shanken (1989), ‘A Test of the Efficiency of a Given Portfolio’ 6. Eugene F. Fama and K.R. French (1992), ‘The Cross-Section of Expected Stock Returns’ 7. Fischer Black (1993), ‘Return and Beta’ 8. A. Craig MacKinlay (1995), ‘Multifactor Models Do Not Explain Deviations from the CAPM’ 9. Andrew W. Lo and Jiang Wang (2000), ‘Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory’ PART II THE ARBITRAGE PRICING THEORY 10. Jay Shanken (1982), ‘The Arbitrage Pricing Theory: Is It Testable?’ 11. Gary Chamberlain and Michael Rothschild (1983), ‘Arbitrage, Factor Structure, and Mean Variance Analysis on Large Asset Markets’ 12. Phoebus J. Dhrymes, Irwin Friend and N. Bulent Gultekin (1984), ‘A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory’ 13. Richard Roll and Stephen A. Ross (1984), ‘A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply’ 14. Philip H. Dybvig and Stephen A. Ross (1985), ‘Yes, The APT Is Testable’ 15. Jay Shanken (1985), ‘Multi-Beta CAPM or Equilibrium-APT?: A Reply’ 16. Nai-Fu Chen, Richard Roll and Stephen A. Ross (1986), ‘Economic Forces and the Stock Market’ 17. Bruce N. Lehmann and David M. Modest (1988), ‘The Empirical Foundations of the Arbitrage Pricing Theory’ 18. Gregory Connor and Robert A. Korajczyk (1993), ‘A Test for the Number of Factors in an Approximate Factor Model’ PART III PERFORMANCE ATTRIBUTION 19. Jack L. Treynor and Fischer Black (1973), ‘How to Use Security Analysis to Improve Portfolio Selection’ 20. Robert C. Merton (1981), ‘On Market Timing and Investment Performance I: An Equilibrium Theory of Value for Market Forecasts’ 21. Roy D. Henriksson and Robert C. Merton (1981), ‘On Market Timing and Investment Performance II: Statistical Procedures for Evaluating Forecasting Skills’ 22. Andrew W. Lo (2002), ‘The Statistics of Sharpe Ratios’ 23. Mila Getmansky, Andrew W. Lo and Igor Makarov (2004), ‘An Econometric Analysis of Serial Correlation and Illiquidity in Hedge Fund Returns’ Name Index Volume III: Dynamic Asset-Pricing Models Introduction Andrew W. Lo PART I VARIANCE BOUNDS TESTS 1. Stephen F. LeRoy and Richard D. Porter (1981), ‘The Present Value Relation: Tests Based on Implied Variance Bounds’ 2. Robert J. Shiller (1981), ‘Do Stock Prices Move Too Much To Be Justified By Subsequent Changes in Dividends?’ 3. Marjorie A. Flavin (1983), ‘Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence’ 4. Terry A. Marsh and Robert C. Merton (1986), ‘Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices’ 5. Allan W. Kleidon (1986), ‘Variance Bounds Tests and Stock Price Valuation Models’ 6. John Y. Campbell and Robert J. Shiller (1987), ‘Cointegration and Tests of Present Value Models’ 7. Robert C. Merton (1987), ‘On the Current State of the Stock Market Rationality Hypothesis’ 8. Kenneth D. West (1988), ‘Dividend Innovations and Stock Price Volatility’ 9. Christian Gilles and Stephen F. LeRoy (1991), ‘Econometric Aspects of the Variance Bounds Tests: A Survey’ PART II CONSUMPTION-BASED ASSET-PRICING MODELS 10. Lars Peter Hansen and Kenneth J. Singleton (1983), ‘Stochastic Consumption, Risk Aversion and the Temporal Behavior of Asset Returns’ 11. Rajnish Mehra and Edward C. Prescott (1985), ‘The Equity Premium: A Puzzle’ 12. Douglas T. Breeden, Michael R. Gibbons and Robert H. Litzenberger (1989), ‘Empirical Tests of the Consumption-Oriented CAPM’ 13. Lars Peter Hansen and Ravi Jagannathan (1992), ‘Implications of Security Market Data for Models of Dynamic Economies’ 14. John Heaton and Deborah J. Lucas (1996), ‘Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing’ 15. John Y. Campbell and John H. Cochrane (1999), ‘By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior’ PART III TERM STRUCTURE MODELS AND CREDIT 16. J. Huston McCulloch (1971), ‘Measuring the Term Structure of Interest Rates’ 17. Oldrich A. Vasicek and H. Gifford Fong (1982), ‘Term Structure Modeling Using Exponential Splines’ 18. Andrew W. Lo (1986), ‘Logit Versus Discriminant Analysis: A Specification Test and Application to Corporate Bankruptcies’ 19. Stephen J. Brown and Philip H. Dybvig (1986), ‘The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates’ 20. Eugene F. Fama and Robert R. Bliss (1987), ‘The Information in Long-Maturity Forward Rates’ 21. Darrell Duffie and Kenneth J. Singleton (1993), ‘Simulated Moments Estimation of Markov Models of Asset Prices’ 22. Michael R. Gibbons and Krishna Ramaswamy (1993), ‘A Test of the Cox, Ingersoll, and Ross Model of the Term Structure’ 23. Darrell Duffie and Kenneth J. Singleton (1997), ‘An Econometric Model of the Term Structure of Interest-Rate Swap Yields’ Name Index Volume IV: Continuous-Time Methods and Market Microstructure Introduction Andrew W. Lo PART I MARKET MICROSTRUCTURE 1. Myron Scholes and Joseph Williams (1977), ‘Estimating Betas From Non-Synchronous Data’ 2. Elroy Dimson (1979), ‘Risk Measurement When Shares are Subject to Infrequent Trading’ 3. Kalman J. Cohen, Gabriel A. Hawawini, Steven F. Maier, Robert A. Schwartz and David K. Whitcomb (1983), ‘Estimating and Adjusting for the Intervalling-Effect Bias in Beta’ 4. Richard Roll (1984), ‘A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market’ 5. Robert A. Wood, Thomas H. McInish and J. Keith Ord (1985), ‘An Investigation of Transactions Data for NYSE Stocks’ 6. Jay Shanken (1987), ‘Nonsynchronous Data and the Covariance-Factor Structure of Returns’ 7. Clifford A. Ball (1988), ‘Estimation Bias Induced by Discrete Security Prices’ 8. Lawrence R. Glosten and Lawrence E. Harris (1988), ‘Estimating the Components of the Bid/Ask Spread’ 9. Andrew W. Lo and A. Craig MacKinlay (1990), ‘An Econometric Analysis of Nonsynchronous Trading’ 10. Jerry A. Hausman, Andrew W. Lo and A. Craig MacKinlay (1992), ’An Ordered Probit Analysis of Transaction Stock Prices’ 11. Andrew W. Lo, A. Craig MacKinlay and June Zhang (2002), ‘Econometric Models of Limit-Order Executions’ PART II DERIVATIVES AND CONTINUOUS-TIME ECONOMETRICS 12. Peter K. Clark (1973), ‘A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices’ 13. Robert C. Merton (1975), ‘Theory of Finance From the Perspective of Continuous Time’ 14. Michael Parkinson (1980), ‘The Extreme Value Method for Estimating the Variance of the Rate of Return’ 15. Mark B. Garman and Michael J. Klass (1980), ‘On the Estimation of Security Price Volatilities from Historical Data’ 16. Clifford A. Ball and Walter N. Torous (1985), ‘On Jumps in Common Stock Prices and Their Impact on Call Option Pricing’ 17. Robert J. Shiller and Pierre Perron (1985), ‘Testing the Random Walk Hypothesis: Power Versus Frequency of Observation’ 18. Andrew W. Lo (1986), ‘Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology’ 19. Andrew W. Lo (1987), ‘Semi-parametric Upper Bounds for Option Prices and Expected Payoffs’ 20. Andrew W. Lo (1988), ‘Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data’ 21. Mark Rubinstein (1994), ‘Implied Binomial Trees’ 22. Andrew W. Lo and Jiang Wang (1995), ‘Implementing Option Pricing Models When Asset Returns Are Predictable’ 23. Yacine Aït-Sahalia and Andrew W. Lo (1998), ‘Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices’ 24. Yacine Aït-Sahalia and Andrew W. Lo (2000), ‘Nonparametric Risk Management and Implied Risk Aversion’ 25. Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo (2000), ‘When Is Time Continuous?’ Name Index Volume V: Statistical Methods and Non-Standard Finance Introduction Andrew W. Lo PART I ANOMALIES AND SELECTION BIAS 1. Andrew W. Lo and C. MacKinlay (1990), ‘Data Snooping Biases in Tests of Financial Asset Pricing Models’ 2. Stephen J. Brown, William Goetzmann, Roger G. Ibbotson and Stephen A. Ross (1992), ‘Survivorship Bias In Performance Studies’ 3. F. Douglas Foster, Tom Smith and Robert E. Whaley (1997), ‘Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R2’ PART II BAYESIAN METHODS 4. Roger W. Klein and Vijay S. Bawa (1977), ‘The Effect of Limited Information and Estimation Risk on Optimal Portfolio Diversification’ 5. Jay Shanken (1987), ‘A Bayesian Approach to Testing Portfolio Efficiency’ 6. Campbell R. Harvey and Guofu Zhou (1990), ‘Bayesian Inference in Asset Pricing Tests’ 7. Robert McCulloch and Peter E. Rossi (1991), ‘A Bayesian Approach to Testing the Arbitrage Pricing Theory’ 8. Shmuel Kandel, Robert McCulloch and Robert F. Stambaugh (1995), ‘Bayesian Inference and Portfolio Efficiency’ PART III EVENT STUDIES, GMM, AND OTHER STATISTICAL TOOLS 9. Eugene F. Fama, Lawrence Fisher, Michael C. Jensen and Richard Roll (1969), ‘The Adjustment of Stock Prices to New Information’ 10. Robert C. Merton (1980), ‘On Estimating the Expected Return on the Market: An Exploratory Investigation’ 11. Lars Peter Hansen (1982), ‘Large Sample Properties of Generalized Method of Moments Estimators’ 12. Stephen J. Brown and Jerold B. Warner (1985), ‘Using Daily Stock Returns: The Case of Event Studies’ 13. Whitney K. Newey and Kenneth D. West (1987), ‘A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix’ 14. Clifford A. Ball and Walter N. Torous (1988), ‘Investigating Security-Price Performance in the Presence of Event-Date Uncertainty’ 15. Matthew Richardson and Tom Smith (1991), ‘Tests of Financial Models in the Presence of Overlapping Observations’ PART IV NON-STANDARD FINANCE 16. David A. Hsieh (1991), ‘Chaos and Nonlinear Dynamics: Application to Financial Markets’ 17. William Brock, Josef Lakonishok and Blake LeBaron (1992), ‘Simple Technical Trading Rules and the Stochastic Properties of Stock Returns’ 18. James M. Hutchinson, Andrew W. Lo and Tomaso Poggio (1994), ‘A Nonparametric Approach to Pricing and Hedging Derivative Assets Via Learning Networks’ 19. Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow, Luis A. Nunes Amaral and H. Eugene Stanley (1999), ‘Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series’ 20. Andrew W. Lo, Harry Mamaysky and Jiang Wang (2000), ‘Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation’ 21. S. Pafka and I. Kondor (2002), ‘Noisy Covariance Matrices and Portfolio Optimization’ Name Index