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The econometrics of financial markets

Campbell, John Y.; Lo, Andrew W.; MacKinlay, Archie Craig - 1997

Persistent link: https://www.econbiz.de/10013503137

Maximizing predictability in the stock and bond markets

Lo, Andrew W. - In: Macroeconomic dynamics 1 (1997) 1, pp. 102-134

Persistent link: https://www.econbiz.de/10001337437

An ordered probit analysis of transaction stock prices

Hausman, Jerry A. - In: Journal of financial economics 31 (1992) 3, pp. 319-379

Persistent link: https://www.econbiz.de/10001131965

When are contrarian profits due to stock market overreaction?

Lo, Andrew W. - In: The review of financial studies 3 (1990) 2, pp. 175-205

Persistent link: https://www.econbiz.de/10001105905

A non-random walk down Wall Street

Lo, Andrew W.; MacKinlay, Archie Craig - 2002

Persistent link: https://www.econbiz.de/10001611544

Econometric models of limit-order executions

Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 1999

Persistent link: https://www.econbiz.de/10001408440

Stock market prices do not follow random walks : evidence from a simple specification test

Lo, Andrew W. - In: The review of financial studies 1 (1988) 1, pp. 41-66

Persistent link: https://www.econbiz.de/10001100400

Econometric models of limit-order executions

Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - In: Journal of financial economics 65 (2002) 1, pp. 31-71

Persistent link: https://www.econbiz.de/10001690102

A Non-Random Walk Down Wall Street

MacKinlay, Archie Craig; Lo, Andrew W. - 1999

Biographical note: Andrew W. Lo is the Harris & Harris Group Professor of Finance at the Sloan School of Management, Massachusetts Institute of Technology. A. Craig MacKinlay is Joseph P. Wargrove Professor of Finance at the Wharton School, University of Pennsylvania. With John Y. Campbell, they...

Persistent link: https://www.econbiz.de/10014488591

The declining credit quality of US corporate debt : myth or reality?

Blume, Marshall E.; Lim, Felix; MacKinlay, Archie Craig - 1998

Persistent link: https://www.econbiz.de/10000982510