Statistical methods and non-standard finance - Lo, Andrew W. (Andrew Wen-Chuan). (Cheltenham, Gloscester [England] Edward Elgar, 2007)
Part 1 - Anomalies and selection bias -- Data-snooping biases in tests of financial asset pricing models / Andrew W. Lo and A. Craig MacKinlay -- Survivorship bias in performance studies / Stephen J. Brown, William Goetzmann, Roger G. Ibbotson and Stephen A. Ross -- Assessing goodness-of-fit of asset pricing models: the distribution of the maximal R2 / F. Douglas Foster, Tom Smith and Robert E. Whaley -- Part 2 - Bayesian Methods -- The effect of limited information and estimation risk on optimal portfolio diversification / Roger W. Klein and Vijay S. Bawa -- A bayesian approach to testing portfolio efficiency / Jay Shanken -- Bayesian inference in Asset pricing tests / Campbell R. Harvey and Guofu Zhou -- A bayesian approach to testing the arbitrage pricing theory / Robert McCulloch and Peter E. Rossi -- Bayesian inference and portfolio efficiency / Shmuel Kandel, Robert McCulloch and Robert F. Stambaugh -- Part 3 - Event studies, gym, and other statistical tools -- The adjustment of stock prices to new information international economic review / Eugene F. Fama, Lawrence Fisher, Michael C. Jensen and Richard Roll -- On estimating the expected return on the market: an explanatory investigation / Robert C. Merton -- Large sample properties of generalized methods of moments estimators / Lars Peter Hansen -- Using daily stock returns: the case event studies / Stephen J. Brown and Jerold B. Warner -- A simple positive semi-definite, heteroskedasticity and autocorrelation consistent convariance matrix / Whitney K. Newey and Kenneth D. West -- Investigating security-price performance in the presence of event-date uncertainty / Clifford A. Ball and Walter N. Torous -- Test of financial models in the presence of overlapping observations / Matthew Richardson and Tom Smith -- Part 4 - Non-Standard Finance -- Chaos and nonlinear dynamics: application to financial markets / David A. Hsieh -- Simple technical trading rules and the stochastic properties of stock returns / William Brock, Josef Lakonishok and Black LeBaron -- A nonparametric approach to pricing and hedging derivative securities via learning networks / James M. Hutchkinson, Andrew W. Lo and Tomas Poggio -- Universal and non-universal properties of cross correlations in financial time series / Vasiliki Plerou, Parameswaran Gopikrishnan , Bernd Rosenow, Luis A. Nunes Amaral and H. Eugene Stanley -- Foundations of technical analysis: computational algorithms, statistical inference, and empirical implementation / Andrew W. Lo, Harry Mamaysky and Jian Wang -- Noisy Covariance Matrices and Portfolio optimization / S. Pafka and I. Kondor
Keywords: Finance -- Statistical methods; Investments -- Statistical methods; Portfolio management -- Statistical methods