Research


Privacy-Preserving Methods for Sharing Financial Risk Exposures

with Emmanuel A. Abbe and Amir E. Khandani, American Economic Review: Papers & Proceedings 102 (2012), 65-70.

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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

with Monica Billio, Mila Getmansky, and Loriana Pelizzon, Journal of Financial Economics 104 (2012), 535-559.

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Reading About the Financial Crisis: A Twenty-One-Book Review

Journal of Economic Literature 50 (2012), 151-178.

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Semiparametric Upper Bounds for Option Prices and Expected Payoffs

Journal of Financial Economics 19 (1987), 373-388.

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A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

with James Hutchinson and Tomaso Poggio, Journal of Finance 49 (1994), 851-889.

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Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies

Journal of Econometrics 31 (1986), 151-178.

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An Ordered Probit Analysis of Transaction Stock Prices

with Craig MacKinlay and Jerry Hausman, Journal of Financial Economics 31 (1992), 319–379.

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Statistical Test of Contingent Claims Asset-Pricing Models: A New Methodology

Journal of Financial Economics 17 (1986), 143-173.

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Long-Term Memory in Stock Market Prices

Econometrica 59 (1991), 1279–1313.

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A Large-Sample Chow Test for the Single Linear Simultaneous Equation

with Whitney Newey, Economics Letters 19 (1986), 351-353.

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