Research


Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices

with Yacine Ait-Sahalia, Journal of Finance 52 (1998), 499–548.

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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specifcation Test

with Craig MacKinlay, Review of Financial Studies 1 (1988), 41-66.

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Maximizing Predictability in the Stock and Bond Markets

with Craig MacKinlay, Macroeconomic Dynamics 1 (1997), 118–158.

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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Econometric Theory 4 (1988), 231-247.

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Implementing Option Pricing Models When Asset Returns Are Predictable

with Jiang Wang, Journal of Finance 50 (1995), 87–129.

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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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