Research


Games of Survival in the Newspaper Industry

with Randolph Bucklin and Richard Caves, Applied Economics 21 (1989), 631–650.

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The Size and Power of the Variance Ration Test in Finite Samples: A Monte Carlo Investigation

with Craig MacKinlay, Journal of Econometrics 40 (1989), 203-238.

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

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

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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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Semiparametric Upper Bounds for Option Prices and Expected Payoffs

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

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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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Optimal Control of Execution Costs

with Dimitris Bertsimas, Journal of Financial Markets 1 (1998), 1–50.

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

with Whitney Newey, Economics Letters 19 (1985), 351-353.

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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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Systemic Risk and the Refinancing Ratchet Effect

with Amir E. Khandani and Robert C. Merton., Journal of Financial Economics 108 (2013), 29-45.

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