Research


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

Lo, Andrew W., and A. Craig MacKinlay (1989), The Size and Power of the Variance Ratio Test in Finite Samples. A Monte Carlo Investigation, Journal of Econometrics 40 (2), 203–238.

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

Lo, Andrew W., and A. Craig MacKinlay (1988), Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test, Review of Financial Studies 1 (1), 41–66.

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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Lo, Andrew W. (1988), Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data, Econometric Theory 4 (2), 231–247.

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Semiparametric Upper Bounds for Option Prices and Expected Payoffs

Lo, Andrew W. (1987), Semi-Parametric Upper Bounds for Option Prices and Expected Payoffs, Journal of Financial Economics 19 (2), 373–387.

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

Lo, Andrew W. (1986), Logit versus Discriminant Analysis. A Specification Test and Application to Corporate Bankruptcies, Journal of Econometrics 31 (2), 151–178.

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Optimal Control of Execution Costs

Bertsimas, Dimitris, and Andrew W. Lo (1998), Optimal Control of Execution Costs, Journal of Financial Markets 1 (1), 1–50.

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

Lo, Andrew W., and Whitney K. Newey (1985), A Large-Sample Chow Test for the Linear Simultaneous Equation, Economics Letters 18 (4), 351–353.

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

Aït-Sahalia, Yacine, and Andrew W. Lo (1998), Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, Journal of Finance 53 (2), 499–547.

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Systemic Risk and the Refinancing Ratchet Effect

Khandani, Amir E., Andrew W. Lo, and Robert C. Merton (2013), Systemic Risk and the Refinancing Ratchet Effect, Journal of Financial Economics 108 (1), 29–45.

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Maximizing Predictability in the Stock and Bond Markets

Lo, Andrew W., and A. Craig MacKinlay (1997), Maximizing Predictability in the Stock and Bond Markets, Macroeconomic Dynamics 1 (1), 102–134.

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