NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Andrew W. Lo

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Books

Quantifying Systemic Risk
with Joseph G. Haubrich, Andrew W. Lo
Conference held November 6, 2009
Published in January 2013 by University of Chicago Press
© 2013 by the National Bureau of Economic Research

The Industrial Organization and Regulation of the Securities Industry
Conference held January 19-22, 1994
Published in January 1996 by University of Chicago Press
© 1996 by the National Bureau of Economic Research

Working Papers and Chapters

April 2012Introduction to "Quantifying Systemic Risk"
with Joseph G. Haubrich, Andrew W. Lo
in Quantifying Systemic Risk, Joseph G. Haubrich and Andrew W. Lo, editors
July 2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
with Monica Billio, Mila Getmansky, Andrew W. Lo, Loriana Pelizzon: w16223

Published: Econometric Measures of Systemic Risk in the Finance and Insurance Sectors, Monica Billio, Mila Getmansky, Andrew W. Lo, Loriana Pelizzon. in Market Institutions and Financial Market Risk, Carey, Kashyap, Rajan, and Stulz. 2012

June 2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
with Monica Billio, Mila Getmansky, Andrew W. Lo, Loriana Pelizzon
in Market Institutions and Financial Market Risk, Mark Carey, Anil Kashyap, Raghuram Rajan, and René Stulz, organizers
September 2009Systemic Risk and the Refinancing Ratchet Effect
with Amir E. Khandani, Andrew W. Lo, Robert C. Merton: w15362

Published: Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45. citation courtesy of

December 2008Impossible Frontiers
with Thomas J. Brennan, Andrew W. Lo: w14525

Published: Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June. citation courtesy of

November 2008What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
with Amir E. Khandani, Andrew W. Lo: w14465

Published: Khandani, Amir E. & Lo, Andrew W., 2011. "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, vol. 14(1), pages 1-46, February. citation courtesy of

January 2007Systemic Risk and Hedge Funds
with Nicholas Chan, Mila Getmansky, Shane M. Haas, Andrew W. Lo
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
April 2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
with Andrew W. Lo, Dmitry V. Repin, Brett N. Steenbarger: w11243

Published: Lo, Andrew W., Dimitry V. Repin and Brett N. Steenbarger. "Fear And Greed In Financial Markets: A Clinical Study Of Day-Traders," American Economic Review, 2005, v95(2,May), 352-359. citation courtesy of

March 2005Systemic Risk and Hedge Funds
with Nicholas Chan, Mila Getmansky, Shane M. Haas, Andrew W. Lo: w11200

Published:

March 2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
with Mila Getmansky, Andrew W. Lo, Igor Makarov: w9571

Published: Getmansky, Mila, Andrew W. Lo and Igor Makarov. "An Econometric Model Of Serial Correlation And Illiquidity In Hedge Fund Returns," Journal of Financial Economics, 2004, v74(3,Dec), 529-609. citation courtesy of

October 2001The Psychophysiology of Real-Time Financial Risk Processing
with Andrew W. Lo, Dmitry V. Repin: w8508

Published: Lo, Andrew W. and Dmitry V. Repin. "The Psychophysiology of Real-Time Financial Risk Processing." Journal of Cognitive Neuroscience 14, 3 (April 1, 2002): 323-339.

Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
with Andrew W. Lo, Jiang Wang: w8565

Published: Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December. citation courtesy of

May 2001Asset Prices and Trading Volume Under Fixed Transactions Costs
with Andrew W. Lo, Harry Mamaysky, Jiang Wang: w8311

Published: Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October. citation courtesy of

March 2000Nonparametric Risk Management and Implied Risk Aversion
with Yacine Ait-Sahalia, Andrew W. Lo: w6130

Published: Journal of Econometrics, Vol. 94 (2000): 9-51. citation courtesy of

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
with Andrew W. Lo, Harry Mamaysky, Jiang Wang: w7613

Published: Lo, Andrew W., Harry Mamaysky and Jiang Wang. "Foundations Of Technical Analysis: Computational Algorithms, Statistical Inference, And Empirical Implementation," Journal of Finance, 2000, v55(4,Aug), 1705-1765. citation courtesy of

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
with Andrew W. Lo, Jiang W. Wang: w7625

Published: Lo, A. W. and J. Wang. "Trading Volume: Definitions, Data Analysis, And Implications Of Portfolio Theory," Review of Financial Studies, 2000, v13(2,Summer), 257-300. citation courtesy of

November 1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
with Dimitris Bertsimas, Leonid Kogan, Andrew W. Lo: w6250

Published: Bertsimas, D., L. Kogan, and A. Lo. “Pricing and Hedging Derivative Securities in Incomplete Markets: An ε-Arbitrage approach." Operations Research 49 (2001): 372-397.

Econometric Models of Limit-Order Executions
with Andrew W. Lo, A. Craig MacKinlay, June Zhang: w6257

Published: Lo, Andrew W., A. Craig MacKinlay and June Zhang. "Econometric Models Of Limit-Order Executives," Journal of Financial Economics, 2002, v65(1,Jul), 31-71. citation courtesy of

November 1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
with Yacine Ait-Sahalia, Andrew W. Lo: w5351

Published: The Journal of Finance, Vol. 53, no. 2 (April 1998): 499-547. citation courtesy of

February 1995Maximizing Predictability in the Stock and Bond Markets
with Andrew W. Lo, A. Craig MacKinlay: w5027

Published: Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 102-134, January. citation courtesy of

April 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
with James M. Hutchinson, Andrew W. Lo, Tomaso Poggio: w4718

Published: Journal of Finance, vol. 49, no. 3, July 1994, pp 851-889 citation courtesy of

Implementing Option Pricing Models When Asset Returns Are Predictable
with Andrew W. Lo, Jiang Wang: w4720

Published: Journal of Finance, vol. 50, no. 1, March 1995. citation courtesy of

October 1991An Ordered Probit Analysis of Transaction Stock Prices
with Jerry A. Hausman, Andrew W. Lo, A. Craig MacKinlay: w3888

Published: Journal of Financial Economics, Volume 31, No.2, pp.319-379, 1992 citation courtesy of

February 1991An Econometric Analysis of Nonsynchronous Trading
with Andrew W. Lo, A. Craig MacKinlay: w2960

Published: Journal of Econometrics, Vol. 45, pp. 181-211, (1990). citation courtesy of

June 1989Data-Snooping Biases in Tests of Financial Asset Pricing Models
with Andrew W. Lo, A. Craig MacKinlay: w3001

Published: The Review of Financial Studies, Vol. 3, No. 3, pp. 431-467, (1990). citation courtesy of

May 1989When are Contrarian Profits Due to Stock Market Overreaction?
with Andrew W. Lo, A. Craig MacKinlay: w2977

Published: The Review of Financial Studies, Vol. 3, No. 2, pp. 175-205, (1990). citation courtesy of

Long-term Memory in Stock Market Prices
w2984

Published: Econometrica, Vol. 59, No. 5, pp.1279-1314, September 1991. citation courtesy of

April 1989The Sources and Nature of Long-term Memory in the Business Cycle
with Joseph G. Haubrich, Andrew W. Lo: w2951

Published: Haubrich, Joseph G. and Andrew W. Lo. "The Sources And Nature Of Long-Term Memory In Aggregate Output," FRB Cleveland - Economic Review, 2001, v37(2,Second-Qtr), 15-30.

June 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
with Andrew W. Lo, A. Craig MacKinlay: t0066

Published: Journal of Econometrics, vol. 40, 1989, pp. 203-238

February 1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
with Andrew W. Lo, A. Craig MacKinlay: w2168

Published: The Review of Financial Studies, Vol. 1, No. 1, pp. 41-66, (1988). citation courtesy of

August 1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
t0059

Published: Econometric Theory, vol. 4, 1988, pp. 231-247

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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