NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Andrew W. Lo

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Books

Quantifying Systemic Risk
with Joseph G. Haubrich
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
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, Loriana Pelizzon: w16223
June 2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
with Monica Billio, Mila Getmansky, 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, Robert C. Merton: w15362
December 2008Impossible Frontiers
with Thomas J. Brennan: w14525
November 2008What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
with Amir E. Khandani: w14465
January 2007Systemic Risk and Hedge Funds
with Nicholas Chan, Mila Getmansky, Shane M. Haas
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 Dmitry V. Repin, Brett N. Steenbarger: w11243
March 2005Systemic Risk and Hedge Funds
with Nicholas Chan, Mila Getmansky, Shane M. Haas: w11200
March 2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
with Mila Getmansky, Igor Makarov: w9571
October 2001The Psychophysiology of Real-Time Financial Risk Processing
with Dmitry V. Repin: w8508
Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
with Jiang Wang: w8565
May 2001Asset Prices and Trading Volume Under Fixed Transactions Costs
with Harry Mamaysky, Jiang Wang: w8311
March 2000Nonparametric Risk Management and Implied Risk Aversion
with Yacine Ait-Sahalia: w6130
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
with Harry Mamaysky, Jiang Wang: w7613
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
with Jiang W. Wang: w7625
November 1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
with Dimitris Bertsimas, Leonid Kogan: w6250
Econometric Models of Limit-Order Executions
with A. Craig MacKinlay, June Zhang: w6257
November 1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
with Yacine Ait-Sahalia: w5351
February 1995Maximizing Predictability in the Stock and Bond Markets
with A. Craig MacKinlay: w5027
April 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
with James M. Hutchinson, Tomaso Poggio: w4718
Implementing Option Pricing Models When Asset Returns Are Predictable
with Jiang Wang: w4720
October 1991An Ordered Probit Analysis of Transaction Stock Prices
with Jerry A. Hausman, A. Craig MacKinlay: w3888
February 1991An Econometric Analysis of Nonsynchronous Trading
with A. Craig MacKinlay: w2960
June 1989Data-Snooping Biases in Tests of Financial Asset Pricing Models
with A. Craig MacKinlay: w3001
May 1989When are Contrarian Profits Due to Stock Market Overreaction?
with A. Craig MacKinlay: w2977
Long-term Memory in Stock Market Prices
w2984
April 1989The Sources and Nature of Long-term Memory in the Business Cycle
with Joseph G. Haubrich: w2951
June 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
with A. Craig MacKinlay: t0066
February 1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
with A. Craig MacKinlay: w2168
August 1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
t0059

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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