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The econometrics of financial markets A. Craig MacKinlay, Andrew W. Lo, Andrew Y. Lo, John Y. Campbell
Publisher: PUP

I encountered a similar dilemma when learning about the Variance-Ratio test in a book entitled The Econometrics of Financial Markets. Luigi Bocola (Economics) is an empirical macroeconomist whose research interests include applied econometrics and macroeconomics of financial markets. Courses that focus more on the ECONOMETRICS primarily use Campbell, Lo, MacKinlay's "The Econometrics of Financial Markets". Chapter -3 Market Microstructure. Bottom line: "understanding" is overrated, it'd be better to shift your academic preferences towards "truth" and "accuracy" which is what financial econometrics is about. You may read the author has modelled these spread biases. A Solution Manual to The Econometrics of Financial Markets by Petr Adamek, John Y. Refer to The Econometrics of Financial Market by John Y. Solutions manual to Econometric Analysis, 6E, by Greene solutions manual to Econometrics of Financial Markets, by Adamek, Cambell, Lo, MacKinlay, Viceira solutions manual to Econometrics, 2nd edition by Badi H. What do three prominent academic experts conclude when they review the body of evidence for and against the Efficient Markets Hypothesis (EMH), and therefore. 1 year ago # QUOTE 1 GOOD 2 NO GOOD. Cochrane's book is now the standard text for Ph.D financial THEORY courses.