Publication List

Maximum Likelihood Estimation of Generalized ItÔ Processes with Discretely-Sampled Data." Lo, Andrew W. Econometric Theory Vol. 4, No. 2 (1988): 231–247.

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test." Lo, Andrew W. and A. Craig MacKinlay. Review of Financial Studies Vol. 1, No. 1 (1988): 41–66.

Semiparametric Upper Bounds for Option Prices and Expected Payoffs." Lo, Andrew W. Journal of Financial Economics Vol. 19, No. 2 (1987): 373–388.

Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology." Lo, Andrew W. Journal of Financial Economics Vol. 17, No. 1 (1986): 143–173.

Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies." Lo, Andrew W. Journal of Econometrics Vol. 31, No. 2 (1986): 151–178.

A Large-Sample Chow Test for the Single Linear Simultaneous Equation." Lo, Andrew W. and Whitney Newey. Economics Letters Vol. 18, No. 4 (1985): 351–353.

Bond Illiquidity and Excess Volatility." Bao, Jack, and Jun Pan. Review of Financial Studies Vol. 26, No. 12 (2013): 3068-3101.

Noise as Information for Illiquidity." Grace Xing Hu, Jun Pan and Jiang Wang. Journal of Finance Vol. 68, No. 6 (2013): 2223-2772.

How Sovereign is Sovereign Credit Risk?" Longstaff, Francis A., Jun Pan, Lasse H. Pedersen and Kenneth J. Singleton. American Economic Journal: Macroeconomics Vol. 3, No. 2 (2011): 75-103.

Volatility Information Trading in the Option Market." Ni, Sophie X., Jun Pan and Allen M. Poteshman. Journal of Finance Vol. 63, No. 3 (2008): 1059-1091.