This is an introduction to a five-volume collection of papers on financial econometrics published by Edward Elgar Publishers in 2007. It is written by Andrew W. Lo, Harris & Harris Group Professor, MIT, in 2006.

In these five volumes , the most influential papers of financial econometrics have been collected, spanning four decades and five distinct subfields.

1. statistical models of asset returns
2. static asset-pricing models
3. dynamic asset-pricing models
4. continuous-time methods and market microstructure
5. statistical methods and non-standard finance

The end of the paper lists unanswered research questions that financial econometrics has produced so far.