The Econometrics of Financial Markets (Hardcover)
Review
Written by the “A” team of financial empiricism, it is a long awaited book. It covers many topics one could only usually find couched in the technical jargon of research papers, presented in this volume with pedagogical intentions. The language, while remaining technical, is quite accessible. It can be effortlessly read by scientific traders with standard knowledge of statistical methods. . . . This book should be made mandatory reading in research departments. — Review
Review
The definitive work explaining this complex but important field of academic endeavor. Oh, and by the way, it’s not just academic. The big question that financial econometircs addresses is: What can you learn about the future from the financial data available from the past? This broad issue can be specified in many different ways, and all the important ones are discussed in the book. . . . The vast literature on all the topics examined is assessed, rendered coherent, and then analysed by (more or buy at…)
5.0 out of 5 stars
Econometrics of Financial Markets
Fresh look at the beating heart of the financial markets by one of the best people in the field.
2.0 out of 5 stars
Last quartile on the subject
This book used to be a must the first time it has been published but after ten years it is getting old and the topic is now better covered by some others authors.
4.0 out of 5 stars
An oldie but goodie
For the past ten years, this boook was the standard of financial time series and cross sectional analysis.
1.0 out of 5 stars
Absolutely useless
I’m not sure what the audience for this extremely poorly written book is. Is it graduate-level students?
3.0 out of 5 stars
Very Good but Not Enough
I just used this book in my master in finance course and think its very good but a bit outdated and incomplete.
4.0 out of 5 stars
A classic book on financial econometrics
This is really a classic book on financial econometrics. I like the design of the book. The content is also pretty up-to-date.
5.0 out of 5 stars
estremamente interessante
E’ probabilmete il più completo manuale di econometrica attualmente reperibile. Sempre preciso e chiarissimo nell’esposizione.
4.0 out of 5 stars
Difficult but worth it
It takes time to work yourself through this book. The authors assume a good background in econometric theory. If you take your time though (a lot of time), you will like it.
4.0 out of 5 stars
Applied Financial econometrics exponent
It is a good book, but there are some aspects which I find lacking in the book which could be helpful.
5.0 out of 5 stars
Excellent compendium
This book is for me an excellent summary and sometimes significant enrichment of knowledge acquired during 5 years economics studies with specialization in financial econometrics.