The Econometrics of Financial Markets

Fresh look at the beating heart of the financial markets by one of the best people in the field.

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.

It covers a variety of topics in a very formal way. it is NOT an easy book (and it shouldn't be...) and it demonstrates that markets are NOT random. Enjoy it.

In recent years, the economist have used various econometric method in analyses financial market, but though you can discover some excellent book for financial theory,such as Darrell Duffie's "Dynamic Asset Pricing Theory",there is few comprehensive book on the theories and applications of econometric tools for emprirical finance. So when I found this book, I was so excited. Only having read several chapters, I think it an excellent book, though some difficult, and can't help to introduce it. I think every student who is interested in financial market should read it, at least scan it to know the content of this book. If you have this book, then you can throw all other book on this subject, don't waste time to read them, what you need is just this excellent book. Unfortunely I havn't it,and I hope to own it some day. At last, I have to say thank you to Prof. Gregory Chow who brough this book to my University, so I have chance to read such an excellent book.