Customer Reviews

Asset Price Dynamics, Volatility, and Prediction

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I've read chapters 1-4 and 8-10. I'm a mathematician and I'm starting now to deal with econometrics. Until now I'm enjoying it because it gives me an idea of the possible problems dealing with real data and techniques to use.
On the other hand it sometimes become very general just making references for the details what can be bad if the reader is a mathematician or a beginner econometrician.
What I enjoyed the most until now were chapters 4 (discussion of returns in a real world and the excel estimations for GARCH in chap 9) especially comprehensive to people that never had to deal with data before.
In general it is a wonderfull book for obtaining an overview idea of finance by the econometricians point of view.

This book combines technicality and real-world example. Clear and concise, it covers most of the modern financial econometrics, moreover making it straightforward to go on on your own. Great book.