9 of 10 people found the following review helpful
Difficult but worth it,
This review is from: The Econometrics of Financial Markets (Hardcover)
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. I was frustrated with it at first (it is my first econometrics book), but having spent a full semester with it, I now feel quite comfortable with the subject matter. This is not a book you can just read at night before you go to bed. This book needs to be studied carefully. Buy it only if you are a graduate student in econ or finance, or a practitioner in the field. This book is no fun and you will only read it (and learn to appreciate its depth) if you absolutely have to.