a best book for financeFebruary 15, 2008 Rae Hyun Kim(London,UK) When I studied finance in the centre of ICMA ,the author was a lecturer. I studied econometrics with this book.The merit of this book is that the student can understand the basic theory easily.The demerit of this book is that the deep theory is not covered.Anyway many finance courses choose this book.The author has moved from the university of reading to the city university.
This book should be read by every finance studentNovember 30, 2004 M. Petitjean(Belgium) 13 out of 13 found this review helpful
This is the book I would recommend for every student who wants to start using econometrics in finance. From OLS regressions to Garch and Markov-switching models, this book covers a lot of key econometric materials. It's short, very clear and well-written. It is the best introductory book to financial econometrics I've read so far (and it is only the first edition). The first part of the book (on the OLS model) can be read by students who have no particular background in econometrics. The second part of the book (mainly on time series models) is very convenient for final year BSc / 1st year MSc students in finance. Math is used only when it is strictly required. Focus is really placed on the intuition behind the model. There are a lot of finance papers that are discussed (related to the author's work) and a lot of detailed applications using Eviews and RATS (with a nice and short introduction to these softwares in chapter 1). The programs are available free on the editor's website while the data are NOT! (Datastream did not want the data to be downloadable free of charge). That's why I do not give 5 stars to the book. Note that there is nothing about intraday data and market microstucture.
