The Econometrics of Financial Markets
The Econometrics of Financial Markets

The Econometrics of Financial Markets
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Princeton University Press

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978069104301

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$105.00

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The Econometrics of Financial Markets Specs:
Product NameThe Econometrics of Financial Markets
ManufacturerPrinceton University Press
Product Number MPN0691043019
Retail Price $105.00
EAN-1409780691043012
UPC978069104301
Specifications 
TitleThe Econometrics of Financial Markets
ISBN0691043019
Author(s)Andrew W. Lo, John Y. Campbell, A. Craig MacKinlay, Andrew Y. Lo, Archie Craig MacKinlay
Release Date09 December, 1996, 1996-12-09
FormatHardcover
Num of Pages632
Num. of Items1
EAN9780691043012
Deal first added on:20-January-2004

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Latest 6 Reviews
Here is what people are saying about the The Econometrics of Financial Markets
5 Star Rating  "Econometrics of Financial Markets"2007-05-07
- Reviewed By hannondm2
Fresh look at the beating heart of the financial markets by one of the best people in the field.
 
1 Star Rating  "CML: An Unnecessary Addition to a Saturated Literature"2007-01-30
- Reviewed By User: A3T9ZXA1EQAO8E
I was also skeptical of the negative reviews surrounding this book ("CML"). However after buying and reading this book, I now believe they had merit.

Simply stated, this book does not cater to its readers. If you have the prerequisites that the authors demand, then this book is comprehensive but ultimately below what ought to challenge you. And if you don't, then I guarantee you will be very lost. Unlike many similar volumes, CML is not self-contained (nor does it claim to be). And unlike many books that build a self-contained "model" of asset pricing dynamics, CML is full of literature-specific jargon and inconsistent notation. In fact much of this notation changes intrachapter.

Suppose you are a reader at the level CML insist their readers be. Then all the better to spend more time understanding Duffie's "Dynamic Asset Pricing," or Cochrane's veritable tour-de-force, "Asset Pricing." Both books are more contemporary and also at a better level for the readers CLM had in mind.

If you don't have the requisite knowledge, please ignore CML and try Luenenberger and Casella/Berger, as well as Greene for econometric-specific stats, Hamilton for time-series. You will not regret these purchases.

CML claims to fill a gaping hole in the secondary literature. But in reality, CML sits right in the middle of two types of readers, and caters effectively to none.
 
2 Star Rating  "Last quartile on the subject"2006-11-05
- Reviewed By nicolasroth
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. The arch/garch section is really weak and this book by its sole is not enough to implement advanced models.
The authors also forgot to include practical implementation of the models with Splus or Matlab or whatever language, which is now almost a standard in many financial engineering related books.
 
4 Star Rating  "An oldie but goodie"2006-03-10
- Reviewed By finance_phd_cfa
For the past ten years, this boook was the standard of financial time series and cross sectional analysis. There are several more recent books on the subject, but as the first good book in the field, it is still keeping up. Lot of the derivation in the book is a bit spotty - but that is expected at this level of sophistication and originality. There are some frustrating parts in the book, but if you cannot chew through that material, you should probably read an easier book.
 
1 Star Rating  "Absolutely useless"2006-03-09
- Reviewed By hbj200
I'm not sure what the audience for this extremely poorly written book is. Is it graduate-level students? If so, this book will drive them totally crazy and depressed, thanks to its confusing structure, lack of contextual motivation for the topics covered, and nonsensical, semi-rigorous mathematical treatment of the subject. Is it "quant" practitioners? If so, it'll leave them more confused and pessimistic about their trade than ever -- or just leave them feeling disappointed and frustrated, which was how I felt when I tried to read this book.

This book is so bad it serves as neither a textbook nor a reference. It has no value whatsoever. Want to know the technical details of VAR models and when to use them and when not to use them? You won't find it here. Ditto for GARCH models. Ditto for ECM models. Ditto for dynamic pricing models. I'm pretty well-grounded in advanced math, statistics, econometrics, and financial economics, and I have to confess I had no clue what the word and sentences and math notations in this book meant. The contents are totally incoherent.

Please do everyone a favor and don't buy this absolutely worthless book, so publishers won't be encouraged to kills trees in order to print such trash.
 
3 Star Rating  "Very Good but Not Enough"2005-04-22
- Reviewed By a_smart_reader
I just used this book in my master in finance course and think its very good but a bit outdated and incomplete. I was able to benefit from it, but only because of my previous strong finance, econometrics and computing knowledge. Without any of my skills i would be surely lost. The sad part is i cant remember another book filling its niche. Maybe only John Cochrane "Asset Pricing" overlaps well in some subjects.

The book outline the econometrics of major finance issues, but doesnt give detailed descriptions of main results. As an example, the Maximum likelihood formulas for multifactor asset pricing models are simply shown, but they dont explain how they got there (the likelihood function), so additional effort is needed if one wants to modify something - [A Critic : If you need to work on the econometrics of something yourself you dont need to buy the book, just learn finance and econometrics and put it together yourself !!]

The book maybe useful as a reference on many subjects, but to actually implement the models (as a practictioner or analyst) you will most likely need additional knowledge/books on a given subject. They also dont show any kind of algorithms/computing techniques or codes to do implement it, so you must be skilled enough at computing to crack it.

As an improving suggestion, the authors should reduce the number of chapters/subjects, completing it with more detailed formulas and computer codes/guides to actual implementation.

 
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