The definitive work explaining this complex but important field of academic endeavor. Oh, and by the way, it's not just academic. The big question that financial econometircs addresses is: What can you learn about the future from the financial data available from the past?

This broad issue can be specified in many different ways, and all the important ones are discussed in the book... The vast literature on all the topics examined is assessed, rendered coherent, and then analysed by three men who themselves have made significant advances in the field.

A splendid offering...It covers many topics one could only usually find couched in the technical jargon of research papers, presented in this volume with pedagogical intentions. The language, while remaining technical, is quite accessible. It can be effortlessly read by scientific traders with standard knowledge of statistical methods... This book should be made mandatory reading in research departments. Derivative Strategies

This book is sophisticated, yet accessible; full of details, yet intriguing. Instructors will appreciate the attempt to make each chapter as self contained as possible which leaves them free to choose specified sequences of topics. Professionals will be pleased with the quick and authoritative introductions to important areas of Finance. Well written introduction (indeed, something more) to Financial Econometrics. It is alert, explicit and articulate about assumptions.