The Basics of Financial Econometrics: Book Review by David Merkel, CFA of The Aleph Blog.
Most of my readers are not going to want to buy this book, because they are not inclined toward math. But for those that are math-inclined, I would encourage you not to buy the book. Why?
Well, there are much better books on Econometrics out there, that could teach the subject better. I can safely say that no Econometrics class would use this book as a text.
Beyond that, the book does not come up with a lot of areas where “this is where you have to be careful in using regression on econometric data.”
I did learn a few things from the chapter on factor analysis, but that is not typically classified as econometrics.
As such, I don’t see any class of people that would benefit from this book.
There is no good audience for this book. If you still want the book, you can buy it here: The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications (Frank J. Fabozzi Series).
Full disclosure: The publisher asked me if I would like a copy and I said yes.
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