the reading list of financial econometrics recommended by my professor in Financial Econometrics.
the books marked by star is better, the first marked one is hard to read but easy to understand. the second marked one is easy to read but hard to understand. If you want to know something about this field, the first one is preferred.
Brooks, C., (2002), Introductory econometrics for finance, Cambridge University Press. Very simple, but awkward to read, designed as a computer manual for econometric financial applications in EViews and RATS rather than a textbook. Gourieroux, C. and J. Jasiak (2001), Financial econometrics: problems, models and methods, Princeton University Press. A rigorous book, rather uneven in coverage. Not very close to the contents of this course. * Campbell, J.Y., A. W. Lo, and A.C. MacKinlay (1997), The econometrics of financial markets, Princeton University Press. State-of-art book, rigorous, very wide coverage of various subjects (most of them not covered by this course), compact and not easy to follow. * Cuthbertson, K. (2004), Quantitative Financial Economics, 2nd edition, John Wiley, New York. Detailed and thorough description of the subject, oriented towards finance, with simple econometrics. Formalised, not an easy read. Mills, T.C., (1999), The econometric modelling of financial time series, 2nd edition, Cambridge University Press. Good level, not too easy and not too difficult, mainly econometrics, little on finance. Wang, P. (2003), Financial econometrics: methods and models, Routledge. Simple, but rather limited in coverage. Mainly econometrics, less finance. It is also possible that the reading list will be later updated by: Linton, O. (2005), Financial econometrics, Blackwell, scheduled for publication March 1, 2005.
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