Rating: 
Summary: Spend your money on something better
Review: This book seems to have written to cash in on the fame of the authors and the stampede in academia and industry towards financial econometrics. The book already assumes you are proficent in basic and advanced econometrics, derivatives pricing, fixed income, microstructure, neural networks etc. If you already familiar with those fields, why do you need this book? For example, Chapter 10 on Fixed Income Securities covers a grand total of 28 pages beginning with "Basic Concepts" and ending with "Yield Spreads and Interest Rate forecasts". Meanwhile there are whole tomes devoted to every one of those sections in Chapter 10. Nonparameteric Estimation merits a grand total of 9 pages and Neural networks merits 7 pages in Chapter 12. The chapter on Microstructure, virtue of the book being published in 1997 is thoroughly dated. Even for its 1997 publication the chapter is thoroughly lacking. It is neither a survey nor a exposition of theory or practial uses of microstructure theory. Today there are excellent theoretical and practical books devoted to every topic covered in this book. Save your money for one of those.
Rating: 
Summary: An excellent text for the advanced reader
Review: This is a concise treatment of major foundation topics in financial economics. Although my interest is in monetary economics and macro, I finally have a book I will keep and use on financial economics. It closely blends the insight and "wisdom" behind the various theories with parsimonious amounts of math. Careful, patient reading and a comfortable grasp of econometrics is required but will be rewarded. Notation changes were a bit of a problem, though the authors address this issue early on. The end of chapter questions are good but it would've helped to have answers. Overall, it is intuitive "page turner" material.
Rating:
Summary: A classic book on financial econometrics
Review: This is really a classic book on financial econometrics. I like the design of the book. The content is also pretty up-to-date. A little bit advanced - requires solid background in econometrics, analysis, statistics, and some stochastic calculus. The only problem I have is the authors did not provide background data, so it's really hard for people to do self-study like me. If the authors could include a preferred computer program (i.e. Matlab, GAUSS, EViews, etc.) with codes and data, that will make the book a true bible of financial econometrics.
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