Title: Shallow
Product review: Based upon its marketing, this book over-promises and under-delivers. Yes, the author uses big words like "autoregressive conditional heteroskedasticity." He also tosses around: "principal component analysis", "importance sampling" and "Quasi Monte Carlo." Anyone who needs to understand these concepts will be disappointed. The explanations are shallow ... often just a single paragraph. The reader is left with an elementary book that adds little to the original RiskMetrics document. If you are new to VAR, I recommend Dowd. For more experienced professionals (especially those who need to implement a VAR system) you will need to read the original literature.
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