First off, my background is as follows: I have taken master's level courses in probability, statistical inference, linear regression, linear algebra, and differential equations from a very reputable university, and received high marks in all classes. Also, I've scored 800 on the Quantitative section of the GRE.
So you would think that a person like myself would find this book to be challenging yet rewarding and manageable. After spending 2 weeks trying to decipher the text, and going over 3 chapters, I've lost all hope in the book. When I read this textbook, it feels as though I am trying to understand the Authors' stream of consciousness.
As a student of math, I am quite used to spending countless hours deciphering the theorems and propositions of many mathematicians. But with this book, I also have the added burden of having to dicipher the Authors' thought process. To be clear, the material in the text book is very good, but the presentation of the material is that of a "rambler." At this point I have given up on the book as a source of my learning, and have purchased another text book to use as my reference.
I agree with the many other reviewers who stated that the book is unorganized and written poorly. It seems as though they spent MINIMAL time on producing this book just to meet a deadline. After the first few chapters, it REALLY gets annoying and makes you want to chastise the Authors for being so irresponsible. They may be geniuses in their field, but they have no right to teach the material with these kinds of products.
*UPDATE* 11DEC2010
I've more or less gone through the entire book(only by necessity since the homework questions were from the text). My opinion of this textbook still stands.
As an alternative I recommend "Analysis of Financial Time Series" by Tsay. I've read bits of it, and it seems very well written and progressive. Helped me out a TON in understanding ARCH/GARCH processes.
