Errata

2022-10-18 Figure 1.3
2019-03-28 Tail index in dependent data
2018-01-28 Arch kurtosis
2018-01-22 Sequential moments
2017-12-27 Testing the independence of violations, Section 8.3.2 p. 155-6
2017-05-16 Example 4.4
2016-10-30 Example 4.5
2015-06-17 E and ES and Q
2015-03-19 Listings 3.3, 3.4
2015-02-05 few issues
2014-05-19 Table 2.2
2013-05-12 Listings 8.9 to 8.12
2013-05-06 Section 8.3.2
2013-04-20 Figure 8.1
2013-04-20 More on ES for the normal
2013-04-20 page 189, endogenous price section
2013-04-20 page 48.
2013-04-20 Table 8.3 and 8.4
2012-11-08 page 90
2012-06-14 page 44, 149
2012-06-09 4 and 20 on page 96
2012-06-05 LR ratio in (8.4) page 154
2012-06-05 \(p_{ij}\) and \(p_{ji}\) bottom of page 155
2012-06-05 standard deviation not variance on page 44
2012-06-05 Var(WE+1) and not Var(WT+1) on page 144
2011-11-16 example 4.3
2011-11-16 page 85 ( and not [
2011-11-16 vol and mean numbers page 104
2011-10-26 Wrong word order on page 44
2011-10-22 3rd equation from the bottom on page 38
2011-10-22 Equation on top of page 37
2011-10-22 Multiperiod volatility
2011-10-22 Table 1.5
2011-05-24 Figure 8.1 backtesting
2011-05-24 Monte Carlo VaR with one basic asset
2011-05-07 Typo in equation for ES for the normal