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