few issues Financial risk forecasting errata

few issues

February 5, 2015

My FM447 student Gevorg Saakyan pointed out a few typos

The tail index on page 1 uses the letter \(t\) where it  should use \(\iota\).

Chapter 1, page 8. The date in the code comment does not correspond to the date in the code.

Chapter 8.2 Backtesting the S&P 500, pages 147-148. The dates in the text do not correspond with the dates in the code, the code should use February 2, this means that the  number of observations is not 4000.

Table 2.2
Listings 3.3, 3.4

Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
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