LR ratio in (8.4) page 154
June 5, 2012
My FM320 student, Bide Liu, spotted that the LR test in (8.4) has the wrong order in the first line. Should be unrestricted - the restricted, i.e. something like $$ LR=2(\log L_U (\hat{p})- \log L_R (p)) $$
Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.© All rights reserved, Jon Danielsson,