\(p_{ij}\) and \(p_{ji}\) bottom of page 155 Financial risk forecasting errata

\(p_{ij}\) and \(p_{ji}\) bottom of page 155

June 5, 2012

My FM320 student, Bide Liu, spotted that I should have \(p_{ji}\) and not \(p_{ij}\) in the penultimate equation on page 155. It should read like $$p_{ji}= \Pr (\eta_t=i | \eta_{t-1} = j)$$

standard deviation not variance on page 44
LR ratio in (8.4) page 154

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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