\(p_{ij}\) 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 $$p_{ji}= \Pr (\eta_t=i | \eta_{t-1} = j)$$
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,