Sequential moments Financial risk forecasting errata

Sequential moments

January 22, 2018

Stefano Soccorsi pointed out that the sequential moments equation on page 19 is wrong. It should be:

\begin{equation*} \frac{1}{t}\sum\limits_{i=1}^{t}x_i^m. \end{equation*}

Testing the independence of violations, Section 8.3.2 p. 155-6
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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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