Errata
Corrections and updates to the published book, newest first. Please report anything you find — comments are very much appreciated.
DateCorrection
2022-10-18 Figure 1.3 2019-03-28 Tail index in dependent data 2018-01-28 Arch kurtosis 2018-01-22 Sequential moments 2017-12-27 Testing the independence of violations, Section 8.3.2 p. 155-6 2017-05-16 Example 4.4 2016-10-30 Example 4.5 2015-06-17 E and ES and Q 2015-03-19 Listings 3.3, 3.4 2015-02-05 few issues 2014-05-19 Table 2.2 2013-05-12 Listings 8.9 to 8.12 2013-05-06 Section 8.3.2 2013-04-20 Figure 8.1 2013-04-20 More on ES for the normal 2013-04-20 page 189, endogenous price section 2013-04-20 page 48. 2013-04-20 Table 8.3 and 8.4 2012-11-08 page 90 2012-06-14 page 44, 149 2012-06-09 4 and 20 on page 96 2012-06-05 LR ratio in (8.4) page 154 2012-06-05 \(p_{ij}\) and \(p_{ji}\) bottom of page 155 2012-06-05 standard deviation not variance on page 44 2012-06-05 Var(WE+1) and not Var(WT+1) on page 144 2011-11-16 example 4.3 2011-11-16 page 85 ( and not [ 2011-11-16 vol and mean numbers page 104 2011-10-26 Wrong word order on page 44 2011-10-22 3rd equation from the bottom on page 38 2011-10-22 Equation on top of page 37 2011-10-22 Multiperiod volatility 2011-10-22 Table 1.5 2011-05-24 Figure 8.1 backtesting 2011-05-24 Monte Carlo VaR with one basic asset 2011-05-07 Typo in equation for ES for the normal Subscribe to the errata feed to be notified of new corrections.