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:

1ti=1txim.


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


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, 2025