MFE2cover

The second edition was published in June 2015. Further details may be found on the PUP web page.

A list of errata may be found here.

  1. Page 75, line 11: should be 0.017838 rather than 0.07838
  2. Page 76, line -6 and -14: (1-\alpha)(ES(L_1)+ ES (L_1)+…) : second L_1 should be L_2
  3. Page 102, line 14: epsilon_{t-2} should be epsilon_t
  4. Page 144, line 8: twenty-four should be twenty-eight
  5. Page 176, line -12: expression E(e^{itX}) appears twice in formula
  6. Page 184, in proof of Lemma 6.5 should clarify that \mu=0
  7. Page 236, Def. 7.2.1 should be Def. 7.17
  8. Page 259, line 12: "alterative"
  9. Page 276, line -2: missing colon between m and \rho(L-m)
  10. Page 285, line 17: change log to ln for consistency of notation
  11. Page 296, line 18: Y_1 should be Y
  12. Page 318, last line: closing parenthesis missing in formula
  13. Page 549, line 15: should be plus not minus sign in DCC-GARCH coefficient condition
  14. Page 544, line 4: should be cov(X_{t+h}, X_t) instead of cov(X_{t} + h, X_t).
  15. Page 550, line 4: hat{Delta}_t should be inverted
  16. Page 695, line -10: "variannce mixtures"