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

- Page 6, line -13: "framework" is repeated
- Page 75, line 11: should be 0.017838 rather than 0.07838
- Page 76, line -6 and -14: (1-\alpha)(ES(L_1)+ ES (L_1)+…) : second L_1 should be L_2
- Page 102, line 14: epsilon_{t-2} should be epsilon_t
- Page 144, line 8: twenty-four should be twenty-eight
- Page 176, line -12: expression E(e^{itX}) appears twice in formula
- Page 184, in proof of Lemma 6.5 should clarify that \mu=0
- Page 236, Def. 7.2.1 should be Def. 7.17
- Page 259, line 12: "alterative"
- Page 276, line -2: missing colon between m and \rho(L-m)
- Page 285, line 17: change log to ln for consistency of notation
- Page 296, line 18: Y_1 should be Y
- Page 307, Proposition 8.34. (d-1)^2 LES should be (d-1) LES.
- Page 318, last line: closing parenthesis missing in formula
- Page 549, line 15: should be plus not minus sign in DCC-GARCH coefficient condition
- Page 544, line 4: should be cov(X_{t+h}, X_t) instead of cov(X_{t} + h, X_t).
- Page 550, line 4: hat{Delta}_t should be inverted
- Page 576, formula (16.6): lower limit of integration in numerator should be (pi/2 - arcsin rho_{ij})/2
- Page 660, second last reference: add H.S. Shin
- Page 695, line -10: "variannce mixtures"