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Cornish-Fisher VaR


Tal Shir


16 Feb 2009 (Updated )

Returns the Cornish-Fisher Expansion Valut at Risk. (Up to 4th moment)

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File Information

Rt: returns series
alpha: VaR level
CFVAR: Cornish fisher VaR with alpha probability and time horizon as the returns series frequancy

MATLAB release MATLAB 7.7 (R2008b)
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Comments and Ratings (1)
29 Jul 2010 Andres Licona

Andres Licona

23 Feb 2009

Fixing an error in the formula. Excess kurtosis Was not well defined.

09 Mar 2009

Spelling Mistake

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