Cornish-Fisher VaR
by Tal Shir
16 Feb 2009
(Updated 09 Mar 2009)
Returns the Cornish-Fisher Expansion Valut at Risk. (Up to 4th moment)
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| File Information |
| Description |
Rt: returns series
alpha: VaR level
OUTPUT:
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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| Updates |
| 23 Feb 2009 |
Fixing an error in the formula. Excess kurtosis Was not well defined. |
| 09 Mar 2009 |
Spelling Mistake |
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