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Cornish-Fisher VaR

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16 Feb 2009 (Updated )

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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Comments and Ratings (1)
29 Jul 2010 Andres Licona  
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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