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Cornish-Fisher VaR

version 1.2 (1.21 KB) by

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

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Updated

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

Comments and Ratings (1)

Andres Licona

Updates

1.2

Spelling Mistake

1.1

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

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