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Cornish-Fisher VaR

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1.0 | 1 rating Rate this file 3 Downloads (last 30 days) File Size: 1.21 KB File ID: #22998 Version: 1.2

Cornish-Fisher VaR


Tal Shir (view profile)


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  
23 Feb 2009 1.1

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

09 Mar 2009 1.2

Spelling Mistake

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