Cornish-Fisher VaR

Version 1.2.0.0 (1,21 KB) von Tal Shir
Returns the Cornish-Fisher Expansion Valut at Risk. (Up to 4th moment)
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2,1K Downloads
Aktualisiert 9. Mär 2009

Lizenz anzeigen

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

Zitieren als

Tal Shir (2024). Cornish-Fisher VaR (https://www.mathworks.com/matlabcentral/fileexchange/22998-cornish-fisher-var), MATLAB Central File Exchange. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2008b
Kompatibel mit allen Versionen
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Version Veröffentlicht Versionshinweise
1.2.0.0

Spelling Mistake
1.1.0.0

Fixing an error in the formula. Excess kurtosis Was not well defined.
1.0.0.0