Cornish-Fisher VaR

版本 1.2.0.0 (1.2 KB) 作者: Tal Shir
Returns the Cornish-Fisher Expansion Valut at Risk. (Up to 4th moment)
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更新时间 2009/3/9

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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

引用格式

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

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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