The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations
Year of publication: |
2001
|
---|---|
Authors: | Jaschke, Stefan R. |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | Value at Risk | Delta-Gamma-Normal | Cornish-Fisher expansion | Edgeworth series | Gram-Charlier series |
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