Rt: returns series
alpha: VaR level
OUTPUT:
CFVAR: Cornish fisher VaR with alpha probability and time horizon as the returns series frequancy
인용 양식
Tal Shir (2024). Cornish-Fisher VaR (https://www.mathworks.com/matlabcentral/fileexchange/22998-cornish-fisher-var), MATLAB Central File Exchange. 검색됨 .
MATLAB 릴리스 호환 정보
개발 환경:
R2008b
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux카테고리
Help Center 및 MATLAB Answers에서 Financial Toolbox에 대해 자세히 알아보기
태그
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!