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- stonexu1984
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it is kurt or excessive kurt used in CF VaR?
The "K" in CF Var is kurtosis or excessive kurtosis? any official literal?
Last edited by stonexu1984 on June 7th, 2010, 10:00 pm, edited 1 time in total.
it is kurt or excessive kurt used in CF VaR?
IIRC K is the kurtosis of the returns time series.
it is kurt or excessive kurt used in CF VaR?
Just checked the old paper by Cornish and Fisher and their approximation is explicitly for the moments so it must be the kurtosis itself:http://digital.library.adelaide.edu.au/ ... er/148.pdf
it is kurt or excessive kurt used in CF VaR?
Last edited by purbani on June 9th, 2010, 10:00 pm, edited 1 time in total.
it is kurt or excessive kurt used in CF VaR?
I have a question:Is it safe to use Kurtosis since there is no unbiased (to my knowledge, I should search in litterature) estimator of its value ? Moreover since it's a high order moment it is very sensitive to the extreme tailed value.
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- stonexu1984
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it is kurt or excessive kurt used in CF VaR?
the link is not working...
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- stonexu1984
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it is kurt or excessive kurt used in CF VaR?
but if you plug s=0 and k = 0 in the formula it gives you the exact number of N(confidence), which indicates it should be excessive k in the formula
it is kurt or excessive kurt used in CF VaR?
See attached
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Four Moment Risk Decomposition.zip- (602.04 KiB) Downloaded 88 times
Last edited by purbani on June 9th, 2010, 10:00 pm, edited 1 time in total.