The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations
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KeywordsValue at Risk; Delta-Gamma-Normal; Cornish-Fisher expansion; Edgeworth series; Gram-Charlier series;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-09-10 (All new papers)
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