Eko andryanto Prakasa
2012-Sep-18 17:19 UTC
[R] Expected Shortfall using cornish fisher expansion
Helloo, i have measure VaR with time dependen volatility (GARCH) and now want to measure expected shortfall (ES) using cornish fisher expansion (cause non-normal distribution), but i have limitedness about using R. Could you help me, how measure that ES with cornish fisher expansion using R.... i really need your help. thank you for the attention. Regards Eko [[alternative HTML version deleted]]
R. Michael Weylandt
2012-Sep-18 20:30 UTC
[R] Expected Shortfall using cornish fisher expansion
On Tue, Sep 18, 2012 at 6:19 PM, Eko andryanto Prakasa <eko.prakasa at yahoo.com> wrote:> > Helloo, > > > i have measure VaR with time dependen volatility (GARCH) and now want to measure expected shortfall (ES) using cornish fisher expansion (cause non-normal distribution), but i have limitedness about using R. Could you help me, how measure that ES with cornish fisher expansion using R.... > > i really need your help. thank you for the attention. >Take a look at the PerformanceAnalytics package (available off CRAN) and please don't post in HTML next time. Cheers, Michael> > Regards > > Eko > [[alternative HTML version deleted]] > > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >