Message-ID: <487840648@web.de>
Date: 2008-02-26T18:28:31Z
From: karl endres
Subject: modifiedVaR at coskewness, cokurtosis, and higher beta co-moments of the return
Hello, i think in the formula at the line with the quantil's its something wrong with the modified VaR
if ( p == 0.95 ) {
zc = -1.96
zc is for alpha = 0.025 and not for 0.05
or not ?
have a nice day
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