The Cornish-Fisher-Expansion in the Context of Delta - Gamma - Normal Approximations

By Stefan Jaschke. 2002

114 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c422bdb5d7ac763273d09a78660b219312c0e50e

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In Statistics and Probability

1. Edward Qian
2. J. Usaola
3. Magnus Perninge
4. Camille Hamon
5. Pierre Pinson
6. Gan Li
7. Xiao-Ping Zhang

Citations in the corpus

• ON THE FINANCIAL INTERPRETATION OF RISK CONTRIBUTION: RISK BUDGETS DO ADD UP (2006, methodology): “Previous researches (Mina & Ulmer 1999, Jaschke 2002) have shown that the Cornish-Fisher approximation provides an efficient and sufficiently accurate way to obtain VaR.”
• A Stochastic Optimal Power Flow Problem With Stability Constraints—Part II: The Optimization Problem (2013, methodology): “Computing the cumulants through (12) needed for the Cornish-Fisher expansion is O(l3) [15].”
• Probabilistic load flow with wind production uncertainty using cumulants and Cornish–Fisher expansion (2009, background): “Although the convergence properties of CornishFisher series are difficult to demonstrate [12], and are somehow related to Gram-Charlier series, their behavior for non-Gaussians PDF is better than the latter, as will be shown below.”