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"Computation of the corrected Cornish-Fisher expansion using the response ..."

Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Didier Maillard (2019)

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DOI: 10.1007/S10479-018-2792-4

access: closed

type: Journal Article

metadata version: 2022-12-07

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Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Didier Maillard:
Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to VaR and CVaR. Ann. Oper. Res. 281(1-2): 423-453 (2019)

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