[R] Expected Shortfall using cornish fisher expansion

[R. Michael Weylandt]

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]]
>
>
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