[R-SIG-Finance] References for Performance Analytics CVAR calculations

Joe W. Byers ecjbosu at aol.com
Mon May 22 16:33:56 CEST 2017


I am working on a research project and I am using Performance Analytics 
to calculate VaR and CVaR.  I am also using the modified (Cornish 
Fisher) methods.  I was hoping someone could provide references for 
mES.MM and Ipower methods in the multivariatemoments.R file.  I am 
really interested in the part that call the Ipower method.  The 
references in the online docs at braverock, cover most of these 
functions, but not the call to Ipower and the use of its results.  It 
may be in Scherer's book, which I do not have a reference.



*Joe W. Byers*

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