More on Cornish Fisher: Distribution Density and Boundary Conditions

11 Pages Posted: 22 Mar 2013

See all articles by Didier Maillard

Didier Maillard

Conservatoire National des Arts et Métiers (CNAM); Amundi Asset Management

Date Written: March 20, 2013

Abstract

The Cornish Fisher expansion is a mean to transforming a Gaussian distribution into a non-Gaussian distribution, the skewness and the kurtosis of which can be controlled if the transformation is properly implemented.

This paper displays the characteristics of the density of the transformed distribution, which may be obtained analytically by reversing the Cornish-Fisher transformation.

It also studies what happens when nearing the borders of the domain of validity for the transformation.

Keywords: Risk, variance, volatility, skewness, kurtosis, non Gaussian distribution Risk, variance, volatility, skewness, kurtosis, non Gaussian distribution

JEL Classification: C02, C51, G11, G32

Suggested Citation

Maillard, Didier, More on Cornish Fisher: Distribution Density and Boundary Conditions (March 20, 2013). Available at SSRN: https://ssrn.com/abstract=2236338 or http://dx.doi.org/10.2139/ssrn.2236338

Didier Maillard (Contact Author)

Conservatoire National des Arts et Métiers (CNAM) ( email )

292, rue Saint-Martin
Paris cedex 03, 75141
France

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

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