References for Performance Analytics CVAR calculations

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References for Performance Analytics CVAR calculations

Rmetrics mailing list
All,

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.

Thanks

Joe

--
*Joe W. Byers*

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