Re: Suggestion: implementing VAR based on non-normal log-returns

Cc: vince.kaminski@enron.com, jaesoo.lew@enron.com
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Tnaya,
I did a preliminary numerical experiment to verify that the correlation does
get distorted if the nonnormality is strong. If you want I could document the
distortion for various degrees of non-normality and for different levels of
target correlation between the non-nomal variables. I could also work on a
correlation mapping scheme if deemed critical for our purpose.
Thanks,

Tanya Tamarchenko@ECT
12/07/2000 01:17 PM
To: Vince J Kaminski/HOU/ECT@ECT, Rabi De/NA/Enron@ENRON, Jaesoo
Lew/NA/Enron@ENRON
cc:

Subject: Re: Suggestion: implementing VAR based on non-normal log-returns
simulations

Everybody,
we were talking for a while about using non-normal distributions in the
Monte-Carlo simulations in our VAR model.
I put together some suggestion regarding this. The text is under
O:\_Dropbox\Tanya\non_normal_logs.doc

Look through this 3 page document, and let me know what you think, please.

Tanya