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

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---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 01/03/2001
03:19 PM ---------------------------

Tanya Tamarchenko
12/29/2000 10:48 AM
To: Vince J Kaminski/HOU/ECT@ECT
cc: Rabi De/NA/Enron@ENRON, Jaesoo Lew/NA/Enron@ENRON
Subject: Re: Suggestion: implementing VAR based on non-normal log-returns
simulations

Vince, sorry, the files from that directory get deleted periodically. I
attached this file here.
Rabi did some analysis related to implementation of correlated non-normally
(RTDM-distributed)
variables. Let's discuss later?

Tanya.

Vince J Kaminski
12/22/2000 05:58 PM
To: Tanya Tamarchenko/HOU/ECT@ECT
cc:
Subject: Re: Suggestion: implementing VAR based on non-normal log-returns
simulations

Tanya,

I could not locate the file.

Vince

Tanya Tamarchenko
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