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

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X-From: Vince J Kaminski
X-To: Tanya Tamarchenko
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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