Message-ID: <13625932.1075856462411.JavaMail.evans@thyme>
Date: Wed, 3 Jan 2001 07:17:00 -0800 (PST)
From: vince.kaminski@enron.com
To: vkaminski@aol.com
Subject: Re: Suggestion: implementing VAR based on non-normal log-returns
 simulations
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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