cokurtosisMF: Cokurtosis Matrix Estimate
Description
Estimate cokurtosis matrix using a statistical factor model
Usage
cokurtosisMF(beta, stockM2, stockM4, factorM2, factorM4)
Arguments
beta
(N x k) matrix of factor loadings (i.e. the betas) from a
statistical factor model
stockM2
vector of length N of the 2nd moment of the model residuals
stockM4
vector of length N of the 4th moment of the model residuals
factorM2
(k x k) matrix of the 2nd moment of the factor
realizations from a statistical factor model
factorM4
(k x k^3) matrix of the 4th moment of the factor
realizations from a statistical factor model
Value
(N x N^3) cokurtosis matrix
Details
This function estimates an (N x N^3) cokurtosis matrix from a statistical
factor model with k factors, where N is the number of assets.