cokurtosisSF: Cokurtosis Matrix Estimate
Description
Estimate cokurtosis matrix using a single factor statistical factor model
Usage
cokurtosisSF(beta, stockM2, stockM4, factorM2, factorM4)
Arguments
beta
vector of length N or (N x 1) matrix of factor loadings
(i.e. the betas) from a single factor 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
scalar of the 2nd moment of the factor realizations from a
single factor statistical factor model
factorM4
scalar of the 4th moment of the factor realizations from a
single factor 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.