PortfolioAnalytics (version 1.0.3636)

coskewnessMF: Coskewness Matrix Estimate

Description

Estimate coskewness matrix using a statistical factor model

Usage

coskewnessMF(beta, stockM3, factorM3)

Arguments

beta

(N x k) matrix of factor loadings (i.e. the betas) from a statistical factor model

stockM3

vector of length N of the 3rd moment of the model residuals

factorM3

(k x k^2) matrix of the 3rd moment of the factor realizations from a statistical factor model

Value

(N x N^2) coskewness matrix

Details

This function estimates an (N x N^2) coskewness matrix from a statistical factor model with k factors, where N is the number of assets.