Estimate cokurtosis matrix using a single factor statistical factor model
cokurtosisSF(beta, stockM2, stockM4, factorM2, factorM4)vector of length N or (N x 1) matrix of factor loadings (i.e. the betas) from a single factor statistical factor model
vector of length N of the 2nd moment of the model residuals
vector of length N of the 4th moment of the model residuals
scalar of the 2nd moment of the factor realizations from a single factor statistical factor model
scalar of the 4th moment of the factor realizations from a single factor statistical factor model
(N x N^3) cokurtosis matrix
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.