Cokurtosis Matrix Estimate
Estimate cokurtosis matrix using a statistical factor model
cokurtosisMF(beta, stockM2, stockM4, factorM2, factorM4)
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 |
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.
(N x N^3) cokurtosis matrix
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