Coskewness Matrix Estimate
Estimate coskewness matrix using a statistical factor model
coskewnessMF(beta, stockM3, factorM3)
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 |
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.
(N x N^2) coskewness matrix
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