Coskewness Matrix Estimate
Estimate coskewness matrix using a single factor statistical factor model
coskewnessSF(beta, stockM3, factorM3)
beta |
vector of length N or (N x 1) matrix of factor loadings (i.e. the betas) from a single factor statistical factor model |
stockM3 |
vector of length N of the 3rd moment of the model residuals |
factorM3 |
scalar of the 3rd moment of the factor realizations from a single factor statistical factor model |
This function estimates an (N x N^2) coskewness matrix from a single factor statistical factor model with k=1 factors, where N is the number of assets.
(N x N^2) coskewness matrix
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.