cokurtosisMF {PortfolioAnalytics}

Cokurtosis Matrix Estimate

Description

Estimate cokurtosis matrix using a statistical factor model

Usage

cokurtosisMF(beta, stockM2, stockM4, factorM2, factorM4)

Arguments

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

Details

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.

Value

(N x N^3) cokurtosis matrix