coskewnessSF: Coskewness Matrix Estimate
In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios
Description
Usage
Arguments
Details
Value
Description
Estimate coskewness matrix using a single factor
statistical factor model
Usage
1
coskewnessSF(beta, stockM3, factorM3)
Arguments
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
Details
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.
Value
(N x N^2) coskewness matrix
R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Details Value
Description
Estimate coskewness matrix using a single factor statistical factor model
Usage
1 | coskewnessSF(beta, stockM3, factorM3)
|
Arguments
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 |
Details
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.
Value
(N x N^2) coskewness matrix
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.