coskewnessMF: Coskewness Matrix Estimate

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Coskewness Matrix Estimate

Description

Estimate coskewness matrix using a statistical factor model

Usage

coskewnessMF(beta, stockM3, factorM3)

Arguments

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

Details

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.

Value

(N x N^2) coskewness matrix

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.