cokurtosisMF.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/stat.factor.model.R
\name{cokurtosisMF}
\alias{cokurtosisMF}
\title{Cokurtosis Matrix Estimate}
\usage{
cokurtosisMF(beta, stockM2, stockM4, factorM2, factorM4)
}
\arguments{
\item{beta}{(N x k) matrix of factor loadings (i.e. the betas) from a 
statistical factor model}

\item{stockM2}{vector of length N of the 2nd moment of the model residuals}

\item{stockM4}{vector of length N of the 4th moment of the model residuals}

\item{factorM2}{(k x k) matrix of the 2nd moment of the factor 
realizations from a statistical factor model}

\item{factorM4}{(k x k^3) matrix of the 4th moment of the factor 
realizations from a statistical factor model}
}
\value{
(N x N^3) cokurtosis matrix
}
\description{
Estimate cokurtosis matrix using 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.
}