cokurtosisSF.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/stat.factor.model.R
\name{cokurtosisSF}
\alias{cokurtosisSF}
\title{Cokurtosis Matrix Estimate}
\usage{
cokurtosisSF(beta, stockM2, stockM4, factorM2, factorM4)
}
\arguments{
\item{beta}{vector of length N or (N x 1) matrix of factor loadings 
(i.e. the betas) from a single factor 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}{scalar of the 2nd moment of the factor realizations from a 
single factor statistical factor model}

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