[R-SIG-Finance] coskew/cokurtosis test

[Joe Byers]

Brian,

I probably should clarify my view of co-skew and co-kurt.  I view these 
in multivariate distribution setting.  I googled "multivariate skewness" 
and get 11,000 hits with the first 20-30 providing good references.  
Several reference a paper from 1970 that defines Mult-skew as

or

I am still reviewing these.

The references for co-skew and co-kurt that I can find and I think you 
are trying to implement view these as the skew beta and kurt beta in the 
higher moment CAPM, which would be the multi-skew and multi-kurt 
measures scaled by the market variance.

In my example, I use the covariance of all assets to scale your co-skew 
function results to get the multi-variate skewness measures.  I am going 
to test my quick and dirty calculation against the above formulas to 
validity.

Hope this helps
Joe

brian at braverock.com wrote:
> Joe,
>
> I finally got your posted script to work.  Thank you for sending it.
>
> I had cut and pasted it from my email to an editor window, and I think I 
> got email cruft or windows character encodings or something, because it 
> was causing syntax errors in R, even though I could visually see correct 
> syntax.  Changing the file encoding in an editor a couple of times 
> cleared it up.
>
> I'm going to need to take a bit of time to understand the transformations 
> at the tail end of your script, and compare it to the Kroenecker product 
> co-moment functions posted by Guillaume Nicoulaud.  I'll report back to 
> you and the list after looking at it a bit.
>
> Expect a package tarball from me tomorrow.  I was hoping my co-author 
> would have more .Rd documentation functions done by now, but I think you 
> may still find it useful even in its incompletely documented state.
>
> Thanks for your help with the co-moments.
>
> Regards,
>
>    - Brian
>
>   
r
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