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Brian,<br>
<br>
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 <br>
<img src="cid:part1.09030100.00080907@aol.com" alt=""><br>
or<br>
<img src="cid:part2.02000900.08040708@aol.com" alt=""><br>
I am still reviewing these.<br>
<br>
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.<br>
<br>
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.<br>
<br>
Hope this helps<br>
Joe<br>
<br>
<a class="moz-txt-link-abbreviated" href="mailto:brian@braverock.com">brian@braverock.com</a> wrote:
<blockquote cite="mid200702182230.43624.brian@braverock.com" type="cite">
<pre wrap="">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
</pre>
</blockquote>
r<br>
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