co_moments.m

Computes calculation of Mean Vector, Covariance, Coskewness and Cokurtosis Matrices
511 Downloads
Updated 15 Sep 2014

View License

INPUT:
-TxN matrix containing the MULTIVARIATE time serie of N asset's returns.
-select: dummy variable. If equals to 1, the algorithm computes the co-moments estimation using a an exponential smoothing (in this case, equals to a GARCH(1,1) model with the constant term equals to zero)
-lambda: exponential smoothing parameter
OUTPUT:
-mean_ser: Nx1 vector of means
-varcov: NxN covariance matrix
-coskewness: NxN^2 coskewness matrix
-cokurtosis: NxN^3 cokurtosis matrix

Cite As

Christopher (2024). co_moments.m (https://www.mathworks.com/matlabcentral/fileexchange/47839-co_moments-m), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes
1.0.0.0