co_moments_ext.m
Given the simmetry of the covariance matrix and the partial simmetry of coskewness and cokurtosis matrixes, this algorithm extracts only not repeated value.
GIVEN N-ASSETS, T-DATA POINTS
INPUT:
-mean_ser: 1*N*T array containing the series of the N means
-varcov: N*N*T array containing the series of covariances
-coskew: N*N^2*T array containing the series of coskewness
-cokurt: N*N^3*T array containing the cokurtosis series
OUTPUT:
-meanVec: T*N matrix containing means series
-vcovVec: T*(N*(N+1))/2) matrix containing not repeated elements of the covariance input array
-coskewVec: T*(N*(N+1)*(N+2))/6 matrix containing the not repeated elements of coskewness input array
-cokurtVec: T*(N*(N+1)*(N+2)*(N+3))/24 matrix containing the not repeated elements of cokurtosis input array
-indcov: indexes matrix for vcovVec (e.g.vcovVec's second column contains covariances between asset indcov(2,1) and indcov(2,2))
-indskew: indexes matrix for coskewVec
-indkurt: indexes matrix for cokurtVec
Cite As
Christopher (2024). co_moments_ext.m (https://www.mathworks.com/matlabcentral/fileexchange/47840-co_moments_ext-m), MATLAB Central File Exchange. Retrieved .
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Version | Published | Release Notes | |
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1.0.0.0 |