coskew/cokurtosis test

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

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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