co_moments.m
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 .
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- MATLAB > Data Import and Analysis > Descriptive Statistics >
- Computational Finance > Econometrics Toolbox > Conditional Variance Models >
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Version | Published | Release Notes | |
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1.0.0.0 |