moment.fourth

na.rm

The fourth mathematical moment of the return function.
Favre and Renaldo use this as separate from kurtosis in developing a four-moment CAPM model.

multivariate

models

distribution

Library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams.  In general, this library is most tested on return (rather than price) data on a monthly scale, but most functions will work with daily or irregular return data as well.

Brian G Peterson

PerformanceAnalytics

Econometric tools for performance and risk analysis.

moment.fourth function

calculate the fourth mathematical moment of the return function

moment.fourth: calculate the fourth mathematical moment of the return function

Description

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See Also