moment.third

na.rm

The third mathematical moment of the return function.
Favre and Renaldo use this as separate from skewness 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.third function

calculate the third mathematical moment of the return function

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

Description

Usage

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References

See Also