The Importance of Coskewness

time A B C D time A+B C+D

1 0.0% -3.8% -15.3% -15.3% 1 -1.9% -15.3%
2 -3.8% -15.3% -7.2% -7.2% 2 -9.5% -7.2%
3 -15.3% 3.8% 0.0% -3.8% 3 -5.8% -1.9%
4 -7.2% -7.2% -3.8% 15.3% 4 -7.2% 5.8%
5 3.8% 0.0% 3.8% 0.0% 5 1.9% 1.9%
6 7.2% 7.2% 7.2% 7.2% 6 7.2% 7.2%
7 15.3% 15.3% 15.3% 3.8% 7 15.3% 9.5%

A B C D A+B C+D
n 7 7 7 7 7 7
mean 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
variance 1.00% 1.00% 1.00% 1.00% 0.78% 0.78%
s.d. 10.00% 10.00% 10.00% 10.00% 8.84% 8.84%
skew 0.0000 0.0000 0.0000 0.0000 0.8562 -0.8562
kurt 0.0001 0.0001 0.0001 0.0001 -0.0658 -0.0658
covar 0.0056 0.0056
correl 0.5618 0.5618

A,B C,D
mXXY 0.10% -0.06%
mXYY 0.06% -0.10%

A,B C,D
SXXY 0.99 (0.58)
SXYY 0.58 (0.99)

0.0000 0.0014 0.0235 0.0235 0.0004 0.0235

0.0014 0.0235 0.0051 0.0051 0.0091 0.0051
0.0235 0.0014 0.0000 0.0014 0.0033 0.0004
variance
detail
0.0051 0.0051 0.0014 0.0235 0.0051 0.0033
0.0014 0.0000 0.0014 0.0000 0.0004 0.0004
0.0051 0.0051 0.0051 0.0051 0.0051 0.0051
0.0235 0.0235 0.0235 0.0014 0.0235 0.0091

0.0000 -0.0001 -0.0036 -0.0036 0.0000 -0.0036

-0.0001 -0.0036 -0.0004 -0.0004 -0.0009 -0.0004
-0.0036 0.0001 0.0000 -0.0001 -0.0002 0.0000
skew
detail
-0.0004 -0.0004 -0.0001 0.0036 -0.0004 0.0002
0.0001 0.0000 0.0001 0.0000 0.0000 0.0000
0.0004 0.0004 0.0004 0.0004 0.0004 0.0004
0.0036 0.0036 0.0036 0.0001 0.0036 0.0009
 0.0000 0.0000 0.0006 0.0006 0.0000 0.0006
0.0000 0.0006 0.0000 0.0000 0.0001 0.0000
0.0006 0.0000 0.0000 0.0000 0.0000 0.0000
kurtosis
detail
0.0000 0.0000 0.0000 0.0006 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0006 0.0006 0.0006 0.0000 0.0006 0.0001

0.0000 0.0235
0.0058 0.0051
-0.0058 0.0000
covar.
detail
0.0051 -0.0058
0.0000 0.0000
0.0051 0.0051
0.0235 0.0058

AAB CCD
0.0000 -0.0036
-0.0002 -0.0004
cross 0.0009 0.0000
skew -0.0004 0.0002
detail 0.0000 0.0000
0.0004 0.0004
0.0036 0.0009

ABB CDD
0.0000 -0.0036
-0.0009 -0.0004
cross -0.0002 0.0000
skew -0.0004 -0.0009
detail 0.0000 0.0000
0.0004 0.0004
0.0036 0.0002
 20%
15%
10%
5%
0%
B -5%
-10%
-15%
-20%
% % 0 % % 0% 5% 10 % 15 % 2 0 %
-2
0
-1
5
-1 -5
A

20%
15%
10%
5%
0%
D
-5%
-10%
-15%
-20%
-20% -10% 0% 10% 20%
C