Table 1.
Specified Distributions of Factors (μ = 0, σ2 = 1)
| Skew | Kurtosis | Fifth | Sixth | Correlations | |||
|---|---|---|---|---|---|---|---|
| η1 | 0 | −1 | 0 | 28 | 1.0 | 0.3 | 0.4 |
| η2 | 1 | 2 | 4 | 24 | 1.0 | 0.5 | |
| η3 | 2 | 6 | 24 | 120 | 1.0 | ||
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