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Skewness and kurtosis of multivariate Markov-switching processes

Gabriele Fiorentini (), Christophe Planas () and Alessandro Rossi ()

Computational Statistics & Data Analysis, 2016, vol. 100, issue C, 153-159

Abstract: Exact formulae are provided for the calculation of multivariate skewness and kurtosis of Markov-switching Vector Auto-Regressive (MS VAR) processes as well as for the general class of MS state space (MS SS) models. The use of the higher-order moments in non-linear modeling is illustrated with two examples. A Matlab code that implements the results is available from the authors.

Keywords: Markov-switching; VAR models; Higher-order moments; State space models (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.csda.2015.06.009

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