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
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:100:y:2016:i:c:p:153-159
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