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Skewness and kurtosis of multivariate Markov-switching processes

Author

Listed:
  • Fiorentini, Gabriele
  • Planas, Christophe
  • Rossi, Alessandro

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.

Suggested Citation

  • Fiorentini, Gabriele & Planas, Christophe & Rossi, Alessandro, 2016. "Skewness and kurtosis of multivariate Markov-switching processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 153-159.
  • Handle: RePEc:eee:csdana:v:100:y:2016:i:c:p:153-159
    DOI: 10.1016/j.csda.2015.06.009
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    References listed on IDEAS

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