Skewness and kurtosis of multivariate Markov-switching processes

FIORENTINI, Gabriele; PLANAS, Christophe; ROSSI, Alessandro

doi:10.1016/j.csda.2015.06.009

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Skewness and kurtosis of multivariate Markov-switching processes

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 modelling is illustrated with two examples. A Matlab code that implements the results is available from the authors.

FIORENTINI Gabriele; PLANAS Christophe; ROSSI Alessandro;

2015-11-30

ELSEVIER SCIENCE BV

JRC96607

0167-9473,

http://www.sciencedirect.com/science/article/pii/S0167947315001474, https://publications.jrc.ec.europa.eu/repository/handle/JRC96607,

10.1016/j.csda.2015.06.009,

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