Skewness and kurtosis of multivariate Markov-switching processes
From MaRDI portal
Publication:1659107
DOI10.1016/j.csda.2015.06.009zbMath1466.62068OpenAlexW884479762MaRDI QIDQ1659107
Christophe Planas, Gabriele Fiorentini, Alessandro Rossi
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2015.06.009
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Minimal state variable solutions to Markov-switching rational expectations models
- Understanding Markov-switching rational expectations models
- Multivariate skewness and kurtosis measures with an application in ICA
- Dynamic linear models with Markov-switching
- Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
- Moments of Markov switching models
- Spectral density of Markov-switching VARMA models
- Finite mixture and Markov switching models.
- DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS
- Estimation and Testing of Parameters in Multivariate Laplace Distribution
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- The Stationary Bootstrap
- COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
- SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
- Marginal distribution of Markov-switching <scp>VAR</scp> processes
- Measures of multivariate skewness and kurtosis with applications
- Stationarity of multivariate Markov-switching ARMA models
This page was built for publication: Skewness and kurtosis of multivariate Markov-switching processes
