Third and fourth moments of vector autoregressions with regime switching

DOI10.1080/03610926.2015.1080840zbMath1368.62243OpenAlexW2564576024MaRDI QIDQ4975126

Maddalena Cavicchioli

Publication date: 3 August 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1080840

zbMATH Keywords

stationaritythird and fourth momentsmultivariate skewness and kurtosisMarkov switching VAR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Related Items (2)

Moments, shocks and spillovers in Markov-switching VAR models ⋮ On Markov-switching periodicARMAmodels

Cites Work

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• Analysis of time series subject to changes in regime
• Third and fourth moment matrices of vec \(X'\) in multivariate analysis
• Moments of Markov switching models
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Autocovariance Structure of Markov Regime Switching Models and Model Selection
• DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS
• ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
• Stationarity of multivariate Markov-switching ARMA models

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