Since the introduction of the SETARMA model (Tong, 1990) many questions about this class of models still remain unanswered. Among them, the present paper addresses the attention to the unconditional moment’s generation and the exact formula of the central moments up to order four is shown. The asymmetry and kurtosis coefficients of the SETARMA process are further presented in order to show some aspects which make the process under analysis very interesting even in empirical studies.
The moments of SETARMA models and their interpretation
AMENDOLA, Alessandra;NIGLIO, Marcella;VITALE, Cosimo Damiano
2004-01-01
Abstract
Since the introduction of the SETARMA model (Tong, 1990) many questions about this class of models still remain unanswered. Among them, the present paper addresses the attention to the unconditional moment’s generation and the exact formula of the central moments up to order four is shown. The asymmetry and kurtosis coefficients of the SETARMA process are further presented in order to show some aspects which make the process under analysis very interesting even in empirical studies.File in questo prodotto:
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