The Functional Central Limit Theorem for Markov-Switching GARCH Model

In this paper we consider the Markov Switching GARCH model suggested by Haas, Mittnik, and Paolella (2004) and obtain the functional central limit theorems for and . The functional central limit theorem for is also obtained

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Year of publication:	[2022]
Authors:	Kwon, Dream ; Lee, Oesook
Publisher:	[S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Markov-Kette \| Markov chain \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: EL53381
Other identifiers:	10.2139/ssrn.3986945 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013301033