The functional central limit theorem for the multivariate MS–ARMA–GARCH model

In this paper, we consider the multivariate ARMA–GARCH process governed by Markov switching coefficients. We show under proper assumptions that the process holds the L2-NED property and obeys the multivariate functional central limit theorem. The multivariate Markov switching constant conditional correlation(CCC)-GARCH model is considered as a special case.

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Year of publication:	2014
Authors:	Lee, Oesook ; Lee, Jungwha
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 3, p. 331-335
Publisher:	Elsevier
Subject:	Functional central limit theorem \| L2-NED \| Multivariate MS–GARCH \| Multivariate MS–ARMA–GARCH

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Type of publication:	Article
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011116205