Lee, Oesook; Lee, Jungwha - In: Economics Letters 125 (2014) 3, pp. 331-335
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...
