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

Oesook Lee; Jungwha Lee

doi:10.1016/j.econlet.2014.10.002

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

Oesook Lee, Jungwha Lee

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	331-335
Number of pages	5
Journal	Economics Letters
Volume	125
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2014.10.002
State	Published - 1 Dec 2014

Bibliographical note

Publisher Copyright:
© 2014.

Keywords

Functional central limit theorem
L-NED
Multivariate MS-ARMA-GARCH
Multivariate MS-GARCH

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10.1016/j.econlet.2014.10.002

Cite this

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title = "The functional central limit theorem for the multivariate MS-ARMA-GARCH model",

abstract = "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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AB - 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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The functional central limit theorem for the multivariate MS-ARMA-GARCH model

Abstract

Bibliographical note

Keywords

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