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

被引：1
|
作者：
Lee, Oesook [1 ]
Lee, Jungwha [1 ]
机构：
[1] Ewha Womans Univ, Dept Stat, Seoul 120750, South Korea
来源：
ECONOMICS LETTERS | 2014年 / 125卷 / 03期
基金：
新加坡国家研究基金会;
关键词：
Functional central limit theorem; L-2-NED; Multivariate MS-GARCH; Multivariate MS-ARMA-GARCH; STATIONARITY;
D O I：
10.1016/j.econlet.2014.10.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 L-2-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.(C) 2014 Elsevier B.V. All rights reserved.
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页码：331 / 335
页数：5
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