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.
引用
收藏
页码：331 / 335
页数：5
相关论文
共 50 条
[31]   FUNCTIONAL CENTRAL LIMIT THEOREM FOR THE MEASURES OF LEVEL SURFACES OF THE GAUSSIAN RANDOM FIELD [J].
Meschenmoser, D. ;
Shashkin, A. .
THEORY OF PROBABILITY AND ITS APPLICATIONS, 2013, 57 (01) :162-U231
[32]   A random functional central limit theorem for stationary linear processes generated by martingales [J].
FakhreZakeri, I ;
Lee, S .
STATISTICS & PROBABILITY LETTERS, 1997, 35 (04) :417-422
[33]   Counter-example to the functional central limit theorem for real random fields [J].
El Machkouri, M ;
Volny, D .
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2003, 39 (02) :325-337
[34]   ON THE FUNCTIONAL CENTRAL LIMIT THEOREM FOR REVERSIBLE MARKOV CHAINS WITH NONLINEAR GROWTH OF THE VARIANCE [J].
Longla, Martial ;
Peligrad, Costel ;
Peligrad, Magda .
JOURNAL OF APPLIED PROBABILITY, 2012, 49 (04) :1091-1105
[35]   A Holderian functional central limit theorem for a multi-indexed summation process [J].
Rackauskas, Alfredas ;
Suquet, Charles ;
Zemlys, Vaidotas .
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2007, 117 (08) :1137-1164
[36]   P(φ)1-process for the spin-boson model and a functional central limit theorem for associated additive functionals [J].
Gheryani, Soumaya ;
Hiroshima, Fumio ;
Lorinczi, Jozsef ;
Majid, Achref ;
Ouerdiane, Habib .
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2017, 89 (6-7) :1104-1115
[37]   The functional central limit theorem for strong near-epoch dependent random variables [J].
QIU Jin and LIN Zhengyan Department of Mathematics Zhejiang University Xixi Campus Hangzhou China Information School Zhejiang University of Finance and Economics Hangzhou China .
Progress in Natural Science, 2004, (01) :10-15
[38]   Kahane-Khintchine inequalities and functional central limit theorem for stationary random fields [J].
El Machkouri, M .
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2002, 102 (02) :285-299
[39]   Functional central limit theorem for random walks in random environment defined on regular trees [J].
Collevecchio, Andrea ;
Takei, Masato ;
Uematsu, Yuma .
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 130 (08) :4892-4909
[40]   Functional central limit theorem for the volume of excursion sets generated by associated random fields [J].
Meschenmoser, D. ;
Shashkin, A. .
STATISTICS & PROBABILITY LETTERS, 2011, 81 (06) :642-646
12345