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

页码：331 / 335

页数：5

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