The functional central limit theorem for the multivariate MS-ARMA-GARCH model
- 주제(키워드) Functional central limit theorem , L-2-NED , Multivariate MS-GARCH , Multivariate MS-ARMA-GARCH
- 등재 SSCI, SCOPUS
- 발행기관 ELSEVIER SCIENCE SA
- 발행년도 2014
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000114463
- 본문언어 영어
- Published As http://dx.doi.org/10.1016/j.econlet.2014.10.002
초록/요약
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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