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

DOI10.1016/J.ECONLET.2014.10.002zbMATH Open1311.62146OpenAlexW1987841221MaRDI QIDQ2345241FDOQ2345241

Authors: Oesook Lee, Jungwha Lee 

Publication date: 19 May 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.10.002

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zbMATH Keywords

functional central limit theorem\(L_2\)-NEDmultivariate MS-ARMA-GARCHmultivariate MS-GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• Break detection in the covariance structure of multivariate time series models
• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• A functional central limit theorem for weakly dependent sequences of random variables
• Strict stationarity of generalized autoregressive processes
• Weak dependence. With examples and applications.
• Stationarity of multivariate Markov-switching ARMA models
• The functional central limit theorem for ARMA-GARCH processes
• The functional central limit theorem for a family of GARCH observations with applications
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• The \(L^2\)-structures of standard and switching-regime GARCH models

Cited In (2)

• The functional central limit theorem for Markov-switching GARCH model
• Strict stationarity and functional central limit theorem for ARCH/GARCH models

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