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

DOI10.1016/J.ECONLET.2014.10.002MaRDI QIDQ2345241zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A functional central limit theorem for weakly dependent sequences of random variables
• 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.
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• Stationarity of multivariate Markov-switching ARMA models
• Strict stationarity of generalized autoregressive processes
• The \(L^2\)-structures of standard and switching-regime GARCH models
• The functional central limit theorem for ARMA-GARCH processes
• The functional central limit theorem for a family of GARCH observations with applications
• Weak dependence. With examples and applications.

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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