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

DOI10.1016/j.econlet.2014.10.002zbMath1311.62146OpenAlexW1987841221MaRDI QIDQ2345241

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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