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

Oesook Lee and Jungwha Lee

Economics Letters, 2014, vol. 125, issue 3, 331-335

Abstract: 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 L2-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.

Keywords: Functional central limit theorem; L2-NED; Multivariate MS–GARCH; Multivariate MS–ARMA–GARCH (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:3:p:331-335

DOI: 10.1016/j.econlet.2014.10.002

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