The functional central limit theorem for Markov-switching GARCH model

DOI10.1016/j.econlet.2024.111728zbMATH Open1541.62281MaRDI QIDQ6555120

Dream Kwon, Oesook Lee

Publication date: 14 June 2024

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

zbMATH Keywords

functional central limit theoremMarkov switching GARCH model\(\varphi\)-mixing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Cites Work

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• Conditional heteroskedasticity driven by hidden Markov chains
• Matrix Analysis
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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