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- W1987841221 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." @default.
- W1987841221 created "2016-06-24" @default.
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- W1987841221 date "2014-12-01" @default.
- W1987841221 modified "2023-09-29" @default.
- W1987841221 title "The functional central limit theorem for the multivariate MS–ARMA–GARCH model" @default.
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- W1987841221 doi "https://doi.org/10.1016/j.econlet.2014.10.002" @default.
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