DSpace at EWHA: The functional central limit theorem for Markov-switching GARCH model

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DC Field	Value	Language
dc.contributor.author	이외숙	-
dc.date.accessioned	2024-08-26T16:31:18Z	-
dc.date.available	2024-08-26T16:31:18Z	-
dc.date.issued	2024	-
dc.identifier.issn	1651-1765	-
dc.identifier.other	OAK-35697	-
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/269423	-
dc.description.abstract	In this paper we consider the Markov Switching GARCH model suggested by Haas, Mittnik, and Paolella(2004). We show under proper assumptions that the functional central limit theorems hold for the process, the square of the process, and regime variances. The functional central limit theorem for a linear combination of regime variances is also obtained. © 2024 Elsevier B.V.	-
dc.description.sponsorship	Elsevier B.V.	-
dc.language	English	-
dc.subject	Functional central limit theorem	-
dc.subject	Markov switching GARCH model	-
dc.subject	ϕ-mixing	-
dc.title	The functional central limit theorem for Markov-switching GARCH model	-
dc.type	Article	-
dc.relation.volume	238	-
dc.relation.index	SSCI	-
dc.relation.index	SCOPUS	-
dc.relation.journaltitle	Economics Letters	-
dc.identifier.doi	10.1016/j.econlet.2024.111728	-
dc.identifier.wosid	WOS:001235742600001	-
dc.identifier.scopusid	2-s2.0-85191533392	-
dc.author.google	Kwon	-
dc.author.google	Dream	-
dc.author.google	Lee	-
dc.author.google	Oesook	-
dc.contributor.scopusid	이외숙(8425708300)	-
dc.date.modifydate	20240826142515	-