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자연과학대학
통계학전공
Journal papers
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The functional central limit theorem for Markov-switching GARCH model
Title
The functional central limit theorem for Markov-switching GARCH model
Authors
Kwon
;
Dream
;
Lee
;
Oesook
Ewha Authors
이외숙
SCOPUS Author ID
이외숙
Issue Date
2024
Journal Title
Economics Letters
ISSN
1651-1765
Citation
Economics Letters vol. 238
Keywords
Functional central limit theorem
;
Markov switching GARCH model
;
ϕ-mixing
Indexed
SSCI; SCOPUS
Document Type
Article
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.
DOI
10.1016/j.econlet.2024.111728
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