The functional central limit theorem for Markov-switching GARCH model
Author:
Funder
Ministry of Education, Science and Technology
National Research Foundation of Korea
Ministry of Education Science and Technology
Publisher
Elsevier BV
Reference17 articles.
1. The functional central limit theorem for a family of GARCH observations with applications;Berkes;Statist. Probab. Lett.,2008
2. Convergence of Probability Measures;Billingsley,1968
3. Generalized autoregressive conditional heteroscedasticity;Bollerslev;J. Econometrics,1986
4. A Markov model of switching-regime ARCH;Cai;J. Bus. Econom. Statist.,1994
5. Establishing conditions for the functional central limit theorem in nonlinear and semi-parametric time series processes;Davidson;J. Econometrics,2002
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