Geodesic
Copula approach to residuals of regime-switching models
Kybernetika, Tome 48 (2012) no. 3, pp. 550-566 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.
The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.
Classification : 62A10, 93E12
Keywords: autocopula; time series; residuals; regime-switching models 
@article{KYB_2012_48_3_a14,
     author = {Petri\v{c}kov\'a, Anna and Komorn{\'\i}kov\'a, Magda},
     title = {Copula approach to residuals of regime-switching models},
     journal = {Kybernetika},
     pages = {550--566},
     year = {2012},
     volume = {48},
     number = {3},
     mrnumber = {2975806},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2012_48_3_a14/}
}
TY  - JOUR
AU  - Petričková, Anna
AU  - Komorníková, Magda
TI  - Copula approach to residuals of regime-switching models
JO  - Kybernetika
PY  - 2012
SP  - 550
EP  - 566
VL  - 48
IS  - 3
UR  - http://geodesic.mathdoc.fr/item/KYB_2012_48_3_a14/
LA  - en
ID  - KYB_2012_48_3_a14
ER  - 
%0 Journal Article
%A Petričková, Anna
%A Komorníková, Magda
%T Copula approach to residuals of regime-switching models
%J Kybernetika
%D 2012
%P 550-566
%V 48
%N 3
%U http://geodesic.mathdoc.fr/item/KYB_2012_48_3_a14/
%G en
%F KYB_2012_48_3_a14
Petričková, Anna; Komorníková, Magda. Copula approach to residuals of regime-switching models. Kybernetika, Tome 48 (2012) no. 3, pp. 550-566. http://geodesic.mathdoc.fr/item/KYB_2012_48_3_a14/

[1] Akintug, B., Rasmussen, P. F.: A Markov switching model for annual hydrologic time series. Water Resour. Res. 41 (2005). | DOI

[2] Arlt, J., Arltová, M.: Finanční časové rady. Grada Publishing a. s., Praha 2003.

[3] Brock, W. A., Dechert, W. D., Scheinkman, J. A., Le Baron, B.: A test for independence based on the correlation dimension. Econometr. Rev. 15 (1996), 197–235. | DOI | MR | Zbl

[4] Campbell, S. D.: Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate. Department of Economics, Brown University, 2002.

[5] Dacco, R., Satchell, S.: Why do regime-switching models forecast so badly?. J. Forecast. 18 (1999), 1–16. | DOI

[6] Embrechts, P., Lindskog, F., McNail, A.: Modeling dependence with copulas and applications to risk management. In: Handbook of Heavy Tailed Distributions in Finance (S. Rachev, ed.), Elsevier 8 (2001), pp. 329–384.

[7] Enders, W., Pascalau, R.: Pretesting the Out-of-sample Forecasting Properties of STAR Models. http://www.faculty.plattsburgh.edu, 2010.

[8] Franses, P. H., Van Dijk, D.: Non-linear Time Series Models in Empirical Finance. Cambridge University Press, Cambridge 2000.

[9] Genest, C., Favre, A. C.: Everything you always wanted to know about copula modeling but were afraid to ask. J. Hydrolog. Engrg. (2007), 347–368. | DOI

[10] Ghoudi, K., Khoudraji, A., Rivest, L. P.: Propriétés statistisques des copules de valeurs extremes bidimensionnelles. Canad. J. Statist. 26 (1998), 1, 187–197. | DOI | MR

[11] Granger, C. W. J., Teräsvirta, T.: Modelling Nonlinear Economic Relationships. Oxford University Press, Oxford 1993. | Zbl

[12] Grønneberg, S., Hjort, N. L.: The copula information criterion. In: Statistical Research Report 7, Dept. of Math. University of Oslo, 2008.

[13] Hamilton, J. D.: A new approach to the economic analysis of nonstationary time series subject to change in regime. Econometrica 57 (1989), 357–384. | DOI | MR

[14] Joe, H.: Models and Dependence Concepts. Chapman and Hall, London 1997. | MR | Zbl

[15] Komorník, J., Komorníková, M.: Copula approach to residuals of Markov-Switching models for economic time series. In: Proc. AGOP 2011, pp. 39–43.

[16] Montgomery, A., Zarnowitz, V., Tsay, R., Tiao, G.: Forecasting the U.S. unemployment rate. J. Amer. Statist. Assoc. 93 (1998), 478–493. | DOI | Zbl

[17] Nelsen, R. B.: An introduction to copulas. In: Lecture Notes in Statistics 139, Springer-Verlag, New York 1999. | MR | Zbl

[18] Prokhorov, A.: A goodness-of-fit test for copulas. In: MPRA Paper 9998, 2008, online at http://mpra.ub.uni-muenchen.de/9998

[19] Rakonczai, P.: On modeling and prediction of multivariate extremes with applications to enviromental data. In: Licentiate Theses in Mathematical Sciences (2009), pp. 83–109.

[20] Rakonczai, P., Márkus, L., Zempléni, A.: Autocopulas: Investigating the interdependence structure of stationary time series. Methodology Comput. Appl. Probab. 14 (2012), 1, 149–167. | DOI | MR | Zbl

[21] Teräsvirta, T.: Specification, estimation, and evaluation of smooth transition autoregressive models. J. Amer. Statist. Assoc. 89 (1994), 208–218.

[22] Teräsvirta, T.: Forecasting economic variables with nonlinear models. In: Handbook of Economic Forecasting (G. Elliot, C. Granger, and A. Timmermann, eds.), Elsevier 8, Amsterdam 2006.

[23] White, H.: Maximum likelihood estimation of misspecified models. Econometrica 50 (1982), 1–26. | DOI | MR | Zbl