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

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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/}
}
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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/