Geodesic
Copula approach to residuals of regime-switching models
Kybernetika, Tome 48 (2012) no. 3, pp. 550-566

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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.
Classification : 62A10, 93E12
Keywords: autocopula; time series; residuals; regime-switching models 
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     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},
     publisher = {mathdoc},
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     number = {3},
     year = {2012},
     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/