1. Copula approach to residuals of regime-switching models
- Creator:
- Petričková, Anna and Komorníková, Magda
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- autocopula, timeseries, residuals, and regime-switching models
- Language:
- English
- Description:
- 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 (\cite{Rak09}), 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.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public