Kybernetika 48 no. 3, 550-566, 2012

Copula approach to residuals of regime-switching models

Anna Petričková and Magda Komorníková

Abstract:

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.

Keywords:

time series, autocopula, residuals, regime-switching models

Classification:

93E12, 62A10

paper.pdf

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