Copula approach to residuals of regime-switching models

zbMATH Open1255.93148MaRDI QIDQ3165682FDOQ3165682

Authors: Anna Petričková, Magda Komorníková 

Publication date: 29 October 2012

Full work available at URL: http://www.kybernetika.cz/content/2012/3/550

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zbMATH Keywords

residualstime seriesregime-switching modelsautocopula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cited In (1)

• Goodness‐of‐fit for regime‐switching copula models with application to option pricing

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