Lei, Xianhui; Shemyakin, Arkady - In: Risks : open access journal 11 (2023) 11, pp. 1-17
ARIMA residuals, addressing any deviation from the standard normality assumption. Thereafter, copulas are utilized to … methodology with subsequent residual distribution modeling. To establish dependence patterns between the states, pair copulas are … classes of copulas, comprising both elliptic and Archimedean families. Emphasis is placed on copula model selection. Student t …