Modeling currency exchange data with asymmetric copula functions

DOI10.1007/978-3-030-85254-2_4MaRDI QIDQ6637735zbMATH OpenFDO

Authors Emel Kizilok Kara, Sibel Açik Kemaloğlu, Ömer Ozan Evkaya

Publication date 13 November 2024

Full work available at URL https://doi.org/10.1007/978-3-030-85254-2_4

zbMATH Keywords

asymmetric copulacurrency exchange ratedirectional dependenceKhoudraji copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• A Note on Directional Dependence in Regression Setting
• An order of asymmetry in copulas, and implications for risk management
• Analysis of directional dependence using asymmetric copula-based regression models
• Construction of asymmetric copulas and its application in two-dimensional reliability modelling
• Construction of asymmetric multivariate copulas
• Construction of non-exchangeable bivariate distribution functions
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• New Approach of Directional Dependence in Exchange Markets Using Generalized FGM Copula Function
• Some Observations on Copula Regression Functions
• Tests of symmetry for bivariate copulas

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