New Approach of Directional Dependence in Exchange Markets Using Generalized FGM Copula Function

DOI10.1080/03610910701711091zbMath1291.62263OpenAlexW2007253235WikidataQ105583977 ScholiaQ105583977MaRDI QIDQ3625303

Jinhwa Kim, Yoon-Sung Jung, Jong-Min Kim

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701711091

zbMATH Keywords

copulasMLEregression functionexchange marketsdirectional dependencegeneralized FGM family

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Applications of statistics to economics (62P20)

Related Items (5)

Flexible binomial AR(1) processes using copulas ⋮ Copula directional dependence of discrete time series marginals ⋮ A note on conjugate distributions for copulas ⋮ Analysis of directional dependence using asymmetric copula-based regression models ⋮ A Compendium of Copulas

Cites Work

• Dependence structure and symmetry of Huang-Kotz FGM distributions and their extensions
• A new class of bivariate copulas.
• On Directional Dependence in a Regression Line
• A new measure of linear local dependence
• New generalized Farlie-Gumbel-Morgenstern distributions and concomitants of order statistics
• Direction dependence in a regression line
• Some Observations on Copula Regression Functions

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