Abstract
In this article, we introduce a new way of generating copulas with the directional dependence property based on the logistic regression. The studied class of copulas leads to nonsymmetrical copula structures, therefore allowing for the development of various directional dependence models. The setup introduced in the research can be easily adapted to wide range of dependence modeling applications.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 415-424 |
| Number of pages | 10 |
| Journal | Gazi University Journal of Science |
| Volume | 24 |
| Issue number | 3 |
| State | Published - 2011 |
Keywords
- Conditional copulas
- Directional dependence
- Logistic regression
- Principal component analysis