New approach of directional dependence in exchange markets using generalized FGM copula function

Yoon Sung Jung, Jong Min Kim, Jinhwa Kim

    Research output: Contribution to journalArticlepeer-review

    9 Scopus citations

    Abstract

    This article presents an application of copula methodology in exchange markets. In this article, we consider the concept of directional dependence given by Sungur (2005). We also consider and study directional dependence for generalized Farlie-Gumbel-Morgenstern (FGM) distributions, which are a member of the Rodríguez-Lallena and Úbeda-Flores (2004) family, C(u, v) = uv + f(u)g(v). Examples of the generalized FGM distributions are provided with exchange market data of the Euro, Canadian dollar, Korean Won, Japanese Yen, and Hong Kong dollar against the U.S. dollar.

    Original languageEnglish (US)
    Pages (from-to)772-788
    Number of pages17
    JournalCommunications in Statistics: Simulation and Computation
    Volume37
    Issue number4
    DOIs
    StatePublished - Apr 1 2008

    Keywords

    • Copulas
    • Directional dependence
    • Exchange markets
    • Generalized FGM family
    • MLE
    • Regression function

    Fingerprint Dive into the research topics of 'New approach of directional dependence in exchange markets using generalized FGM copula function'. Together they form a unique fingerprint.

    Cite this