TITLE

Copulas with Directional Dependence Property

AUTHOR(S)
Sungur, Engin A.; ÇelebİoĞlu, Salih
PUB. DATE
July 2011
SOURCE
Gazi University Journal of Science;2011, Vol. 24 Issue 3, p415
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
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.
ACCESSION #
71527033

 

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