Copulas with Directional Dependence Property

Sungur, Engin A.; ÇelebİoĞlu, Salih
July 2011
Gazi University Journal of Science;2011, Vol. 24 Issue 3, p415
Academic Journal
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.


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