New approach of directional dependence in exchange markets using generalized FGM copula function
Document Type
Conference Proceeding
Publication Title
Communications in Statistics: Simulation and Computation
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.
First Page
772
Last Page
788
DOI
10.1080/03610910701711091
Publication Date
4-1-2008
Recommended Citation
Jung, Y., Kim, J., & Kim, J. (2008). New approach of directional dependence in exchange markets using generalized FGM copula function. Communications in Statistics: Simulation and Computation, 37 (4), 772-788. https://doi.org/10.1080/03610910701711091