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

초록

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 Rodrguez-Lallena and beda-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.

키워드