On multivariate asymmetric dependence using multivariate skew-normal copula-based regression

DOI10.1016/j.ijar.2017.10.016zbMath1429.62179OpenAlexW2766548416MaRDI QIDQ1687303

Zheng Wei, Daeyoung Kim

Publication date: 22 December 2017

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2017.10.016

zbMATH Keywords

asymmetric comovements of financial assetsasymmetric dependence measurecopula regressionmultivariate skew-normal copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (4)

Dependence modeling in stochastic frontier analysis ⋮ Asymmetric dependence in the stochastic frontier model using skew normal copula ⋮ Copulas, uncertainty, and false discovery rate control ⋮ On the uniform-in-bandwidth consistency of the general conditionalU-statistics based on the copula representation

Uses Software

• UNCMND
• randtoolbox
• pchip
• bootstrap
• CopulaModel

Cites Work

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