Modeling nonlinear dependence structure using logistic smooth transition copula model
© 2019 by the Mathematical Association of Thailand. All rights reserved. This study introduces a new measure of dependence for financial studies in the context of nonlinear modelling, termed as the logistic smooth transition (LST) copula. The model is based on a bivariate copula incorporated with a...
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| Main Authors: | , , |
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| 格式: | 雜誌 |
| 出版: |
2019
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| 主題: | |
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85068474945&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65689 |
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