Modeling nonlinear dependence structure using logistic smooth transition copula model

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: Paravee Maneejuk, Woraphon Yamaka, Pisit Leeahtam
Format: Journal
Published: 2019
Subjects:
Mathematics
Online Access: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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Institution: Chiang Mai University
id th-cmuir.6653943832-65689
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spelling th-cmuir.6653943832-656892019-08-05T04:39:34Z Modeling nonlinear dependence structure using logistic smooth transition copula model Paravee Maneejuk Woraphon Yamaka Pisit Leeahtam Mathematics © 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 threshold and smooth parameter. A Monte Carlo simulation shows that this dependence measure exhibits better performance than the classical copulas. Finally, this study applies the LST copula to measure the dependence structure between bond yields in advanced economies. 2019-08-05T04:39:34Z 2019-08-05T04:39:34Z 2019-01-01 Journal 16860209 2-s2.0-85068474945 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85068474945&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65689
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Mathematics
spellingShingle Mathematics
Paravee Maneejuk
Woraphon Yamaka
Pisit Leeahtam
Modeling nonlinear dependence structure using logistic smooth transition copula model
description © 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 threshold and smooth parameter. A Monte Carlo simulation shows that this dependence measure exhibits better performance than the classical copulas. Finally, this study applies the LST copula to measure the dependence structure between bond yields in advanced economies.
format Journal
author Paravee Maneejuk
Woraphon Yamaka
Pisit Leeahtam
author_facet Paravee Maneejuk
Woraphon Yamaka
Pisit Leeahtam
author_sort Paravee Maneejuk
title Modeling nonlinear dependence structure using logistic smooth transition copula model
title_short Modeling nonlinear dependence structure using logistic smooth transition copula model
title_full Modeling nonlinear dependence structure using logistic smooth transition copula model
title_fullStr Modeling nonlinear dependence structure using logistic smooth transition copula model
title_full_unstemmed Modeling nonlinear dependence structure using logistic smooth transition copula model
title_sort modeling nonlinear dependence structure using logistic smooth transition copula model
publishDate 2019
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85068474945&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/65689
_version_ 1681426315690901504

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