Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238844 
Authors: 
Year of Publication: 
2017
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 10 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
A copula is a useful tool for constructing bivariate and/or multivariate distributions. In this article, we consider a new modified class of FGM (Farlie-Gumbel-Morgenstern) bivariate copula for constructing several different bivariate Kumaraswamy type copulas and discuss their structural properties, including dependence structures. It is established that construction of bivariate distributions by this method allows for greater flexibility in the values of Spearman's correlation coefficient, Þ and Kendall's T .
Subjects: 
bivariate Kumaraswamy distribution
copula based construction
Kendall's tau
dependence structures
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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