A more flexible counterpart of a Huang-Kotz's copula-type
H. M. Barakat, M. A. Alawady, I. A. Husseiny, M. A. Abd Elgawad
TL;DR
This paper introduces a more flexible symmetric copula that extends the Huang-Kotz's copula of the 1st type, encompassing many FGM copula extensions and improving correlation modeling.
Contribution
It presents a new symmetric copula that generalizes and enhances the Huang-Kotz's copula, including various FGM copula extensions.
Findings
Provides a flexible symmetric copula with improved correlation capabilities
Includes special cases of multiple FGM copula extensions
Enhances modeling of dependence structures
Abstract
We propose a more flexible symmetric counterpart of the Huang-Kotz's copula of the 1st type. Both the counterpart and Huang-Kotz's copula of the 1st type provide the same improvement of the correlation level. Moreover, the proposed copula includes special cases of many other extensions of the Farlie-Gumbel-Morgenstern (FGM) copula.
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Taxonomy
TopicsStatistical Distribution Estimation and Applications · Financial Risk and Volatility Modeling