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Communications in Statistics - Simulation and Computation Volume 46, 2017 - Issue 10
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Original Articles

Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals

Jong-Min KimStatistics Discipline, Division of Science and Mathematics, University of Minnesota-Morris, Morris, MN, USA
&
S.Y. HwangDepartment of Statistics, Sookmyung Women’s University, Seoul, South KoreaCorrespondence[email protected]
Pages 7639-7653 | Received 20 Mar 2016, Accepted 28 Sep 2016, Published online: 11 May 2017

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Wei-Cheng Lin, Takeshi Emura & Li-Hsien Sun. (2021) Estimation under copula-based Markov normal mixture models for serially correlated data. Communications in Statistics - Simulation and Computation 50:12, pages 4483-4515.
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Mohammed Alqawba, Norou Diawara & Jong-Min Kim. (2021) Copula directional dependence of discrete time series marginals. Communications in Statistics - Simulation and Computation 50:11, pages 3733-3750.
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Jae Eun Yoon & Sun Young Hwang. (2021) On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series. Communications in Statistics - Simulation and Computation 50:7, pages 2042-2053.
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Jong-Min Kim & Sun Young Hwang. (2021) Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series. Applied Economics 53:4, pages 506-520.
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Jong-Min Kim, Jaiwook Baik & Mitch Reller. (2021) Control charts of mean and variance using copula Markov SPC and conditional distribution by copula. Communications in Statistics - Simulation and Computation 50:1, pages 85-102.
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Jong-Min Kim & Hojin Jung. (2018) Directional time-varying partial correlation with the Gaussian copula–DCC–GARCH model. Applied Economics 50:41, pages 4418-4426.
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Articles from other publishers (16)

Joshua Eklund & Jong‐Min Kim. (2024) Forecasting Consumer Price Index with Federal Open Market Committee Sentiment Index. Journal of Forecasting.
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Jianxu Liu, Vicente Ramos, Bing Yang, Mengjiao Wang & Songsak Sriboonchitta. (2022) Analysing the dynamic co-movement between tourism and expected economic growth considering extreme events. Tourism Economics 30:1, pages 3-26.
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Hohsuk Noh, Hyuna Jang, Kun Ho Kim & Jong-Min Kim. (2023) Nonparametric Directional Dependence Estimation and Its Application to Cryptocurrency. Axioms 12:3, pages 293.
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Melike E. Bildirici, Memet Salman & Özgür Ömer Ersin. (2022) Nonlinear Contagion and Causality Nexus between Oil, Gold, VIX Investor Sentiment, Exchange Rate and Stock Market Returns: The MS-GARCH Copula Causality Method. Mathematics 10:21, pages 4035.
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Jong-Min Kim, Ning Wang & Yumin Liu. (2020) Multi-Stage Change Point Detection with Copula Conditional Distribution with PCA and Functional PCA. Mathematics 8:10, pages 1777.
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Jong-Min Kim, Namgil Lee & Sun Young Hwang. (2020) A Copula Nonlinear Granger Causality. Economic Modelling 88, pages 420-430.
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Jong-Min Kim, Lucia Tabacu & Hojin Jung. (2020) A quantile-copula approach to dependence between financial assets. The North American Journal of Economics and Finance 51, pages 101066.
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Li-Hsien Sun, Xin-Wei Huang, Mohammed S. Alqawba, Jong-Min Kim & Takeshi EmuraLi-Hsien Sun, Xin-Wei Huang, Mohammed S. Alqawba, Jong-Min Kim & Takeshi Emura. 2020. Copula-Based Markov Models for Time Series. Copula-Based Markov Models for Time Series 87 99 .
Li-Hsien Sun, Xin-Wei Huang, Mohammed S. Alqawba, Jong-Min Kim & Takeshi EmuraLi-Hsien Sun, Xin-Wei Huang, Mohammed S. Alqawba, Jong-Min Kim & Takeshi Emura. 2020. Copula-Based Markov Models for Time Series. Copula-Based Markov Models for Time Series 55 72 .
Li-Hsien Sun, Xin-Wei Huang, Mohammed S. Alqawba, Jong-Min Kim & Takeshi EmuraLi-Hsien Sun, Xin-Wei Huang, Mohammed S. Alqawba, Jong-Min Kim & Takeshi Emura. 2020. Copula-Based Markov Models for Time Series. Copula-Based Markov Models for Time Series 1 6 .
Kim, Yoon, Hwang & Jun. (2019) Patent Keyword Analysis using Time Series and Copula Models. Applied Sciences 9:19, pages 4071.
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Steve Hyun, Jimin Lee, Jong-Min Kim & Chulhee Jun. (2019) What Coins Lead in the Cryptocurrency Market: Using Copula and Neural Networks Models. Journal of Risk and Financial Management 12:3, pages 132.
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Jong-Min Kim, Namgil Lee & Xingyao Xiao. (2019) Directional dependence between major cities in China based on copula regression on air pollution measurements. PLOS ONE 14:3, pages e0213148.
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Namgil Lee & Jong‐Min Kim. (2018) Copula directional dependence for inference and statistical analysis of whole‐brain connectivity from fMRI data . Brain and Behavior 9:1.
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Jong-Min Kim & Hojin Jung. (2018) Dependence Structure between Oil Prices, Exchange Rates, and Interest Rates. The Energy Journal 39:2, pages 259-280.
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Jong-Min Kim, Jaiwook Baik & Mitch Reller. 2018. Proceedings of the Pacific Rim Statistical Conference for Production Engineering. Proceedings of the Pacific Rim Statistical Conference for Production Engineering 145 154 .

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