Directional dependence modeling has been applied to many research areas including economics, finance, biostatistics, and bioinformatics. The concept of directional dependence using copula regression functions has been introduced by Sungur . So we propose a new copula family which incorporates the truncation invariant structure  into the generalized Farlie-Gumbel-Morgenstern (FGM) distributions. The directional dependence of the new truncated invariant FGM copulas will be also introduced in this research. We will show that there exists a directional dependence in our truncation invariant FGM copulas using Foreign Currency Exchange Data of the Canadian Dollar (CAD/USD), the Japanese Yen (JPY/USD), and the Korean Won (KRW/USD).
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© 2014 Taylor & Francis.
- directional dependence
- generalized FGM distribution
- regression function