Nonparametric Approach to Regression Modeling Based on Copula Functions: Application to Bivariate Models

This paper explores a nonparametric approach to regression modeling based on copula functions, which overcomes the limitations of classical linear models. The study analyzes the advantages of the copula approach, including the ability to model complex nonlinear, asymmetric, and tail dependencies, as well as the separation of dependence structure and marginal distributions. The main classes of copulas (elliptical and Archimedean), their properties, and their application in bivariate models are discussed. Special attention is paid to practical examples of copula applications in economics and finance. The advantages of the approach, such as flexibility and universality, are highlighted, along with its limitations related to computational complexity and data quality requirements.

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Publication Details

Journal
Economic problems and legal practice
Published
2025-08-04
DOI
https://doi.org/10.33693/2541-8025-2025-21-3-136-145
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
0.00
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article

Nonparametric Approach to Regression Modeling Based on Copula Functions: Application to Bivariate Models

Umar Aptievich Bachaev
Economic problems and legal practice
Financial Risk and Volatility Modeling
article

Nonparametric Approach to Regression Modeling Based on Copula Functions: Application to Bivariate Models

Umar Aptievich Bachaev
article en

Abstract

This paper explores a nonparametric approach to regression modeling based on copula functions, which overcomes the limitations of classical linear models. The study analyzes the advantages of the copula approach, including the ability to model complex nonlinear, asymmetric, and tail dependencies, as well as the separation of dependence structure and marginal distributions. The main classes of copulas (elliptical and Archimedean), their properties, and their application in bivariate models are discussed. Special attention is paid to practical examples of copula applications in economics and finance. The advantages of the approach, such as flexibility and universality, are highlighted, along with its limitations related to computational complexity and data quality requirements.

Economic problems and legal practiceVol. 21(3)
Financial University (RU)
Openalex Percentile: Top 75%
Financial Risk and Volatility Modeling
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