MODELING THE DEPENDENCE STRUCTURE OF FINANCIAL DATA WITH A COPULA: ELECTRICITY INDEX – AN EXAMPLE OF THE DOLLAR  EXCHANGE RATE

Tuğba ÜNAL

Makale detayları

MODELING THE DEPENDENCE STRUCTURE OF FINANCIAL DATA WITH A COPULA: ELECTRICITY INDEX – AN EXAMPLE OF THE DOLLAR EXCHANGE RATE

Yazarlar:

Tuğba ÜNAL

Yayıncı:

Ankara Yildirim Beyazit University

Ana Başlıklar:

Sosyal Bilimler

Dergi:

AYBU Business Journal 2022 Vol.2 Issue 1, pp.35-45

Belge Tipi:

Makale

Yayın Tarihi:

6/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000770314

Sıklık:

İki Yıllık

eISSN:

2792-0119

Özet:

 

Copulas are used to reveal the dependency structure between random variables. Measuring dependency with copula functions in both parametric and non-parametric situations, methods that can be an alternative to many methods and allow much simpler calculation of these calculations have been proposed. In this study, the dependency structure between the electricity index and the dollar rate was examined and interpreted using the copula function. The relationship between the two indices was made with MSE, AIC and BIC calculations. In the results of these calculations, it was determined that the most appropriate modeling according to MSE is with Clayton, and when viewed according to AIC and BIC, the most appropriate modeling will be done with Gumbel.

Makale detayları

MODELING THE DEPENDENCE STRUCTURE OF FINANCIAL DATA WITH A COPULA: ELECTRICITY INDEX – AN EXAMPLE OF THE DOLLAR EXCHANGE RATE

Yazarlar: Tuğba ÜNAL

Yayıncı: Ankara Yildirim Beyazit University

Ana Başlıklar: Sosyal Bilimler

Dergi: AYBU Business Journal 2022 Vol.2 Issue 1, pp.35-45

Belge Tipi: Makale

Yayın Tarihi: 6/2022

Belge Dili: İngilizce

Document ID (Org No.): 2000770314

Sıklık: İki Yıllık

eISSN: 2792-0119

Sayı

Yazarlar:

Tuğba ÜNAL

Yayıncı:

Ankara Yildirim Beyazit University

Ana Başlıklar:

Sosyal Bilimler

Dergi:

AYBU Business Journal 2022 Vol.2 Issue 1, pp.35-45

Belge Tipi:

Makale

Yayın Tarihi:

6/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000770314

Sıklık:

İki Yıllık

eISSN:

2792-0119