Measuring Dependence between Electricity Consumption and Contributing Indicators via Copulas: Turkish Case

Authors : O Ozan EVKAYA, Ceylan YOZGATLIGIL, A Sevtap SELCUK KESTEL

Pages : 1284-1296

View : 17 | Download : 5

Publication Date : 2018-12-01

Article Type : Research Paper

Abstract :This paper implements copulas to identify the dependence structure between electricity consumption and its cofounding indicators. To achieve this, Turkish electricity demand, its economic and sectoral indicators are taken into account. As a first step, bivariate copulas are used to identify the best fitting copula and the degree of the dependence. Thereafter, multivariate model is established using vine copulas using highly correlated variables. The empirical results confirm the added value of the proposed approach in determining numerous tail properties. We indicate that the copulas are useful to underline, especially, the tail properties of indicators in the market for decision makers.
Keywords : Electricity demand, Economic ındicators, Sectorial ındicators, Bivariate copulas, Vines