Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi

Authors : Ayça BÜYÜKYILMAZ

Pages : 206-215

Doi:10.20875/sb.56954

View : 36 | Download : 10

Publication Date : 2016-01-11

Article Type : Research Paper

Abstract :In this paper, copula approach was applied to determine the dependence structure the two indices insert ignore into journalissuearticles values(PPI and CPI);. Ali ? Mikhail ? Haq, Clayton, Frank and Gumbel ? Hougaard from Archimedean family were used. As a result it was found that the Gumbel ? Hougaard ?s family with parameter ? =2.907     was the best fitted family which models the dependence structure between the two indices.
Keywords : Copula, Archimedean copula, dependency structure, goodness of fit chi square method, Kendall s Tau

ORIGINAL ARTICLE URL