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

Year 2018, Volume: 31 Issue: 4, 1284 - 1296, 01.12.2018

O. Ozan Evkaya Ceylan Yozgatlıgıl A. Sevtap Selcuk- Kestel

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

References

• Reference 1: Assoc. Prof. Dr. Emel Kızılok Kara ([e-mail])
• Reference 2: Assist. Prof. Dr. Vadoud Najjari (Gazi University, Dept. of Statistics)
• Reference 3: Prof. Dr. Gerhard Wilhelm Weber (Poznan University, Poland, [e-mail])