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

Year 2015, Volume: 1 Issue: 13, 206 - 215, 11.01.2016

Ayça Büyükyılmaz

Abstract

In this paper, copula approach was applied to determine the dependence structure the two indices (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   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

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