Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi
Öz
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.
Anahtar Kelimeler
Kaynakça
- Arnold, H., (2006), Dependence Modelling via the Copula Method, Vacation Student Project, (1-33).
- Aas , K., (2004), “Modelling The Dependence Structure Of Financial Assets: A Survey Of Four Copulas”, Norwegian Computing Center: Applied Research and Development, (1-22).
- Fress, E. W. And Favre, A. C., (1998), “Understanding Relationships Using Copulas”, North American Actuarial Journal, Vol: 2, (1-25).
- Genest, C., Rivest, L.-P., (1993), “Statistical Inference Procedures for Bivariate Archimedean Copulas”, Journal of the American Statistical Association, Vol: 88, (1034-1043).
- Joe, H., (1997), Multivariate Models and Dependence Concepts, Chapman and Hall, London.
- Kumar, P., (2010 ), “Probability Distributions and Estimation of Ali-Mikhail-Haq Copula”, Pranesh, Applied Mathematical Sciences, Vol. 4, (657-666).
- Manner, H., (2007), Estimation and model selection of copulas with an application to exchange rates, (137).
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Ayrıntılar
Birincil Dil
İngilizce
Konular
-
Bölüm
-
Yazarlar
Yayımlanma Tarihi
11 Ocak 2016
Gönderilme Tarihi
8 Temmuz 2015
Kabul Tarihi
-
Yayımlandığı Sayı
Yıl 2015 Cilt: 1 Sayı: 13
APA
Büyükyılmaz, A. (2016). Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(13), 206-215. https://doi.org/10.20875/sb.56954
AMA
1.Büyükyılmaz A. Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi. MAKU SOBED. 2016;1(13):206-215. doi:10.20875/sb.56954
Chicago
Büyükyılmaz, Ayça. 2016. “Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi”. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 1 (13): 206-15. https://doi.org/10.20875/sb.56954.
EndNote
Büyükyılmaz A (01 Ocak 2016) Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 1 13 206–215.
IEEE
[1]A. Büyükyılmaz, “Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi”, MAKU SOBED, c. 1, sy 13, ss. 206–215, Oca. 2016, doi: 10.20875/sb.56954.
ISNAD
Büyükyılmaz, Ayça. “Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi”. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 1/13 (01 Ocak 2016): 206-215. https://doi.org/10.20875/sb.56954.
JAMA
1.Büyükyılmaz A. Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi. MAKU SOBED. 2016;1:206–215.
MLA
Büyükyılmaz, Ayça. “Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi”. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, c. 1, sy 13, Ocak 2016, ss. 206-15, doi:10.20875/sb.56954.
Vancouver
1.Ayça Büyükyılmaz. Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi. MAKU SOBED. 01 Ocak 2016;1(13):206-15. doi:10.20875/sb.56954
