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Dynamic Conditional Dependence for Turkey Earthquake Data: CD Vine Copula Approach

Year 2021, Volume: 11 Issue: 2, 60 - 75, 20.12.2021

Ayse Karakaş Aslıhan Demir Sinan Çalik

https://doi.org/10.17678/beuscitech.1009628

Abstract

The objective of this research was to use Turkey's major fault zones, which are located on fault lines, to describe the dependency structure. The current study also intended to show the dynamic structure of the conditional dependencies of the earthquake data in Turkey in terms of depth and magnitude, using the CD-vine copula method. Conditional dependence, also known as the CD-vine method, makes obtaining a complex dependency structure simpler. The current research uses 30 years of data from the Eastern Anatolian Fault line and the North Anatolian Fault line to describe the dynamic conditional dependency structure. As a consequence, this dependency structure is represented graphically and numerically in tables and graphs.

Keywords

Dynamic Conditional Dependence Copula CD Vine Copula

References

  • [1] Sriboonchitta, S., & Chaiboonsri, C. 2013. The dynamics Co-movement toward among capital markets in ASEAN exchanges: CD Vine Copula approach. Procedia Economics and Finance, 5, 696-702.
  • [2] Chaiboonsri, C., & Singvejsakul, J. 2017. The Dynamics Co-Movement toward and the Pattern of Relation among Stock Market in World Exchanges during the Period 2000~ 2016: CD vine Copula Approach. International Journal of Intelligent Technologies & Applied Statistics, 10(2).
  • [3] Hikmah, I. R., Saefuddin, A., & Mangku, I. 2017. Identification of Dependent Structure and Prediction of Composite Stock Price Index with CD Vine Copula Approach. International Journal of Scientific & Engineering Research, 7, 249-252.
  • [4] Schepsmeier, U., & Brechmann, E. C. 2013. Modeling dependence with C-and D-vine copulas: The R package CD vine. J. Stat. Software, 52(3), 1-27.
  • [5] Chokethaworn, K., Chaitip, P., Sriwichailamphan, T., & Chaiboonsri, C. 2013. The Dependence Structure and Co-movement toward between Thai's Currency and Malaysian's Currency: Markov Switching Model in Dynamic Copula Approach (MSDC). Procedia Economics and Finance, 5, 152-161.
  • [6] Evkaya, Ö. O. 2018. Mixture of vines for dependence modeling: Finite mixture and CD-vine approaches with applications.
  • [7] Karakas, A., Demir, A., Çalik, S. 2019. Interdependence Of Bitcoin And Other Crypto Money Indicators: Cd Vine Copula Approach. Bitlis Eren Üniversitesi Fen Bilimleri Dergisi, 9(4), 1527-1536.
  • [8] D. Kim, J.-M. Kim, S.-M. Liao, and Y.-S. Jung. 2013, Mixture of d-vine copulas for modeling dependence. Computational Statistics and Data Analysis, 64(C):1–19.
  • [9] Yan, J. 2007. Enjoy the joy of copulas: with a package copula. Journal of Statistical Software, 21(4), 1-21.
  • [10] Pourkhanali, A., Kim, J. M., Tafakori, L., Fard, F. A. (2016). Measuring systemic risk using vine copula. Economic modelling, 53, 63-74.
  • [11] Nguyen-Huy, T., Deo, R. C., Mushtaq, S., An-Vo, D. A., & Khan, S. 2018. Modeling the joint influence of multiple synoptic-scale, climate mode indices on Australian wheat yield using a vine copula-based approach. European journal of agronomy, 98, 65-81.
  • [12] İnç, M., Korpinar, Z. S., Al Qurashi, M. M., & Baleanu, D. 2016. A new method for approximate solutions of some nonlinear equations: Residual power series method. Advances in Mechanical Engineering, 8(4), 1687814016644580.
  • [13] Acay, B., Inc, M. 2020. Fractional modeling of temperature dynamics of a building with singular kernels. Chaos, Solitons & Fractals, 110482.
  • [14] Houwe, A., Inc, M., Doka, S. Y., Acay, B., & Hoan, L. V. C. 2020. The discrete tanh method for solving the nonlinear differential-difference equations. International Journal of Modern Physics B, 34(19), 2050177.
  • [15] Akinlar, M. A., Inc, M., Gómez-Aguilar, J. F., & Boutarfa, B. 2020. Solutions of a disease model with fractional white noise. Chaos, Solitons & Fractals, 109840.
  • [16] Akinlar, M. A., Tchier, F., Inc, M. 2020. Chaos control and solutions of fractional-order Malkus waterwheel model. Chaos, Solitons & Fractals, 135, 109746.
  • [17] Korpinar, Z., Tchier, F., Inc, M., Bousbahi, F. T., Tawfiq, F. M., & Akinlar, M. A. 2020. Applicability of time conformable derivative to Wick-fractional-stochastic PDEs. Alexandria Engineering Journal.
  • [18] Hashemi, M. S., Inc, M., Yusuf, A. 2020. On three-dimensional variable order time fractional chaotic system with nonsingular kernel. Chaos, Solitons & Fractals, 133, 109628.
  • [19] K. Dorota and C. Roger. 2006, Uncertainty Analysis with High Dimensional Dependence Modelling. John Wiley and Sons, Ltd.

Year 2021, Volume: 11 Issue: 2, 60 - 75, 20.12.2021

Ayse Karakaş Aslıhan Demir Sinan Çalik

https://doi.org/10.17678/beuscitech.1009628

Abstract

References

  • [1] Sriboonchitta, S., & Chaiboonsri, C. 2013. The dynamics Co-movement toward among capital markets in ASEAN exchanges: CD Vine Copula approach. Procedia Economics and Finance, 5, 696-702.
  • [2] Chaiboonsri, C., & Singvejsakul, J. 2017. The Dynamics Co-Movement toward and the Pattern of Relation among Stock Market in World Exchanges during the Period 2000~ 2016: CD vine Copula Approach. International Journal of Intelligent Technologies & Applied Statistics, 10(2).
  • [3] Hikmah, I. R., Saefuddin, A., & Mangku, I. 2017. Identification of Dependent Structure and Prediction of Composite Stock Price Index with CD Vine Copula Approach. International Journal of Scientific & Engineering Research, 7, 249-252.
  • [4] Schepsmeier, U., & Brechmann, E. C. 2013. Modeling dependence with C-and D-vine copulas: The R package CD vine. J. Stat. Software, 52(3), 1-27.
  • [5] Chokethaworn, K., Chaitip, P., Sriwichailamphan, T., & Chaiboonsri, C. 2013. The Dependence Structure and Co-movement toward between Thai's Currency and Malaysian's Currency: Markov Switching Model in Dynamic Copula Approach (MSDC). Procedia Economics and Finance, 5, 152-161.
  • [6] Evkaya, Ö. O. 2018. Mixture of vines for dependence modeling: Finite mixture and CD-vine approaches with applications.
  • [7] Karakas, A., Demir, A., Çalik, S. 2019. Interdependence Of Bitcoin And Other Crypto Money Indicators: Cd Vine Copula Approach. Bitlis Eren Üniversitesi Fen Bilimleri Dergisi, 9(4), 1527-1536.
  • [8] D. Kim, J.-M. Kim, S.-M. Liao, and Y.-S. Jung. 2013, Mixture of d-vine copulas for modeling dependence. Computational Statistics and Data Analysis, 64(C):1–19.
  • [9] Yan, J. 2007. Enjoy the joy of copulas: with a package copula. Journal of Statistical Software, 21(4), 1-21.
  • [10] Pourkhanali, A., Kim, J. M., Tafakori, L., Fard, F. A. (2016). Measuring systemic risk using vine copula. Economic modelling, 53, 63-74.
  • [11] Nguyen-Huy, T., Deo, R. C., Mushtaq, S., An-Vo, D. A., & Khan, S. 2018. Modeling the joint influence of multiple synoptic-scale, climate mode indices on Australian wheat yield using a vine copula-based approach. European journal of agronomy, 98, 65-81.
  • [12] İnç, M., Korpinar, Z. S., Al Qurashi, M. M., & Baleanu, D. 2016. A new method for approximate solutions of some nonlinear equations: Residual power series method. Advances in Mechanical Engineering, 8(4), 1687814016644580.
  • [13] Acay, B., Inc, M. 2020. Fractional modeling of temperature dynamics of a building with singular kernels. Chaos, Solitons & Fractals, 110482.
  • [14] Houwe, A., Inc, M., Doka, S. Y., Acay, B., & Hoan, L. V. C. 2020. The discrete tanh method for solving the nonlinear differential-difference equations. International Journal of Modern Physics B, 34(19), 2050177.
  • [15] Akinlar, M. A., Inc, M., Gómez-Aguilar, J. F., & Boutarfa, B. 2020. Solutions of a disease model with fractional white noise. Chaos, Solitons & Fractals, 109840.
  • [16] Akinlar, M. A., Tchier, F., Inc, M. 2020. Chaos control and solutions of fractional-order Malkus waterwheel model. Chaos, Solitons & Fractals, 135, 109746.
  • [17] Korpinar, Z., Tchier, F., Inc, M., Bousbahi, F. T., Tawfiq, F. M., & Akinlar, M. A. 2020. Applicability of time conformable derivative to Wick-fractional-stochastic PDEs. Alexandria Engineering Journal.
  • [18] Hashemi, M. S., Inc, M., Yusuf, A. 2020. On three-dimensional variable order time fractional chaotic system with nonsingular kernel. Chaos, Solitons & Fractals, 133, 109628.
  • [19] K. Dorota and C. Roger. 2006, Uncertainty Analysis with High Dimensional Dependence Modelling. John Wiley and Sons, Ltd.
There are 19 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Ayse Karakaş 0000-0003-3552-0105

Aslıhan Demir 0000-0003-4532-1564

Sinan Çalik 0000-0002-4258-1662

Publication Date December 20, 2021
Submission Date October 14, 2021
Published in Issue Year 2021 Volume: 11 Issue: 2

Cite

IEEE A. Karakaş, A. Demir, and S. Çalik, “Dynamic Conditional Dependence for Turkey Earthquake Data: CD Vine Copula Approach”, Bitlis Eren University Journal of Science and Technology, vol. 11, no. 2, pp. 60–75, 2021, doi: 10.17678/beuscitech.1009628.
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