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Year 2017, Volume: 3 Issue: 1, 1 - 12, 31.03.2017

Ayse Karakas Mine Doğan

https://doi.org/10.20863/nsd.297636

Abstract

References

  • 1. A. Sklar. Fonctions de Repartition a n Dimensions et Leurs Marges. Publications de I’lnstitut de Statistique de I’University de Paris. 1959. vol 8: pp. 229-231.
  • 2. B. Schweitzer, E.F Wolff. On nonparametric measures of dependence for random variables. Annals of Statistics. 1981. 9:879-885.
  • 3. Cherubini, U., Luciano, E.. Value-at-Risk Trade-off and Capital Allocation with Copulas. Economic Notes. 2001 .30, 235–256.
  • 4. E.W. Frees, E.A. Valdez. Understanding relationships using copulas. North American Actuarial Journal. 1998. 2:1-25.
  • 5. Genest C., J. MacKay.V. The joy of copulas: bivariate distributions with uniform marginal. The American Statisticien. 1986.40: 280-283.
  • 6. Genest C. L.P. Rivest. Statistical inference procedures for bivariate Archimedean copulas. Journal of the American Statistical Association. 1993. 88: (423) 1034-1043.
  • 7. Genest, C., Favre, A.-C. Everything You Always Wanted to Know About Copula Modelling butWere Afraid to Ask. Journal of Hydrologic Engineering. 2006.12, 347-368.
  • 8. Genest, C., Gendron, M., Boudeau-Brien, M.. “The Advent of Copulas in Finance”. The European Journal of Finance. 2009.15, 609-618.
  • 9. Malevergne, Y., Sornette, D. Testing the Gaussian Copula Hypothesis for Financial AssetsDependences. Quantitative Finance. 2003.3 (4), 231-250.
  • 10. Metin A, Çalık S. Copula Function and Application with Economic Data. Turkish Journal of Science and Technology. 2012. Vol 7: No 2, 199-204.
  • 11. Naifar N. Modeling dependence structure with Archimedean copulas and applications to the iTraxx CDS index. Journal of Computational and Applied Mathematics. 2010; 235: 2459-2466
  • 12. R. Nelsen. An Introduction to Copulas. Springer: Verlag; 1999.
  • 13. Rosenberg, J., Schuermann, T. A General Approach to Integrated Risk Management withSkewed, Fat-tailed Risks. Journal of Financial Economics . 2006; 79: 569-614.
  • 14. Shih, J.H., Louis, T.A. Inferences on the Association Parameter in Copula Models for Bivariate Survival Data. Biometrics. 1995; 51: 1384-1399.
  • 15. Quesade-Molina, J.J. A generalization of an identity of Hoeffding and some applications. J.Ital.Stat.Soc. 1992; 3: 405-411.

With Copula function analysis of structure dependence relation between Exchange rate of dollars and Deposit rate of Turkey

Year 2017, Volume: 3 Issue: 1, 1 - 12, 31.03.2017

Ayse Karakas Mine Doğan

https://doi.org/10.20863/nsd.297636

Abstract





Objective: In this study, for relation
between exchange rate of dollar and deposit rate of Turkey, we used copula
function modelling.


Material and
Methods: For
study, data set that gotten from Turkey central bank in the between 2005-2017
years used.


Results: Recently, rapidly increasing of
exchange rate of dollars has been effected deposit rate. In our study,
according to data sets, there is a positively relation between exchange rate
of dollars and deposit rate. Hence, response of central bank has been showed
positively for deposit rate in the increasing of exchange rate of dollars.
Throughout study, dependency between exchange rate of dollar and deposit rate
obtained positively, namely Kendall Tau ( T= 0.751 ) and Spearman’s Rho ( P= 0.912 ). This dependency modelled copula function.
For this modelling, Chi-Square test that is Goodness-of-fit used.


Conclusion: As result of this test, for our
data set is suitable with parameter Joe copula family which is supported
positive tail dependence.

Keywords

Copula function Deposit rate Exchange rate of dollars Goodness-of-fit test Kendall Tau

References

  • 1. A. Sklar. Fonctions de Repartition a n Dimensions et Leurs Marges. Publications de I’lnstitut de Statistique de I’University de Paris. 1959. vol 8: pp. 229-231.
  • 2. B. Schweitzer, E.F Wolff. On nonparametric measures of dependence for random variables. Annals of Statistics. 1981. 9:879-885.
  • 3. Cherubini, U., Luciano, E.. Value-at-Risk Trade-off and Capital Allocation with Copulas. Economic Notes. 2001 .30, 235–256.
  • 4. E.W. Frees, E.A. Valdez. Understanding relationships using copulas. North American Actuarial Journal. 1998. 2:1-25.
  • 5. Genest C., J. MacKay.V. The joy of copulas: bivariate distributions with uniform marginal. The American Statisticien. 1986.40: 280-283.
  • 6. Genest C. L.P. Rivest. Statistical inference procedures for bivariate Archimedean copulas. Journal of the American Statistical Association. 1993. 88: (423) 1034-1043.
  • 7. Genest, C., Favre, A.-C. Everything You Always Wanted to Know About Copula Modelling butWere Afraid to Ask. Journal of Hydrologic Engineering. 2006.12, 347-368.
  • 8. Genest, C., Gendron, M., Boudeau-Brien, M.. “The Advent of Copulas in Finance”. The European Journal of Finance. 2009.15, 609-618.
  • 9. Malevergne, Y., Sornette, D. Testing the Gaussian Copula Hypothesis for Financial AssetsDependences. Quantitative Finance. 2003.3 (4), 231-250.
  • 10. Metin A, Çalık S. Copula Function and Application with Economic Data. Turkish Journal of Science and Technology. 2012. Vol 7: No 2, 199-204.
  • 11. Naifar N. Modeling dependence structure with Archimedean copulas and applications to the iTraxx CDS index. Journal of Computational and Applied Mathematics. 2010; 235: 2459-2466
  • 12. R. Nelsen. An Introduction to Copulas. Springer: Verlag; 1999.
  • 13. Rosenberg, J., Schuermann, T. A General Approach to Integrated Risk Management withSkewed, Fat-tailed Risks. Journal of Financial Economics . 2006; 79: 569-614.
  • 14. Shih, J.H., Louis, T.A. Inferences on the Association Parameter in Copula Models for Bivariate Survival Data. Biometrics. 1995; 51: 1384-1399.
  • 15. Quesade-Molina, J.J. A generalization of an identity of Hoeffding and some applications. J.Ital.Stat.Soc. 1992; 3: 405-411.
There are 15 citations in total.

Details

Journal Section Original Articles
Authors

Ayse Karakas

Mine Doğan This is me

Publication Date March 31, 2017
Published in Issue Year 2017 Volume: 3 Issue: 1

Cite

APA Karakas, A., & Doğan, M. (2017). With Copula function analysis of structure dependence relation between Exchange rate of dollars and Deposit rate of Turkey. Natural Science and Discovery, 3(1), 1-12. https://doi.org/10.20863/nsd.297636
AMA Karakas A, Doğan M. With Copula function analysis of structure dependence relation between Exchange rate of dollars and Deposit rate of Turkey. Nat Sci Discov. March 2017;3(1):1-12. doi:10.20863/nsd.297636
Chicago Karakas, Ayse, and Mine Doğan. “With Copula Function Analysis of Structure Dependence Relation Between Exchange Rate of Dollars and Deposit Rate of Turkey”. Natural Science and Discovery 3, no. 1 (March 2017): 1-12. https://doi.org/10.20863/nsd.297636.
EndNote Karakas A, Doğan M (March 1, 2017) With Copula function analysis of structure dependence relation between Exchange rate of dollars and Deposit rate of Turkey. Natural Science and Discovery 3 1 1–12.
IEEE A. Karakas and M. Doğan, “With Copula function analysis of structure dependence relation between Exchange rate of dollars and Deposit rate of Turkey”, Nat Sci Discov, vol. 3, no. 1, pp. 1–12, 2017, doi: 10.20863/nsd.297636.
ISNAD Karakas, Ayse - Doğan, Mine. “With Copula Function Analysis of Structure Dependence Relation Between Exchange Rate of Dollars and Deposit Rate of Turkey”. Natural Science and Discovery 3/1 (March 2017), 1-12. https://doi.org/10.20863/nsd.297636.
JAMA Karakas A, Doğan M. With Copula function analysis of structure dependence relation between Exchange rate of dollars and Deposit rate of Turkey. Nat Sci Discov. 2017;3:1–12.
MLA Karakas, Ayse and Mine Doğan. “With Copula Function Analysis of Structure Dependence Relation Between Exchange Rate of Dollars and Deposit Rate of Turkey”. Natural Science and Discovery, vol. 3, no. 1, 2017, pp. 1-12, doi:10.20863/nsd.297636.
Vancouver Karakas A, Doğan M. With Copula function analysis of structure dependence relation between Exchange rate of dollars and Deposit rate of Turkey. Nat Sci Discov. 2017;3(1):1-12.
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