Modeling dependency between industry production and energy market via stochastic copula approach

DOI10.1080/03610918.2019.1691228OpenAlexW2993879623MaRDI QIDQ5082950

Mehmet Ali Cengiz, E. Alper Yıldırım

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1691228

zbMATH Keywords

energy marketsdependencyindustrystochastic copula

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Point estimation (62F10)

Related Items (1)

Risk estimation in exchange rate markets based on stochastic copula approach

Uses Software

• CopulaModel

Cites Work

• Efficient high-dimensional importance sampling
• Using copulae to bound the value-at-risk for functions of dependent risks
• Generalized autoregressive conditional heteroscedasticity
• Dependence Modeling with Copulas
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Dependence structures for multivariate high-frequency data in finance
• Handbook of Volatility Models and Their Applications

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