Modelling the dependency between inflation and exchange rate using copula

DOI10.1155/2020/2345746MaRDI QIDQ2193441zbMATHOpenAlexFDO

Authors Charles Kwofie, Isaac Akoto, Kwaku Opoku-Ameyaw

Publication date 18 August 2020

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2020/2345746

zbMATH Keywords

copulaGARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

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Cited in

(4)

• A copula approach to backward-looking factors in market based inflation expectations
• Dependence analysis of CPI and PPI based on Copula function
• Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
• A dependency research of oil price and euro exchange rate

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Uses Software

• CDVine

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