Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi

Özet

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.