Measuring Dependence between Electricity Consumption and Economic Indicators via Copulas: Turkish Case

Abstract

This paper implements copulas to identify the dependence structure between electricityconsumption and its cofounding indicators. To achieve this, Turkish electricity demand, itseconomic and sectoral indicators are taken into account. As a first step, bivariate copulas areused to identify the best fitting copula and the degree of the dependence. Thereafter,multivariate model is established using vine copulas using highly correlated variables. Theempirical results confirm the added value of the proposed approach in determining numeroustail properties. We indicate that the copulas are useful to underline, especially, the tail propertiesof indicators in the market for decision makers.