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

Date

2018-01-01

Author

Evkaya, O. Ozan
Yozgatlıgil, Ceylan
Kestel, Sevtap Ayşe

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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

Subject Keywords

Electricity demand, Economic indicators, Sectorial indicators, Bivariate Copulas, Vines

URI

https://hdl.handle.net/11511/54624

Collections

Department of Statistics, Article