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

Evkaya O. O., Yozgatlıgil C., Selcuk-Kestel A. S.

GAZI UNIVERSITY JOURNAL OF SCIENCE, cilt.31, sa.4, ss.1284-1296, 2018 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 31 Sayı: 4
  • Basım Tarihi: 2018
  • Dergi Adı: GAZI UNIVERSITY JOURNAL OF SCIENCE
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.1284-1296
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

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.