Modeling dependency between industry production and energy market via stochastic copula approach

Yıldırım E., Cengiz M. A.

Communications in Statistics: Simulation and Computation, vol.51, no.4, pp.2006-2019, 2022 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Volume: 51 Issue: 4
  • Publication Date: 2022
  • Doi Number: 10.1080/03610918.2019.1691228
  • Journal Name: Communications in Statistics: Simulation and Computation
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Applied Science & Technology Source, Business Source Elite, Business Source Premier, CAB Abstracts, Compendex, Computer & Applied Sciences, Veterinary Science Database, zbMATH, Civil Engineering Abstracts
  • Page Numbers: pp.2006-2019
  • Keywords: Dependency, Energy markets, Industry, Stochastic copula
  • Ankara Haci Bayram Veli University Affiliated: No

Abstract

In this article, the dependence structure between industrial production and energy markets is modeled via stochastic copula autoregressive approach. This model based on latent process is nonlinear and has time-varying parameters. The parameters that follow AR latent process are estimated by means of maximum likelihood-efficient importance sampling due to integral problem with high dimensions. It is found that dependence structures between industrial production and energy markets evolve over time. In addition, although relationships between industrial production and petrol price as well as dependency between industrial production and producer price do not affected by extraordinary events such as financial crisis, dependence structure between natural gas and industrial production is influenced by extreme events.