Some methods of copula estimation and an application

vSOME METHODS OF COPULA ESTIMATION AND AN APPLICATION(M.Sc. Thesis)Yusuf Gökhan ÖZBAKIŞGAZI UNIVERSITYINSTITUTE OF SCIENCE AND TECHNOLOGYDecember 2006ABSTRACTCopulas are used for modelling the dependence structure between randomvariables. In recent years, researches on statistical properties of copulas havebeen going on increasingly and their applications especially in various areas ofeconomics have been spread rapidly. The purpose of this study is to examinesome methods of copula estimation and illustrate with a real life application.For this reason, it is tried to investigate the dependence structure between ISE,Istanbul Stock Exchange and BOVESPA, The São Paulo Stock Exchange by thecopula estimation method. It has been seen that the Ali-Mikhail-Haq copulafamily with parameter θ = 0,69356 estimated by the nonparametric method isthe best fitted family under the Chi-square goodness-of-fit criterion for thedependence structure between the two stock exchanges. In addition, themaximum pseudo-likelihood method and the nonparametric methods arecompared by a simulation trial and it has not been seen a significant differencebetween them.Science Code : 212Key Words : Copula Estimation, Dependence Structure, Stock ExchangePage Number : 71Adviser : Assoc. Prof. Dr. Salih ÇELEB OĞLU