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Analysis of Relationship Among V4 Countries and Germany by Their Gross Domestic Products and Copula Models

  • Tomáš BacigálEmail author
  • Magdaléna Komorníková
  • Jozef Komorník
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 981)

Abstract

We analyzed quarterly seasonally-filtered time series (OECD link) of GDP in EURO per capita for the V4 countries (Visegrad treaty - Czech republic, Hungary, Poland, Slovakia) and Germany in the period 1996/Q1 – 2018/Q1. First, ARIMA models were used to clear the temporal dependence, then marginal distribution functions were utilized to standardize the data such that it is U(0,1) distributed. Dependence among the 5 random variables was analyzed in terms of correlation strength and joint distribution modeled by elliptical, vine and factor copulas, both in the whole 22 years period and 6-year rolling windows with 3-year overlaps. The choice of such different model classes allows us study the nature of underlying dependence structure from different standpoints.

Keywords

Elliptic copulas Vine copulas Factor copulas Gross domestic product 

Notes

Acknowledgement

This work was supported by Slovak Research and Development Agency under contracts No. APVV–14–0013 and by VEGA 1/0006/19.

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Copyright information

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Authors and Affiliations

  1. 1.Department of Mathematics and Constructive Geometry, Faculty of Civil EngineeringSlovak University of Technology in BratislavaBratislavaSlovakia
  2. 2.Faculty of ManagementComenius UniversityBratislavaSlovakia

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