THE BEST CRITERIA OF COPULA FOR MODELING DEPENDENCY ACROSS THE EXCHANGE RATE OF FOREIGN CURRENCY

THE BEST CRITERIA OF COPULA FOR MODELING DEPENDENCY ACROSS THE EXCHANGE RATE OF FOREIGN CURRENCY

An in ation and de ation in the value of a country's currency can aect the value of other currencies. In this thesis the dependence will be seen between this exchange rate of foreign currencies, whether linear or not and how the structure of depen- dence. A tool that is usually used for mo...

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Main Author: IVALEN , HISTA
Format: Final Project
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/18651
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:18651
spelling id-itb.:186512017-09-27T11:43:12ZTHE BEST CRITERIA OF COPULA FOR MODELING DEPENDENCY ACROSS THE EXCHANGE RATE OF FOREIGN CURRENCY IVALEN , HISTA Indonesia Final Project joint distribution function, Copula, Archimedean Copula, mean square error, minimizing distance measure. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/18651 An in ation and de ation in the value of a country's currency can aect the value of other currencies. In this thesis the dependence will be seen between this exchange rate of foreign currencies, whether linear or not and how the structure of depen- dence. A tool that is usually used for modelling the dependence between two or more random variables is through its joint distribution function. If the value of de- pendence between random variables is zero, then its joint distribution function can be written as multiplication of its marginal distribution functions. And if the value of dependence is not zero then it is become a complex matter as there is no explicit form of its joint distribution function. For that, we need a method to overcome this problem, that called Copula. Copula is an 'extension' method in modelling de- pendency between random variables through distribution functions. In this thesis, author will find out the best Copula for modelling the dependence of the exchange rate from a few foreign currency using the data that already owned. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description An in ation and de ation in the value of a country's currency can aect the value of other currencies. In this thesis the dependence will be seen between this exchange rate of foreign currencies, whether linear or not and how the structure of depen- dence. A tool that is usually used for modelling the dependence between two or more random variables is through its joint distribution function. If the value of de- pendence between random variables is zero, then its joint distribution function can be written as multiplication of its marginal distribution functions. And if the value of dependence is not zero then it is become a complex matter as there is no explicit form of its joint distribution function. For that, we need a method to overcome this problem, that called Copula. Copula is an 'extension' method in modelling de- pendency between random variables through distribution functions. In this thesis, author will find out the best Copula for modelling the dependence of the exchange rate from a few foreign currency using the data that already owned.
format Final Project
author IVALEN , HISTA
spellingShingle IVALEN , HISTA
THE BEST CRITERIA OF COPULA FOR MODELING DEPENDENCY ACROSS THE EXCHANGE RATE OF FOREIGN CURRENCY
author_facet IVALEN , HISTA
author_sort IVALEN , HISTA
title THE BEST CRITERIA OF COPULA FOR MODELING DEPENDENCY ACROSS THE EXCHANGE RATE OF FOREIGN CURRENCY
title_short THE BEST CRITERIA OF COPULA FOR MODELING DEPENDENCY ACROSS THE EXCHANGE RATE OF FOREIGN CURRENCY
title_full THE BEST CRITERIA OF COPULA FOR MODELING DEPENDENCY ACROSS THE EXCHANGE RATE OF FOREIGN CURRENCY
title_fullStr THE BEST CRITERIA OF COPULA FOR MODELING DEPENDENCY ACROSS THE EXCHANGE RATE OF FOREIGN CURRENCY
title_full_unstemmed THE BEST CRITERIA OF COPULA FOR MODELING DEPENDENCY ACROSS THE EXCHANGE RATE OF FOREIGN CURRENCY
title_sort best criteria of copula for modeling dependency across the exchange rate of foreign currency
url https://digilib.itb.ac.id/gdl/view/18651
_version_ 1820745944007704576

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