Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model

Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model

This paper investigates the dependence structure between the Air Pollution Index (API) of Shenzhen and corresponding regional, national levels based on copula based GARCH models. In particular, time varying normal copula and time varying SJC copula are compared and employed to model the dependence s...

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Main Authors: He Zhanqiong, Songsak Sriboonchitta, Dai Jing
Format: Book Series
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872800207&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/48220
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-482202018-04-25T08:49:14Z Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model He Zhanqiong Songsak Sriboonchitta Dai Jing This paper investigates the dependence structure between the Air Pollution Index (API) of Shenzhen and corresponding regional, national levels based on copula based GARCH models. In particular, time varying normal copula and time varying SJC copula are compared and employed to model the dependence structure. Comparison with the results of DCC-GARCH model is made. We find that there exists significant asymmetric upper and lower tail dependence between Shenzhen and regional, national levels; tail dependence captures the change in dependence better; dependence structure change across time. Our findings have implications for environmental management. © 2013 Springer-Verlag Berlin Heidelberg. 2018-04-25T08:49:14Z 2018-04-25T08:49:14Z 2013-01-01 Book Series 21945357 2-s2.0-84872800207 10.1007/978-3-642-35443-4-15 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872800207&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/48220
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description This paper investigates the dependence structure between the Air Pollution Index (API) of Shenzhen and corresponding regional, national levels based on copula based GARCH models. In particular, time varying normal copula and time varying SJC copula are compared and employed to model the dependence structure. Comparison with the results of DCC-GARCH model is made. We find that there exists significant asymmetric upper and lower tail dependence between Shenzhen and regional, national levels; tail dependence captures the change in dependence better; dependence structure change across time. Our findings have implications for environmental management. © 2013 Springer-Verlag Berlin Heidelberg.
format Book Series
author He Zhanqiong
Songsak Sriboonchitta
Dai Jing
spellingShingle He Zhanqiong
Songsak Sriboonchitta
Dai Jing
Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model
author_facet He Zhanqiong
Songsak Sriboonchitta
Dai Jing
author_sort He Zhanqiong
title Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model
title_short Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model
title_full Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model
title_fullStr Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model
title_full_unstemmed Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model
title_sort modeling dependence dynamics of air pollution: time series analysis using a copula based garch type model
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872800207&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/48220
_version_ 1681423208956297216

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