A Copula-Based Approach for Modelling the Dependence between Inflation and Exchange Rate in Kenya
Kaneza Tracy, Helen Waititu & Stanley Sewe · Asian Journal of Probability and Statistics · 2022
In this study, we modeled the dependence structure between inflation and exchange rate using the copula approach. To formulate a bivariate copula, we used ARMA+GARCH to model serial dependence for each univariate series of returns. Both for in ation and exchange rate, it was foun...
Open access
Research Article
10.9734/ajpas/2022/v18i430457