Modelling the Dependency between Inflation and Exchange Rate Using Copula

<table class="table-group" id="tab6"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Distribution</td><td class="align_center">AIC</td><td class="align_center">BIC</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left">Logistic</td><td class="align_center">501</td><td class="align_center">512</td></tr><tr><td class="align_left">Skew normal</td><td class="align_center">377</td><td class="align_center">362</td></tr><tr><td class="align_left">Generalised <i>t</i></td><td class="align_center">257</td><td class="align_center">312</td></tr><tr><td class="align_left">Laplace</td><td class="align_center">112</td><td class="align_center">141</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Marginal distribution of our inflation rate residuals.</div>

Journal of Probability and Statistics

tab6

Table 6

Table 6: Modelling the Dependency between Inflation and Exchange Rate Using Copula 