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Article type: Research Article
Authors: Khan, Y. A.a; e | Chu, Y. M.b; c; * | Abbas, S. Z.d; e; *
Affiliations: [a] School of Statistics, Jiangxi University of Finance and Economics, Nanchang, China | [b] Department of Mathematics, Huzhou University, Huzhou, P.R. China | [c] Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha University of Science & Technology, Changsha, P.R. China | [d] School of Mathematics and Statistics, Beijing Institute of Technology, China | [e] Department of Mathematics and Statistics, Hazara University Mansehra, Pakistan
Correspondence: [*] .Corresponding authors. Y. M. Chu and S. Z. Abbas, E-mail: chuyuming@zjhu.edu.cn; abbas@bit.edu.cn.
Abstract: This paper investigates governments’ performance in the country. We achieved this objective differently. We employed an inverse method of assessment, with the utilization of factor copula modeling technique, to study the dependence relationship of exchange rates returns as auxiliary variables, the performance of political and army government tenures in the country in the last two decades are evaluated. Through factor analysis, common factors for the exchange rate are obtained. The analysis shows that conditioned on the common factors, the dependence amongst the elected currencies are strongly asymmetric in most of the tenures except the term of Pakistan Muslim League-Nawaz, and condition on common factor Clayton copula demonstrating hypothesis is more suitable. However, we perceive high left tail reliance among foreign currency returns during Pakistan Muslim League-Nawaz tenure, and the condition on common factor Gumbel copula molding assumption is more appropriate. We are signifying the foulest government performance in the country among all occupancies under consideration.
Keywords: Factor analysis, asymmetric, clayton copula, exchange rate, gumbel copula
DOI: 10.3233/JIFS-200996
Journal: Journal of Intelligent & Fuzzy Systems, vol. 40, no. 1, pp. 833-847, 2021
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