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TES 2014: Chiang Mai, Thailand
- Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta:
Modeling Dependence in Econometrics - Selected Papers of the Seventh International Conference of the Thailand Econometric Society, TES 2014, Faculty of Economics, Chiang Mai University, Thailand, January 8-10, 2014. Advances in Intelligent Systems and Computing 251, Springer 2014, ISBN 978-3-319-03394-5
Keynote Paper
- Christian Francq
, Jean-Michel Zakoïan
Multi-level Conditional VaR Estimation in Dynamic Models. 3-19
Fundamental Theory
- Serge Darolles, Christian Gouriéroux:
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme. 23-45 - Serge Darolles, Christian Gouriéroux:
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme. 47-62 - Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta:
How to Detect Linear Dependence on the Copula Level? 63-79 - Jennifer So-Kuen Chan
An Innovative Financial Time Series Model: The Geometric Process Model. 81-99 - Sangyeol Lee
Residual Based Cusum Test for Parameter Change in AR-GARCH Models. 101-111 - Zheng Wei, Tonghui Wang, Wararit Panichkitkosolkul:
Dependence and Association Concepts through Copulas. 113-126 - Cathy W. S. Chen
Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models. 127-140 - Kian-Guan Lim:
Testing Dependencies in Term Structure of Interest Rates. 141-154 - Bernhard Schmelzer:
Joint Distributions of Random Sets and Their Relation to Copulas. 155-168 - Songsak Sriboonchitta, Jianxu Liu
Vine Copulas As a Way to Describe and Analyze Multi-Variate Dependence in Econometrics: Computational Motivation and Comparison with Bayesian Networks and Fuzzy Approaches. 169-184
Applications
- Chakorn Praprom
Extreme Value Copula Analysis of Dependences between Exchange Rates and Exports of Thailand. 187-199 - Tongvang Xiongtoua, Songsak Sriboonchitta:
Analysis of Volatility of and Dependence between Exchange Rate and Inflation Rate in Lao People's Democratic Republic Using Copula-Based GARCH Approach. 201-214 - Jirakom Sirisrisakulchai
Modeling Dependence of Accident-Related Outcomes Using Pair Copula Constructions for Discrete Data. 215-228 - Chakorn Praprom
Dependence Analysis of Exchange Rate and International Trade of Thailand: Application of Vine Copulas. 229-243 - Songsak Sriboonchitta, Jianxu Liu
A Vine Copula Approach for Analyzing Financial Risk and Co-movement of the Indonesian, Philippine and Thailand Stock Markets. 245-257 - Jianxu Liu
Studying Volatility and Dependency of Chinese Outbound Tourism Demand in Singapore, Malaysia, and Thailand: A Vine Copula Approach. 259-274 - Songsak Sriboonchitta, Jianxu Liu
Vine Copula-Cross Entropy Evaluation of Dependence Structure and Financial Risk in Agricultural Commodity Index Returns. 275-287 - Jing Dai, Songsak Sriboonchitta, Cheng Zi, Yunjuan Yang:
A Study on Whether Economic Development and Urbanization of Areas Are Associated with Prevalence of Obesity in Chinese Adults: Findings from 2009 China Health and Nutrition Surveys. 289-305 - S. T. Boris Choy
Statistical Analysis of Political Cycles in Australian Stock Market Returns. 307-328 - Teera Kiatmanaroch
Dependence Structure between Crude Oil, Soybeans, and Palm Oil in ASEAN Region: Energy and Food Security Context. 329-341 - Ornanong Puarattanaarunkorn
Copula Based GARCH Dependence Model of Chinese and Korean Tourist Arrivals to Thailand: Implications for Risk Management. 343-365 - Ornanong Puarattanaarunkorn
Analyzing Relationship between Tourist Arrivals from China and India to Thailand Using Copula Based GARCH and Seasonal Pattern. 367-382 - Ornanong Puarattanaarunkorn
Modeling Dependency in Tourist Arrivals to Thailand from China, Korea, and Japan Using Vine Copulas. 383-398 - Teera Kiatmanaroch
Relationship between Exchange Rates, Palm Oil Prices, and Crude Oil Prices: A Vine Copula Based GARCH Approach. 399-413 - Phattanan Boonyanuphong, Songsak Sriboonchitta:
An Analysis of Interdependencies among Energy, Biofuel, and Agricultural Markets Using Vine Copula Model. 415-429 - Phattanan Boonyanuphong, Songsak Sriboonchitta:
An Analysis of Volatility and Dependence between Rubber Spot and Futures Prices Using Copula-Extreme Value Theory. 431-444 - Arjaree Thongon, Songsak Sriboonchitta, Yongyut Laosiritaworn:
Effect of Markets Temperature on Stock-Price: Monte Carlo Simulation on Spin Model. 445-453 - Mutita Kaewkheaw, Pisit Leeahtam, Chukiat Chaiboonsri:
An Analysis of Relationship between Gold Price and U.S. Dollar Index by Using Bivariate Extreme Value Copulas. 455-462 - Chalisa Kallayanamitra, Pisit Leeahtam, Manoj Potapohn, Bruce A. Wilcox, Songsak Sriboonchitta:
An Integration of Eco-Health One-Health Transdisciplinary Approach and Bayesian Belief Network. 463-477 - Jirakom Sirisrisakulchai
Factors Affecting Hospital Stay Involving Drunk Driving and Non-Drunk Driving in Phuket, Thailand. 479-489 - Xue Gong, Songsak Sriboonchitta:
How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model. 491-504 - Xue Gong, Songsak Sriboonchitta:
Co-movement of Prices of Energy and Agricultural Commodities in Biofuel Era: A Period-GARCH Copula Approach. 505-519 - Pisit Leeahtam, Supanika Leurcharusmee, Peerapat Jatukannyaprateep:
Wage Determination and Compensating Wage Differentials in the Informal Sector - A Quantile Regression with Multi-level Sample Selection. 521-537 - Tatcha Sudtasan
Optimal Combination of Energy Sources for Electricity Generation in Thailand with Lessons from Japan Using Maximum Entropy. 539-549 - Amy R. Daniels, Coenraad C. A. Labuschagne, Theresa M. Offwood-le Roux:
Valuation of Interest Rate Derivatives under CSA Discounting. 551-559 - Yoshiteru Nakamori:
Systemic Knowledge Synthesis for Product Recommendation. 561-574
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