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Author Thailand Econometric Society. International Conference (7th : 2014 : Chiang Mai, Thailand)

Title Modeling dependence in econometrics : selected papers of the seventh International Conference of the Thailand Econometric Society, Faculty of Economics, Chiang Mai University, Thailand, January 8-10, 2014 / Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, editors
Published Cham : Springer, 2014


Description 1 online resource (xii, 630 pages)
Series Advances in Intelligent Systems and Computing, 2194-5357 ; volume 251
Advances in intelligent systems and computing ; v. 251. 2194-5357
Contents Part I. Keynote Paper -- Multi-level Conditional VaR Estimation in Dynamic Models / Christian Francq and Jean-Michel Zakoïan -- Part II. Fundamental Theory -- The Effects of Management and Provision Accounts on Hedge Fund Returns -- Part I: The HighWater Mark Scheme / Serge Darolles and Christian Gourieroux -- The Effects of Management and Provision Accounts on Hedge Fund Returns -- Part II: The Loss Carry Forward Scheme / Serge Darolles and Christian Gourieroux -- How to Detect Linear Dependence on the Copula Level? / Vladik Kreinovich, Hung T. Nguyen and Songsak Sriboonchitta -- An Innovative Financial Time Series Model: The Geometric Process Model / Jennifer S.K. Chan, Connie P.Y. Lam and S.T. Boris Choy -- Residual Based Cusum Test for Parameter Change in AR-GARCH Models / Sangyeol Lee and Jiyeon Lee -- Dependence and Association Concepts through Copulas / Zheng Wei, Tonghui Wang and Wararit Panichkitkosolkul -- Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models / Cathy W.S. Chen, Max Chen and Shu-Yu Chen -- Testing Dependencies in Term Structure of Interest Rates / Kian-Guan Lim -- Joint Distributions of Random Sets and Their Relation to Copulas / Bernhard Schmelzer -- Vine Copulas As a Way to Describe and Analyze Multi-Variate Dependence in Econometrics: Computational Motivation and Comparison with Bayesian Networks and Fuzzy Approaches / Songsak Sriboonchitta, Jianxu Liu, Vladik Kreinovich and Hung T. Nguyen -- Part III. Applications -- Extreme Value Copula Analysis of Dependences between Exchange Rates and Exports of Thailand / Chakorn Praprom and 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 / Tongvang Xiongtoua and Songsak Sriboonchitta -- Modeling Dependence of Accident-Related Outcomes Using Pair Copula Constructions for Discrete Data / Jirakom Sirisrisakulchai and Songsak Sriboonchitta -- Dependence Analysis of Exchange Rate and International Trade of Thailand: Application of Vine Copulas / Chakorn Praprom and Songsak Sriboonchitta -- A Vine Copula Approach for Analyzing Financial Risk and Co-movement of the Indonesian, Philippine and Thailand Stock Markets / Songsak Sriboonchitta, Jianxu Liu, Vladik Kreinovich and Hung T. Nguyen -- Studying Volatility and Dependency of Chinese Outbound Tourism Demand in Singapore, Malaysia, and Thailand: A Vine Copula Approach / Jianxu Liu, Songsak Sriboonchitta, Hung T. Nguyen and Vladik Kreinovich -- Vine Copula-Cross Entropy Evaluation of Dependence Structure and Financial Risk in Agricultural Commodity Index Returns / Songsak Sriboonchitta, Jianxu Liu and Aree Wiboonpongse -- 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 / Jing Dai, Songsak Sriboonchitta, Cheng Zi and Yunjuan Yang -- Statistical Analysis of Political Cycles in Australian Stock Market Returns / S.T. Boris Choy and Celestine M. Bond -- Dependence Structure between Crude Oil, Soybeans, and Palm Oil in ASEAN Region: Energy and Food Security Context / Teera Kiatmanaroch and Songsak Sriboonchitta -- Copula Based GARCH Dependence Model of Chinese and Korean Tourist Arrivals to Thailand: Implications for Risk Management / Ornanong Puarattanaarunkorn and Songsak Sriboonchitta -- Analyzing Relationship between Tourist Arrivals from China and India to Thailand Using Copula Based GARCH and Seasonal Pattern / Ornanong Puarattanaarunkorn and Songsak Sriboonchitta -- Modeling Dependency in Tourist Arrivals to Thailand from China, Korea, and Japan Using Vine Copulas / Ornanong Puarattanaarunkorn and Songsak Sriboonchitta -- Relationship between Exchange Rates, Palm Oil Prices, and Crude Oil Prices: A Vine Copula Based GARCH Approach / Teera Kiatmanaroch and Songsak Sriboonchitta -- An Analysis of Interdependencies among Energy, Biofuel, and Agricultural Markets Using Vine Copula Model / Phattanan Boonyanuphong and Songsak Sriboonchitta -- An Analysis of Volatility and Dependence between Rubber Spot and Futures Prices Using Copula-Extreme Value Theory / Phattanan Boonyanuphong and Songsak Sriboonchitta -- Effect of Markets Temperature on Stock-Price: Monte Carlo Simulation on Spin Model / Arjaree Thongon, Songsak Sriboonchitta and Yongyut Laosiritaworn -- An Analysis of Relationship between Gold Price and U.S. Dollar Index by Using Bivariate Extreme Value Copulas / Mutita Kaewkheaw, Pisit Leeahtam and Chukiat Chaiboosri -- An Integration of Eco-Health One-Health Transdisciplinary Approach and Bayesian Belief Network / Chalisa Kallayanamitra, Pisit Leeahtam, Manoj Potapohn, Bruce A. Wilcox and Songsak Sriboonchitta -- Factors Affecting Hospital Stay Involving Drunk Driving and Non-Drunk Driving in Phuket, Thailand / Jirakom Sirisrisakulchai and Songsak Sriboonchitta -- How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model / Gong Xue and Songsak Sriboonchitta -- Co-movement of Prices of Energy and Agricultural Commodities in Biofuel Era: A Period-GARCH Copula Approach / Gong Xue and Songsak Sriboonchitta -- Wage Determination and Compensating Wage Differentials in the Informal Sector / Pisit Leeahtam, Supanika Leurcharusmee and Peerapat Jatukannyaprateep -- Optimal Combination of Energy Sources for Electricity Generation in Thailand with Lessons from Japan Using Maximum Entropy / Tatcha Sudtasan and Komsan Suriya -- Valuation of Interest Rate Derivatives under CSA Discounting / Amy R. Daniels, Coenraad C.A. Labuschagne and Theresa M. Offwood-le Roux -- Systemic Knowledge Synthesis for Product Recommendation / Yoshiteru Nakamori
Summary In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence, and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques -- developed for science and engineering -- to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence, and economic applications of these techniques. Most of these research developments are centered around the notion of a copula -- a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics
Bibliography Includes bibliographical references and author index
Notes Online resource; title from PDF title page (SpringerLink, viewed November 18, 2013)
Subject Dependence (Statistics) -- Mathematical models -- Congresses
Econometrics -- Congresses
MATHEMATICS -- Probability & Statistics -- General.
Genre/Form Conference papers and proceedings.
Conference papers and proceedings.
Actes de congrès.
Form Electronic book
Author Huynh, Van-Nam, editor
Kreinovich, Vladik, editor
Songsak Sriboonchitta, editor
ISBN 9783319033952