Special Issue (2014) on Copula Mathematics and Econometrics

Table of Contents


Editorial PDF
Hung T. Nguyen, Sompong Dhompongsa
Using Second-Order Probabilities to Make Maximum Entropy Approach to Copulas More Reasonable PDF
Hung T. Nguyen, Vladik Kreinovich, Berlin Wu 1 - 10
Portfolio optimization of stock returns in high-dimensions: A copula-based approach PDF
K. Autchariyapanitkul, S. Chanaim, S. Sriboonchitta 11 - 23
Economic Forecasting Based on Copula Quantile Curves and Beliefs PDF
Jianxu Liu, Songsak Sriboonchitta, Thierry Denoeux 25 - 38
Examining the Consistence of Futures Margin Levels using Bivariate Extreme Value Copulas PDF
X. Gong, H. T. Nguyen, V. Kreinovich, S. Sriboonchitta 39 - 57
Risk Analysis in Asian Emerging Markets using Canonical Vine Copula and Extreme Value Theory PDF
Apiwat Ayusuk, Songsak Sriboonchitta 59 - 72
Investigation of the Dependence Structure Between Imports and Manufacturing Production Index of Thailand using Copula-Based GARCH Model PDF
Chakorn Praprom, Songsak Sriboonchitta 73 - 90
Econometric Analysis of Older Workers' Hours of Work Using A Copula and Sample Selection Approach PDF
A. Wichian, S. Sriboonchitta 91 - 110
Econometric Analysis of Private and Public Wage Determination for Older Workers Using A Copula and Switching Regression PDF
A. Wichian, S. Sriboonchitta 111 - 128
Will QE Change the dependence between Baht/Dollar Exchange Rates and Price Returns of AOT and MINT? PDF
T. Kiatmanaroch, O. Puarattanaarunkorn, S. Sriboonchitta 129 - 144
Analysis of International Trade, Exchange Rate and Crude Oil Price on Economic Development of Yunnan Province: A GARCH-Vine Copula Model Approach PDF
Xinyu Yuan, Songsak Sriboonchitta, Jiechen Tang 145 - 163
A Mixture of Canonical Vine Copula-GARCH Approach for Modeling Dependence of European Electricity Markets PDF
Jiechen Tang, Songsak Sriboonchitta, Xinyu Yuan 165 - 180
Dependence Structure between World Crude Oil Prices: Evidence from NYMEX, ICE, and DME Markets PDF
T. Kiatmanaroch, S. Sriboonchitta 181 - 198
Dependence Structure between TOURISM and TRANS Sector Indices of the Stock Exchange of Thailand PDF
O. Puarattanaarunkorn, T. Kiatmanaroch, S. Sriboonchitta 199 -210
The Impact of Trading Activity on Volatility Transmission and Interdependence among Agricultural Commodity Markets PDF
Phattanan Boonyanuphong, Songsak Sriboonchitta 211 - 227

Copyright 2017 by the Mathematical Association of Thailand.

All rights reserve. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, without the prior permission of the Mathematical Association of Thailand.

|ISSN 1686-0209|