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Modeling Dependence in Econometrics

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Cover of 'Modeling Dependence in Econometrics'

Table of Contents

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    Book Overview
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    Chapter 1 Multi-level Conditional VaR Estimation in Dynamic Models
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    Chapter 2 The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme
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    Chapter 3 The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme
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    Chapter 4 How to Detect Linear Dependence on the Copula Level?
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    Chapter 5 An Innovative Financial Time Series Model: The Geometric Process Model
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    Chapter 6 Residual Based Cusum Test for Parameter Change in AR-GARCH Models
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    Chapter 7 Dependence and Association Concepts through Copulas
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    Chapter 8 Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models
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    Chapter 9 Testing Dependencies in Term Structure of Interest Rates
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    Chapter 10 Joint Distributions of Random Sets and Their Relation to Copulas
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    Chapter 11 Vine Copulas As a Way to Describe and Analyze Multi-Variate Dependence in Econometrics: Computational Motivation and Comparison with Bayesian Networks and Fuzzy Approaches
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    Chapter 12 Extreme Value Copula Analysis of Dependences between Exchange Rates and Exports of Thailand
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    Chapter 13 Analysis of Volatility of and Dependence between Exchange Rate and Inflation Rate in Lao People’s Democratic Republic Using Copula-Based GARCH Approach
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    Chapter 14 Modeling Dependence of Accident-Related Outcomes Using Pair Copula Constructions for Discrete Data
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    Chapter 15 Dependence Analysis of Exchange Rate and International Trade of Thailand: Application of Vine Copulas
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    Chapter 16 A Vine Copula Approach for Analyzing Financial Risk and Co-movement of the Indonesian, Philippine and Thailand Stock Markets
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    Chapter 17 Studying Volatility and Dependency of Chinese Outbound Tourism Demand in Singapore, Malaysia, and Thailand: A Vine Copula Approach
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    Chapter 18 Vine Copula-Cross Entropy Evaluation of Dependence Structure and Financial Risk in Agricultural Commodity Index Returns
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    Chapter 19 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
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    Chapter 20 Statistical Analysis of Political Cycles in Australian Stock Market Returns
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    Chapter 21 Dependence Structure between Crude Oil, Soybeans, and Palm Oil in ASEAN Region: Energy and Food Security Context
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    Chapter 22 Copula Based GARCH Dependence Model of Chinese and Korean Tourist Arrivals to Thailand: Implications for Risk Management
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    Chapter 23 Analyzing Relationship between Tourist Arrivals from China and India to Thailand Using Copula Based GARCH and Seasonal Pattern
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    Chapter 24 Modeling Dependency in Tourist Arrivals to Thailand from China, Korea, and Japan Using Vine Copulas
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    Chapter 25 Relationship between Exchange Rates, Palm Oil Prices, and Crude Oil Prices: A Vine Copula Based GARCH Approach
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    Chapter 26 An Analysis of Interdependencies among Energy, Biofuel, and Agricultural Markets Using Vine Copula Model
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    Chapter 27 An Analysis of Volatility and Dependence between Rubber Spot and Futures Prices Using Copula-Extreme Value Theory
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    Chapter 28 Effect of Markets Temperature on Stock-Price: Monte Carlo Simulation on Spin Model
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    Chapter 29 An Analysis of Relationship between Gold Price and U.S. Dollar Index by Using Bivariate Extreme Value Copulas
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    Chapter 30 An Integration of Eco-Health One-Health Transdisciplinary Approach and Bayesian Belief Network
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    Chapter 31 Factors Affecting Hospital Stay Involving Drunk Driving and Non-Drunk Driving in Phuket, Thailand
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    Chapter 32 How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model
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    Chapter 33 Co-movement of Prices of Energy and Agricultural Commodities in Biofuel Era: A Period-GARCH Copula Approach
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    Chapter 34 Wage Determination and Compensating Wage Differentials in the Informal Sector
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    Chapter 35 Optimal Combination of Energy Sources for Electricity Generation in Thailand with Lessons from Japan Using Maximum Entropy
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    Chapter 36 Valuation of Interest Rate Derivatives under CSA Discounting
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    Chapter 37 Systemic Knowledge Synthesis for Product Recommendation
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Citations

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Title
Modeling Dependence in Econometrics
Published by
Springer International Publishing, November 2013
DOI 10.1007/978-3-319-03395-2
ISBNs
978-3-31-903394-5, 978-3-31-903395-2
Editors

Huynh, Van-Nam, Kreinovich, Vladik, Sriboonchitta, Songsak

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 56 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
United Kingdom 1 2%
Unknown 55 98%

Demographic breakdown

Readers by professional status Count As %
Student > Master 13 23%
Student > Ph. D. Student 11 20%
Student > Bachelor 7 13%
Researcher 6 11%
Other 3 5%
Other 9 16%
Unknown 7 13%
Readers by discipline Count As %
Economics, Econometrics and Finance 22 39%
Business, Management and Accounting 7 13%
Engineering 5 9%
Computer Science 2 4%
Social Sciences 2 4%
Other 10 18%
Unknown 8 14%

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