Econometrics for Financial Applications

Front Matter ....Pages i-xiii
Front Matter ....Pages 1-1
 Testing, Prediction, and Cause in Econometric Models  (William M. Briggs)....Pages 3-19
 Information Criteria for Statistical Modeling in Data-Rich Era  (Genshiro Kitagawa)....Pages 20-43
 An Invitation to Quantum Econometrics  (Hung T. Nguyen, Le Si Dong)....Pages 44-62
 \(GL^+\) and \(GL^-\) Regressions  (Charles Andoh, Lord Mensah, Francis Atsu)....Pages 63-77
 What If We Do Not Know Correlations?  (Michael Beer, Zitong Gong, Ingo Neumann, Songsak Sriboonchitta, Vladik Kreinovich)....Pages 78-85
 Markowitz Portfolio Theory Helps Decrease Medicines’ Side Effect and Speed up Machine Learning  (Thongchai Dumrongpokaphan, Vladik Kreinovich)....Pages 86-93
 A Method for Optimal Solution of Intuitionistic Fuzzy Transportation Problems via Centroid  (Darunee Hunwisai, Poom Kumam, Wiyada Kumam)....Pages 94-114
 The Generalized Diffie-Hellman Key Exchange Protocol on Groups  (Wachirapong Jirakitpuwapat, Poom Kumam)....Pages 115-119
 Combination and Composition in Probabilistic Models  (Radim Jiroušek, Prakash P. Shenoy)....Pages 120-133
 Efficient Parameter-Estimating Algorithms for Symmetry-Motivated Models: Econometrics and Beyond  (Vladik Kreinovich, Anh H. Ly, Olga Kosheleva, Songsak Sriboonchitta)....Pages 134-145
 Quantum Ideas in Economics Beyond Quantum Econometrics  (Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta)....Pages 146-151
 An Ancient Bankruptcy Solution Makes Economic Sense  (Anh H. Ly, Michael Zakharevich, Olga Kosheleva, Vladik Kreinovich)....Pages 152-160
 Confidence Intervals for the Ratio of Means of Delta-Lognormal Distribution  (Patcharee Maneerat, Sa-Aat Niwitpong, Suparat Niwitpong)....Pages 161-174
 Modeling and Simulation of Financial Risks  (Akira Namatame)....Pages 175-185
 Maximum Entropy Beyond Selecting Probability Distributions  (Thach N. Nguyen, Olga Kosheleva, Vladik Kreinovich)....Pages 186-195
 Confidence Intervals for Functions of Signal-to-Noise Ratios of Normal Distributions  (Sa-Aat Niwitpong)....Pages 196-212
 Fuzzy vs. Probabilistic Techniques in Time Series Analysis  (Vilém Novák)....Pages 213-234
 Is It Legitimate Statistics or Is It Sexism: Why Discrimination Is Not Rational  (Martha Osegueda Escobar, Vladik Kreinovich, Thach N. Nguyen)....Pages 235-242
 Dimensionality Reduction by Fuzzy Transforms with Applications to Mathematical Finance  (Irina Perfilieva)....Pages 243-254
 Confidence Intervals for the Signal to Noise Ratio of Two-Parameter Exponential Distribution  (Luckhana Saothayanun, Warisa Thangjai)....Pages 255-265
 Why Student Distributions? Why Matern’s Covariance Model? A Symmetry-Based Explanation  (Stephen Schön, Gael Kermarrec, Boris Kargoll, Ingo Neumann, Olga Kosheleva, Vladik Kreinovich)....Pages 266-275
 Confidence Intervals for Common Mean of Lognormal Distributions  (Narudee Smithpreecha, Sa-Aat Niwitpong, Suparat Niwitpong)....Pages 276-289
 Perspectives and Experiments of Hybrid Particle Swarm Optimization and Genetic Algorithms to Solve Optimization Problems  (Apirak Sombat, Teerapol Saleewong, Poom Kumam)....Pages 290-297
 Simultaneous Confidence Intervals for All Differences of Means of Two-Parameter Exponential Distributions  (Warisa Thangjai, Sa-Aat Niwitpong, Suparat Niwitpong)....Pages 298-308
 The Skew-t Option Pricing Model  (Claudia Yeap, S. T. Boris Choy, S. Simon Kwok)....Pages 309-326
 Confidence Intervals for the Coefficient of Variation of the Delta-Lognormal Distribution  (Noppadon Yosboonruang, Sa-Aat Niwitpong, Suparat Niwitpong)....Pages 327-337
Front Matter ....Pages 339-339
 Best Proximity Point Theorems for Generalized \(\alpha \)-\(\psi \)-Proximal Contractions  (Muhammad Usman Ali, Arslan Hojat Ansari, Konrawut Khammahawong, Poom Kumam)....Pages 341-352
 Zeroes and Fixed Points of Different Functions via Contraction Type Conditions  (Muhammad Usman Ali, Khanitin Muangchoo-in, Poom Kumam)....Pages 353-359
 A Globally Stable Fixed Point in an Ordered Partial Metric Space  (Umar Yusuf Batsari, Poom Kumam)....Pages 360-368
 An \((\alpha ,\vartheta )\)-admissibility and Theorems for Fixed Points of Self-maps  (Aziz Khan, Kamal Shah, Poom Kumam, Wudthichai Onsod)....Pages 369-380
 The Modified Multi-step Iteration Process for Pairwise Generalized Nonexpansive Mappings in CAT(0) Spaces  (Nuttapol Pakkaranang, Phanuphan Kewdee, Poom Kumam, Piyachat Borisut)....Pages 381-393
Front Matter ....Pages 395-395
 Interbank Contagion: An Agent-Based Model for Vietnam Banking System  (Anh T. M. Vu, Thong P. Le, Thanh D. X. Duong, Tai T. Nguyen)....Pages 397-420
 Assessment of the Should be Effects of Corruption Perception Index on Foreign Direct Investment in ASEAN Countries by Spatial Regression Method  (Bui Hoang Ngoc, Dang Bac Hai, Truong Hoang Chinh)....Pages 421-429
 Using SmartPLS 3.0 to Analyse Internet Service Quality in Vietnam  (Bui Huy Khoi, Ngo Van Tuan)....Pages 430-439
 A Convex Combination Method for Quantile Regression with Interval Data  (Somsak Chanaim, Chatchai Khiewngamdee, Songsak Sriboonchitta, Chongkolnee Rungruang)....Pages 440-449
 The Influence of Corporate Culture on Employee Commitment  (Do Huu Hai, Nguyen Minh Hai, Nguyen Van Tien)....Pages 450-465
 On a New Calibrated Mixture Model for a Density Forecast of the VN30 Index  (Dung Tien Nguyen, Son Phuc Nguyen, Thien Dinh Nguyen, Uyen Hoang Pham)....Pages 466-473
 An Improved Fuzzy Time Series Forecasting Model  (Ha Che-Ngoc, Tai Vo-Van, Quoc-Chanh Huynh-Le, Vu Ho, Thao Nguyen-Trang, Minh-Tuyet Chu-Thi)....Pages 474-490
 Testing J-Curve Phenomenon in Vietnam: An Autoregressive Distributed Lag (ARDL) Approach  (Le Hoang Phong, Ho Hoang Gia Bao, Dang Thi Bach Van)....Pages 491-503
 An Analysis of Eigenvectors of a Stock Market Cross-Correlation Matrix  (Hieu T. Nguyen, Phuong N. U. Tran, Quang Nguyen)....Pages 504-513
 Factors Impacting Tax Revenue of Southeast Asian Countries  (Ly Hoang Anh, Tran Quoc Thinh)....Pages 514-530
 Mixed-Copulas Approach in Examining the Relationship Between Oil Prices and ASEAN’s Stock Markets  (Paravee Maneejuk, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 531-541
 Forecasting Credit-to-GDP  (Kobpongkit Navapan, Jianxu Liu, Songsak Sriboonchitta)....Pages 542-552
 Resilience of Stock Cross-Correlation Network to Random Breakdown and Intentional Attack  (Ngoc Kim Khanh Nguyen, Quang Nguyen)....Pages 553-561
 Constructing a Financial Stress Index for Vietnam: An Application of Autoregressive Conditional Heteroskedastic Models  (Nguyen Chi Duc, Ho Thuy Ai)....Pages 562-583
 Bank Competition and Financial Stability: Empirical Evidence in Vietnam  (Tuyen L. Nguyen, Anh H. Le, Dao M. Tran)....Pages 584-596
 Analysing the Effects of the Exporting on Economic Growth in Vietnam  (Nguyen Minh Hai, Do Huu Hai, Nguyen Manh Hung)....Pages 597-610
 The Impact of Supermoon on Stock Market Returns in Vietnam  (Nguyen Ngoc Thach, Nguyen Van Diep)....Pages 611-623
 Capital Structure of the Firms in Vietnam During Economic Recession and Economic Recovery: Panel Vector Auto-regression (PVER) Approach  (Nguyen Ngoc Thach, Tran Thi Kim Oanh)....Pages 624-638
 The Efficient Sterilization of Central Bank: Suitable Estimation Method  (Phung T. K. Nguyen, Hac D. Le, Hang T. T. Hoang)....Pages 639-647
 Application of Statistical Methods for Tax Inspection of Enterprises: A Case Study in Vietnam  (Nguyen Thi Loan, Le Dinh Hac, Nguyen Viet Hong Anh)....Pages 648-655
 Detecting Corporate Income Tax Non-compliance from Financial Statements: A Case Study of Vietnam  (Nguyen Thi Loan, Nguyen Viet Hong Anh, Pham Phu Quoc)....Pages 656-672
 GARCH Models in Forecasting the Volatility of the World’s Oil Prices  (Nguyen Trung Hung, Nguyen Ngoc Thach, Le Hoang Anh)....Pages 673-683
 Price Transmission Mechanism for Natural Gas in Thailand  (Natnicha Nimmonrat, Pathairat Pastpipatkul, Woraphon Yamaka, Paravee Maneejuk)....Pages 684-697
 Portfolio Selection with Stock, Gold and Bond in Thailand Under Vine Copulas Functions  (Pathairat Pastpipatkul, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 698-711
 Determinants and Stability of Demand for Money in Vietnam  (Pham Dinh Long, Bui Quang Hien)....Pages 712-726
 The Effects of Foreign Bank Entry, Deregulation on Bank Efficiency in Vietnam: Stochastic Frontier Analysis Approach  (Pham Dinh Long, Luong Cong Hoang)....Pages 727-743
 The Impact of Ownership on Net Interest Margin of Commercial Bank in Vietnam  (An H. Pham, Loan K. T. Vo, Cuong K. Q. Tran)....Pages 744-751
 An Alternate Internal Credit Rating System for Construction and Timber Industries Using Artificial Neural Network  (Pham Quoc Hai, Truong Thuy Lan Ngoc, Bui Do Thanh Phuong)....Pages 752-791
 Zero Interest Rate for the US Dollar Deposit and Dollarization: The Case of Vietnam  (Pham Thi Hoang Anh)....Pages 792-809
 Foreign Reserve Accumulation and Sterilization Effectiveness in Vietnam  (Pham Thi Tuyet Trinh, Le Phan Ai Nhan)....Pages 810-830
 A Study on Optimal Outsourcing Service Nation in the East and Southeast Asian Region: A Comparison Between AHP and Fuzzy AHP Approach  (Pham Van Kien, Nguyen Ngoc Thach)....Pages 831-858
 Expectile Kink Regression: An Application to Service Sector Output  (Varith Pipitpojanakarn, Paravee Maneejuk, Worapon Yamaka, Songsak Sriboonchitta)....Pages 859-869
 Adjusting Beliefs via Transformed Fuzzy Prices  (Tanarat Rattanadamrongaksorn, Duangthip Sirikanchanarak, Jirakom Sirisrisakulchai, Songsak Sriboonchitta)....Pages 870-889
 On Characterizations of Bivariate Schur-constant Models and Applications  (Bao Q. Ta, Dong S. Le, Minh B. Ha, Xuan D. Tran)....Pages 890-901
 Time-Varying Beta Estimation in CAPM Under the Regime-Switching Model  (Roengchai Tansuchat, Sukrit Thongkairat, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 902-915
 Interval-Valued Estimation for the Five Largest Market Capitalization Stocks in the Stock Exchange of Thailand by Markov-Switching CAPM  (Karn Thamprasert, Pathairat Pastpipatkul, Woraphon Yamaka)....Pages 916-925
 The Roles of Perceived Risk and Trust on E–Payment Adoption  (Thanh D. Nguyen, Phuc A. Huynh)....Pages 926-940
 Modelling Exchange Rate Volatility Using GARCH Model: An Empirical Analysis for Vietnam  (Thi Kim Dung Nguyen)....Pages 941-952
 Pricing Assets with Higher Co-moments and Value-at-Risk by Quantile Regression Approach: Evidence from Vietnam Stock Market  (Toan Luu Duc Huynh, Sang Phu Nguyen, Duy Duong)....Pages 953-986
 Contagion Risk Measured by Return Among Cryptocurrencies  (Toan Luu Duc Huynh, Sang Phu Nguyen, Duy Duong)....Pages 987-998
 The Effect of Macroeconomic Factors on Investor Purchase Decision: The Case Study of HOSE  (Tran Anh Tung, Pham Van Kien, Ho Thanh Phong)....Pages 999-1013
 The Inflation-Economic Growth Relationship: Estimating the Inflation Threshold in Vietnam  (Tuyen H. Tran)....Pages 1014-1034
 Factors Affecting the Level of Financial Information Transparency – Evidence from Top 30 Listed Companies in Singapore, Philippines, and Vietnam  (Tran Quoc Thinh)....Pages 1035-1045
 Evaluating the Impact of Factors on the Shift of Economic Structure in Vietnam  (Huong Thi Thanh Tran, Huyen Thanh Hoang)....Pages 1046-1060
 Testing the Evidence of Purchasing Power Parity for Southeast Asia Countries  (M. A. Truong Thiet Ha)....Pages 1061-1077
Back Matter ....Pages 1079-1081