Econometrics of Risk

Front Matter....Pages i-x
Front Matter....Pages 1-1
Challenges for Panel Financial Analysis....Pages 3-15
Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates....Pages 17-40
An Overview of the Black-Scholes-Merton Model After the 2008 Credit Crisis....Pages 41-52
What if We Only Have Approximate Stochastic Dominance?....Pages 53-61
From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account....Pages 63-73
Belief Aggregation in Financial Markets and the Nature of Price Fluctuations....Pages 75-84
The Dynamics of Hedge Fund Performance....Pages 85-113
The Joint Belief Function and Shapley Value for the Joint Cooperative Game....Pages 115-133
Distortion Risk Measures Under Skew Normal Settings....Pages 135-148
Towards Generalizing Bayesian Statistics: A Random Fuzzy Set Approach....Pages 149-160
Local Kendall’s Tau....Pages 161-169
Estimation and Prediction Using Belief Functions: Application to Stochastic Frontier Analysis....Pages 171-184
The Classifier Chain Generalized Maximum Entropy Model for Multi-label Choice Problems....Pages 185-199
Front Matter....Pages 201-201
Asymmetric Volatility of Local Gold Prices in Malaysia....Pages 203-218
Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model....Pages 219-231
Evaluation of Portfolio Returns in Fama-French Model Using Quantile Regression Under Asymmetric Laplace Distribution....Pages 233-244
Analysis of Branching Ratio of Telecommunication Stocks in Thailand Using Hawkes Process....Pages 245-257
Forecasting Risk and Returns: CAPM Model with Belief Functions....Pages 259-271
Correlation Evaluation with Fuzzy Data and its Application in the Management Science....Pages 273-285
Empirical Evidence Linking Futures Price Movements of Biofuel Crops and Conventional Energy Fuel....Pages 287-303
Front Matter....Pages 201-201
Optimal Portfolio Selection Using Maximum Entropy Estimation Accounting for the Firm Specific Characteristics....Pages 305-318
Risk, Return and International Portfolio Analysis: Entropy and Linear Belief Functions....Pages 319-328
Forecasting Inbound Tourism Demand to China Using Time Series Models and Belief Functions....Pages 329-341
Forecasting Tourist Arrivals to Thailand Using Belief Functions....Pages 343-357
Copula Based Polychotomous Choice Selectivity Model: Application to Occupational Choice and Wage Determination of Older Workers....Pages 359-375
Estimating Oil Price Value at Risk Using Belief Functions....Pages 377-389
Broad Monetary Condition Index: An Indicator for Short-Run Monetary Management in Vietnam....Pages 391-413
Analysis of International Tourism Demand for Cambodia....Pages 415-425
Modeling the Impact of Internet Broadband on e-Government Service Using Structural Equation Model....Pages 427-433
Assessing Sectoral Risk Through Skew-Error Capital Asset Pricing Model: Empirical Evidence from Thai Stock Market....Pages 435-447
Strategic Path to Enhance the Impact of Internet Broadband on the Creative Economy in Thailand: An Analysis with Structural Equation Model....Pages 449-455
Impact of Mobile Broadband on Non-life Insurance Industry in Thailand and Singapore....Pages 457-470
Using Conditional Copula to Estimate Value-at-Risk in Vietnam’s Foreign Exchange Market....Pages 471-482
The Effects of Foreign Direct Investment and Economic Development on Carbon Dioxide Emissions....Pages 483-496
Back Matter....Pages 497-498