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

Front Matter....Pages 1-18
Front Matter....Pages 1-1
Multi-level Conditional VaR Estimation in Dynamic Models....Pages 3-19
Front Matter....Pages 21-21
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme....Pages 23-45
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme....Pages 47-62
How to Detect Linear Dependence on the Copula Level?....Pages 63-79
An Innovative Financial Time Series Model: The Geometric Process Model....Pages 81-99
Residual Based Cusum Test for Parameter Change in AR-GARCH Models....Pages 101-111
Dependence and Association Concepts through Copulas....Pages 113-126
Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models....Pages 127-140
Testing Dependencies in Term Structure of Interest Rates....Pages 141-154
Joint Distributions of Random Sets and Their Relation to Copulas....Pages 155-168
Vine Copulas As a Way to Describe and Analyze Multi-Variate Dependence in Econometrics: Computational Motivation and Comparison with Bayesian Networks and Fuzzy Approaches....Pages 169-184
Front Matter....Pages 185-185
Extreme Value Copula Analysis of Dependences between Exchange Rates and Exports of Thailand....Pages 187-199
Analysis of Volatility of and Dependence between Exchange Rate and Inflation Rate in Lao People’s Democratic Republic Using Copula-Based GARCH Approach....Pages 201-214
Modeling Dependence of Accident-Related Outcomes Using Pair Copula Constructions for Discrete Data....Pages 215-228
Dependence Analysis of Exchange Rate and International Trade of Thailand: Application of Vine Copulas....Pages 229-243
A Vine Copula Approach for Analyzing Financial Risk and Co-movement of the Indonesian, Philippine and Thailand Stock Markets....Pages 245-257
Studying Volatility and Dependency of Chinese Outbound Tourism Demand in Singapore, Malaysia, and Thailand: A Vine Copula Approach....Pages 259-274
Vine Copula-Cross Entropy Evaluation of Dependence Structure and Financial Risk in Agricultural Commodity Index Returns....Pages 275-287
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....Pages 289-305
Statistical Analysis of Political Cycles in Australian Stock Market Returns....Pages 307-328
Front Matter....Pages 185-185
Dependence Structure between Crude Oil, Soybeans, and Palm Oil in ASEAN Region: Energy and Food Security Context....Pages 329-341
Copula Based GARCH Dependence Model of Chinese and Korean Tourist Arrivals to Thailand: Implications for Risk Management....Pages 343-365
Analyzing Relationship between Tourist Arrivals from China and India to Thailand Using Copula Based GARCH and Seasonal Pattern....Pages 367-382
Modeling Dependency in Tourist Arrivals to Thailand from China, Korea, and Japan Using Vine Copulas....Pages 383-398
Relationship between Exchange Rates, Palm Oil Prices, and Crude Oil Prices: A Vine Copula Based GARCH Approach....Pages 399-413
An Analysis of Interdependencies among Energy, Biofuel, and Agricultural Markets Using Vine Copula Model....Pages 415-429
An Analysis of Volatility and Dependence between Rubber Spot and Futures Prices Using Copula-Extreme Value Theory....Pages 431-444
Effect of Markets Temperature on Stock-Price: Monte Carlo Simulation on Spin Model....Pages 445-453
An Analysis of Relationship between Gold Price and U.S. Dollar Index by Using Bivariate Extreme Value Copulas....Pages 455-462
An Integration of Eco-Health One-Health Transdisciplinary Approach and Bayesian Belief Network....Pages 463-477
Factors Affecting Hospital Stay Involving Drunk Driving and Non-Drunk Driving in Phuket, Thailand....Pages 479-489
How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model....Pages 491-504
Co-movement of Prices of Energy and Agricultural Commodities in Biofuel Era: A Period-GARCH Copula Approach....Pages 505-519
Wage Determination and Compensating Wage Differentials in the Informal Sector....Pages 521-537
Optimal Combination of Energy Sources for Electricity Generation in Thailand with Lessons from Japan Using Maximum Entropy....Pages 539-549
Valuation of Interest Rate Derivatives under CSA Discounting....Pages 551-559
Systemic Knowledge Synthesis for Product Recommendation....Pages 561-574
Back Matter....Pages 575-575