Modeling volatility and dependency of agricultural price and production indices of Thailand: Static versus time-varying copulas

• Main Authors: Songsak Sriboonchitta, Hung T. Nguyen, Aree Wiboonpongse, Jianxu Liu
• Format: Journal
• Published: 2018
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84877825919&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/47767
• Institution: Chiang Mai University

Volatility and dependence structure are two main sources of uncertainty in many economic issues, such as exchange rates, future prices and agricultural product prices etc. who fully embody uncertainty among relationship and variation. This paper aims at estimating the dependency between the percenta...