Analysis of volatility of and dependence between exchange rate and inflation rate in Lao people's democratic republic using copula-based GARCH approach
This paper aims to conduct a study of the volatility and dependence between the exchange rate and inflation rate in Laos. The results of the study show that the ARMA (1, 1) - GARCH (1, 1) models were appropriate for two random variables. The KS and Box-Ljung tests for skewed-t distribution and autoc...
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| Main Authors: | , |
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| 格式: | Book Series |
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2018
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| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897851554&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53396 |
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| 機構: | Chiang Mai University |