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...

Full description

Saved in:
Bibliographic Details
Main Authors: Tongvang Xiongtoua, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897851554&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/53396
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Chiang Mai University
Be the first to leave a comment!
You must be logged in first