Extreme value copula analysis of dependences between exchange rates and exports of Thailand

This study aims to investigate a correlation of the dependence structure between USD/THB exchange rate and exports of Thailand, using extreme value copula by combining the bivariate Generalized Pareto Distribution (GPD) extreme value theory and copula. Maximum likelihood method was adopted to fit a...

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Main Authors: Chakorn Praprom, Songsak Sriboonchitta
Format: Book Series
Published: 2018
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Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897886358&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/53429
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-534292018-09-04T09:51:42Z Extreme value copula analysis of dependences between exchange rates and exports of Thailand Chakorn Praprom Songsak Sriboonchitta Computer Science Engineering This study aims to investigate a correlation of the dependence structure between USD/THB exchange rate and exports of Thailand, using extreme value copula by combining the bivariate Generalized Pareto Distribution (GPD) extreme value theory and copula. Maximum likelihood method was adopted to fit a parameter estimation based on the GPD extreme value model, and a behavior of dependence was determined by the dependence function. The procedure is suggested for the measurement of the copula function to recover the joint tail distribution by comparing four extreme value copulas. The results of this analysis denote that the Tawn copula analysis is the most appropriate method to best fit extreme value copula because the AIC of this method is the lowest when compared with the other copulas.We applied Value at Risk (VaR) to calibrate the probability of the joint tail that may occur over the threshold. We found that Tawn copula stands the maximum risk of exceeding the threshold. This result could be beneficial for exporters and policy makers to predict the possibility of extreme economical fluctuation in the future. © Springer International Publishing Switzerland 2014. 2018-09-04T09:49:02Z 2018-09-04T09:49:02Z 2014-01-01 Book Series 21945357 2-s2.0-84897886358 10.1007/978-3-319-03395-2_12 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897886358&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53429
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Engineering
spellingShingle Computer Science
Engineering
Chakorn Praprom
Songsak Sriboonchitta
Extreme value copula analysis of dependences between exchange rates and exports of Thailand
description This study aims to investigate a correlation of the dependence structure between USD/THB exchange rate and exports of Thailand, using extreme value copula by combining the bivariate Generalized Pareto Distribution (GPD) extreme value theory and copula. Maximum likelihood method was adopted to fit a parameter estimation based on the GPD extreme value model, and a behavior of dependence was determined by the dependence function. The procedure is suggested for the measurement of the copula function to recover the joint tail distribution by comparing four extreme value copulas. The results of this analysis denote that the Tawn copula analysis is the most appropriate method to best fit extreme value copula because the AIC of this method is the lowest when compared with the other copulas.We applied Value at Risk (VaR) to calibrate the probability of the joint tail that may occur over the threshold. We found that Tawn copula stands the maximum risk of exceeding the threshold. This result could be beneficial for exporters and policy makers to predict the possibility of extreme economical fluctuation in the future. © Springer International Publishing Switzerland 2014.
format Book Series
author Chakorn Praprom
Songsak Sriboonchitta
author_facet Chakorn Praprom
Songsak Sriboonchitta
author_sort Chakorn Praprom
title Extreme value copula analysis of dependences between exchange rates and exports of Thailand
title_short Extreme value copula analysis of dependences between exchange rates and exports of Thailand
title_full Extreme value copula analysis of dependences between exchange rates and exports of Thailand
title_fullStr Extreme value copula analysis of dependences between exchange rates and exports of Thailand
title_full_unstemmed Extreme value copula analysis of dependences between exchange rates and exports of Thailand
title_sort extreme value copula analysis of dependences between exchange rates and exports of thailand
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897886358&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/53429
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