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

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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書目詳細資料
Main Authors:	Chakorn Praprom, Songsak Sriboonchitta
格式:	Book Series
出版:	2018
主題:	Computer Science Engineering
在線閱讀:	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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