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...
محفوظ في:
المؤلفون الرئيسيون: | Chakorn Praprom, Songsak Sriboonchitta |
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التنسيق: | Book Series |
منشور في: |
2018
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الموضوعات: | |
الوصول للمادة أونلاين: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897886358&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53429 |
الوسوم: |
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المؤسسة: | Chiang Mai University |
مواد مشابهة
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Extreme value copula analysis of dependences between exchange rates and exports of Thailand
بواسطة: Chakorn Praprom, وآخرون
منشور في: (2018) -
Dependence analysis of exchange rate and international trade of Thailand: Application of vine copulas
بواسطة: Chakorn Praprom, وآخرون
منشور في: (2018) -
Dependence analysis of exchange rate and international trade of Thailand: Application of vine copulas
بواسطة: Chakorn Praprom, وآخرون
منشور في: (2018) -
Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
بواسطة: Chakorn Praprom, وآخرون
منشور في: (2018) -
Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
بواسطة: Chakorn Praprom, وآخرون
منشور في: (2018)