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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Bibliographic Details
Main Authors: Chakorn Praprom, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
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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