Analyzing financial risk and co-movement of gold market, and Indonesian, Philippine, and Thailand stock markets: Dynamic copula with markov-switching

© Springer International Publishing Switzerland 2016. In this paper, we analyze the dependency between the Thailand, Indonesia, and the Philippine (TIP) stock markets and gold markets using dynamic copula with the Markov-switching model with 2 regimes, namely high dependence and low dependence regim...

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Bibliographic Details
Main Authors: Pathairat Pastpipatkul, Woraphon Yamaka, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952700779&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55562
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Institution: Chiang Mai University