Modeling Dependence with Copulas: Are Real Estates and Tourism Associated?

© 2018, Springer International Publishing AG, part of Springer Nature. Several families of copulas are considered in this study to illustrate the correlation between real estate–particularly hospitality real estate investment trust- and the tourism sector. In essence, this study uses Elliptical copu...

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Main Authors: Roengchai Tansuchat, Paravee Maneejuk
Format: Book Series
Published: 2018
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Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043976628&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58559
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-585592018-09-05T04:33:24Z Modeling Dependence with Copulas: Are Real Estates and Tourism Associated? Roengchai Tansuchat Paravee Maneejuk Computer Science Mathematics © 2018, Springer International Publishing AG, part of Springer Nature. Several families of copulas are considered in this study to illustrate the correlation between real estate–particularly hospitality real estate investment trust- and the tourism sector. In essence, this study uses Elliptical copulas and Archimedean copulas, and more recent classes, like extreme value copulas and mixed copulas to conduct the experiment. Under a specific data set, it is revealed that the classical classes of copulas i.e., Elliptical and Archimedean, are selected most often for illustrating the dependency, followed by the extreme value class, particularly the Husler-Reiss copula. However, surprisingly, the mixed copula is not entirely preferable for this data set. 2018-09-05T04:26:15Z 2018-09-05T04:26:15Z 2018-01-01 Book Series 16113349 03029743 2-s2.0-85043976628 10.1007/978-3-319-75429-1_25 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043976628&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58559
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Mathematics
spellingShingle Computer Science
Mathematics
Roengchai Tansuchat
Paravee Maneejuk
Modeling Dependence with Copulas: Are Real Estates and Tourism Associated?
description © 2018, Springer International Publishing AG, part of Springer Nature. Several families of copulas are considered in this study to illustrate the correlation between real estate–particularly hospitality real estate investment trust- and the tourism sector. In essence, this study uses Elliptical copulas and Archimedean copulas, and more recent classes, like extreme value copulas and mixed copulas to conduct the experiment. Under a specific data set, it is revealed that the classical classes of copulas i.e., Elliptical and Archimedean, are selected most often for illustrating the dependency, followed by the extreme value class, particularly the Husler-Reiss copula. However, surprisingly, the mixed copula is not entirely preferable for this data set.
format Book Series
author Roengchai Tansuchat
Paravee Maneejuk
author_facet Roengchai Tansuchat
Paravee Maneejuk
author_sort Roengchai Tansuchat
title Modeling Dependence with Copulas: Are Real Estates and Tourism Associated?
title_short Modeling Dependence with Copulas: Are Real Estates and Tourism Associated?
title_full Modeling Dependence with Copulas: Are Real Estates and Tourism Associated?
title_fullStr Modeling Dependence with Copulas: Are Real Estates and Tourism Associated?
title_full_unstemmed Modeling Dependence with Copulas: Are Real Estates and Tourism Associated?
title_sort modeling dependence with copulas: are real estates and tourism associated?
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043976628&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58559
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