Frontier of error minimization from copula model application: Evidence from dependence structure of BRICS's stock markets

© Published under licence by IOP Publishing Ltd. This study is proposed to focus on the comparison between Maximum Likelihood estimation (MLE) and Maximum Entropy bootstrap testing (MEboot) in AR-GARCH model in order to seek the frontier of error minimization or the minimum error terms by employing...

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Main Authors: Jittima Singvejsakul, Chukiat Chaiboonsri, Songsak Sriboonchitta
Format: Conference Proceeding
Published: 2018
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/59119
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-591192018-09-05T04:38:43Z Frontier of error minimization from copula model application: Evidence from dependence structure of BRICS's stock markets Jittima Singvejsakul Chukiat Chaiboonsri Songsak Sriboonchitta Physics and Astronomy © Published under licence by IOP Publishing Ltd. This study is proposed to focus on the comparison between Maximum Likelihood estimation (MLE) and Maximum Entropy bootstrap testing (MEboot) in AR-GARCH model in order to seek the frontier of error minimization or the minimum error terms by employing a cross-entropy selection approach. Empirically here, this paper finds that the error terms estimated by the MEboot are smaller than those from the MLE. Therefore, the MEboot estimator is proposed to estimate time series data like financial data because it is more robust statistically than MLE, thus MEboot can be resistant to errors in the results. Consequently, the MEboot test's residuals are selected for estimating mathematically an econometric model called D-vine copula which is based on Gaussian distribution to investigate the pattern of dependence structure in BRICS countries. The results showed that Brazil was the major stock market in BRICS that investors will be interested in its financial flows. Accordingly, we had better understand the central point of capital flows inside BRICS's financial systems. In addition, the dependence structure results show that most financial flows into Brazil come from the Asian continent (India and China). On the other hand, capital out-flows from Brazil have been destined to Russia and South Africa. 2018-09-05T04:38:43Z 2018-09-05T04:38:43Z 2018-07-26 Conference Proceeding 17426596 17426588 2-s2.0-85051405751 10.1088/1742-6596/1053/1/012123 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85051405751&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/59119
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Physics and Astronomy
spellingShingle Physics and Astronomy
Jittima Singvejsakul
Chukiat Chaiboonsri
Songsak Sriboonchitta
Frontier of error minimization from copula model application: Evidence from dependence structure of BRICS's stock markets
description © Published under licence by IOP Publishing Ltd. This study is proposed to focus on the comparison between Maximum Likelihood estimation (MLE) and Maximum Entropy bootstrap testing (MEboot) in AR-GARCH model in order to seek the frontier of error minimization or the minimum error terms by employing a cross-entropy selection approach. Empirically here, this paper finds that the error terms estimated by the MEboot are smaller than those from the MLE. Therefore, the MEboot estimator is proposed to estimate time series data like financial data because it is more robust statistically than MLE, thus MEboot can be resistant to errors in the results. Consequently, the MEboot test's residuals are selected for estimating mathematically an econometric model called D-vine copula which is based on Gaussian distribution to investigate the pattern of dependence structure in BRICS countries. The results showed that Brazil was the major stock market in BRICS that investors will be interested in its financial flows. Accordingly, we had better understand the central point of capital flows inside BRICS's financial systems. In addition, the dependence structure results show that most financial flows into Brazil come from the Asian continent (India and China). On the other hand, capital out-flows from Brazil have been destined to Russia and South Africa.
format Conference Proceeding
author Jittima Singvejsakul
Chukiat Chaiboonsri
Songsak Sriboonchitta
author_facet Jittima Singvejsakul
Chukiat Chaiboonsri
Songsak Sriboonchitta
author_sort Jittima Singvejsakul
title Frontier of error minimization from copula model application: Evidence from dependence structure of BRICS's stock markets
title_short Frontier of error minimization from copula model application: Evidence from dependence structure of BRICS's stock markets
title_full Frontier of error minimization from copula model application: Evidence from dependence structure of BRICS's stock markets
title_fullStr Frontier of error minimization from copula model application: Evidence from dependence structure of BRICS's stock markets
title_full_unstemmed Frontier of error minimization from copula model application: Evidence from dependence structure of BRICS's stock markets
title_sort frontier of error minimization from copula model application: evidence from dependence structure of brics's stock markets
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85051405751&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/59119
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