Modeling the dependence among crude oil, stock and exchange rate: A bayesian smooth transition vector autoregression

• المؤلفون الرئيسيون: Payap Tarkhamtham, Woraphon Yamaka, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2019
• الموضوعات: Computer Science
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85065612800&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/65530

© Springer Nature Switzerland AG 2019. This study aims to investigate the relationship among West Texas Intermediate crude oil price which represents crude oil, Down Jones Industrial Index and exchange rate. We use smooth transition vector autoregression with Bayesian estimator to estimate the relat...