Modeling Dependence in Econometrics

Part I. Keynote Paper

1. Multi-level Conditional VaR Estimation in Dynamic Models
Christian Francq, Jean-Michel Zakoïan

Part II. Fundamental Theory

2. The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme
Serge Darolles, Christian Gourieroux

3. The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme
Serge Darolles, Christian Gourieroux

4. How to Detect Linear Dependence on the Copula Level?
Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta

5. An Innovative Financial Time Series Model: The Geometric Process Model
Jennifer S. K. Chan, Connie P. Y. Lam, S. T. Boris Choy

6. Residual Based Cusum Test for Parameter Change in AR-GARCH Models
Sangyeol Lee, Jiyeon Lee

7. Dependence and Association Concepts through Copulas
Zheng Wei, Tonghui Wang, Wararit Panichkitkosolkul

8. Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models
Cathy W. S. Chen, Max Chen, Shu-Yu Chen

9. Testing Dependencies in Term Structure of Interest Rates
Kian-Guan Lim

10. Joint Distributions of Random Sets and Their Relation to Copulas
Bernhard Schmelzer

11. Vine Copulas As a Way to Describe and Analyze Multi-Variate Dependence in Econometrics: Computational Motivation and Comparison with Bayesian Networks and Fuzzy Approaches
Songsak Sriboonchitta, Jianxu Liu, Vladik Kreinovich, Hung T. Nguyen

Part III. Applications

12. Extreme Value Copula Analysis of Dependences between Exchange Rates and Exports of Thailand
Chakorn Praprom, Songsak Sriboonchitta

13. Analysis of Volatility of and Dependence between Exchange Rate and Inflation Rate in Lao People’s Democratic Republic Using Copula-Based GARCH Approach
Tongvang Xiongtoua, Songsak Sriboonchitta

14. Modeling Dependence of Accident-Related Outcomes Using Pair Copula Constructions for Discrete Data
Jirakom Sirisrisakulchai, Songsak Sriboonchitta

15. Dependence Analysis of Exchange Rate and International Trade of Thailand: Application of Vine Copulas
Chakorn Praprom, Songsak Sriboonchitta

16. A Vine Copula Approach for Analyzing Financial Risk and Co-movement of the Indonesian, Philippine and Thailand Stock Markets
Songsak Sriboonchitta, Jianxu Liu, Vladik Kreinovich, Hung T. Nguyen

17. Studying Volatility and Dependency of Chinese Outbound Tourism Demand in Singapore, Malaysia, and Thailand: A Vine Copula Approach
Jianxu Liu, Songsak Sriboonchitta, Hung T. Nguyen, Vladik Kreinovich

18. Vine Copula-Cross Entropy Evaluation of Dependence Structure and Financial Risk in Agricultural Commodity Index Returns
Songsak Sriboonchitta, Jianxu Liu, Aree Wiboonpongse

19. A Study on Whether Economic Development and Urbanization of Areas Are Associated with Prevalence of Obesity in Chinese Adults: Findings from 2009 China Health and Nutrition Surveys
Jing Dai, Songsak Sriboonchitta, Cheng Zi, Yunjuan Yang

20. Statistical Analysis of Political Cycles in Australian Stock Market Returns
S. T. Boris Choy, Celestine M. Bond

21. Dependence Structure between Crude Oil, Soybeans, and Palm Oil in ASEAN Region: Energy and Food Security Context
Teera Kiatmanaroch, Songsak Sriboonchitta

22. Copula Based GARCH Dependence Model of Chinese and Korean Tourist Arrivals to Thailand: Implications for Risk Management
Ornanong Puarattanaarunkorn, Songsak Sriboonchitta

23. Analyzing Relationship between Tourist Arrivals from China and India to Thailand Using Copula Based GARCH and Seasonal Pattern
Ornanong Puarattanaarunkorn, Songsak Sriboonchitta

24. Modeling Dependency in Tourist Arrivals to Thailand from China, Korea, and Japan Using Vine Copulas
Ornanong Puarattanaarunkorn, Songsak Sriboonchitta

25. Relationship between Exchange Rates, Palm Oil Prices, and Crude Oil Prices: A Vine Copula Based GARCH Approach
Teera Kiatmanaroch, Songsak Sriboonchitta

26. An Analysis of Interdependencies among Energy, Biofuel, and Agricultural Markets Using Vine Copula Model
Phattanan Boonyanuphong, Songsak Sriboonchitta

27. An Analysis of Volatility and Dependence between Rubber Spot and Futures Prices Using Copula-Extreme Value Theory
Phattanan Boonyanuphong, Songsak Sriboonchitta

28. Effect of Markets Temperature on Stock-Price: Monte Carlo Simulation on Spin Model
Arjaree Thongon, Songsak Sriboonchitta, Yongyut Laosiritaworn

29. An Analysis of Relationship between Gold Price and U.S. Dollar Index by Using Bivariate Extreme Value Copulas
Mutita Kaewkheaw, Pisit Leeahtam, Chukiat Chaiboosri

30. An Integration of Eco-Health One-Health Transdisciplinary Approach and Bayesian Belief Network
Chalisa Kallayanamitra, Pisit Leeahtam, Manoj Potapohn, Bruce A. Wilcox, Songsak Sriboonchitta

31. Factors Affecting Hospital Stay Involving Drunk Driving and Non-Drunk Driving in Phuket, Thailand
Jirakom Sirisrisakulchai, Songsak Sriboonchitta

32. How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model
Gong Xue, Songsak Sriboonchitta

33. Co-movement of Prices of Energy and Agricultural Commodities in Biofuel Era: A Period-GARCH Copula Approach
Gong Xue, Songsak Sriboonchitta

34. Wage Determination and Compensating Wage Differentials in the Informal Sector
Pisit Leeahtam, Supanika Leurcharusmee, Peerapat Jatukannyaprateep

35. Optimal Combination of Energy Sources for Electricity Generation in Thailand with Lessons from Japan Using Maximum Entropy
Tatcha Sudtasan, Komsan Suriya

36. Valuation of Interest Rate Derivatives under CSA Discounting
Amy R. Daniels, Coenraad C. A. Labuschagne, Theresa M. Offwood-le Roux

37. Systemic Knowledge Synthesis for Product Recommendation
Yoshiteru Nakamori

Keywords: Engineering, Computational Intelligence, Artificial Intelligence (incl. Robotics), Econometrics