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ORCIDEconometrics of Risk 2015
- Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya
:
Econometrics of Risk. Studies in Computational Intelligence 583, Springer 2015, ISBN 978-3-319-13448-2
Fundamental Theory
- Cheng Hsiao:
Challenges for Panel Financial Analysis. 3-15 - Andrew Hencic, Christian Gouriéroux:
Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates. 17-40 - Chadd B. Hunzinger, Coenraad C. A. Labuschagne:
An Overview of the Black-Scholes-Merton Model After the 2008 Credit Crisis. 41-52 - Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta:
What if We Only Have Approximate Stochastic Dominance? 53-61 - Vladik Kreinovich, Hung T. Nguyen, Rujira Ouncharoen:
From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account. 63-73 - Daniel Schoch:
Belief Aggregation in Financial Markets and the Nature of Price Fluctuations. 75-84 - Serge Darolles, Christian Gouriéroux, Jérome Teiletche:
The Dynamics of Hedge Fund Performance. 85-113 - Zheng Wei, Tonghui Wang, Baokun Li, Phuong Anh Nguyen:
The Joint Belief Function and Shapley Value for the Joint Cooperative Game. 115-133 - Weizhong Tian, Tonghui Wang, Liangjian Hu, Hien D. Tran:
Distortion Risk Measures Under Skew Normal Settings. 135-148 - Hien D. Tran, Phuong Anh Nguyen:
Towards Generalizing Bayesian Statistics: A Random Fuzzy Set Approach. 149-160 - P. Buthkhunthong, A. Junchuay, I. Ongeera, T. Santiwipanont, Songkiat Sumetkijakan:
Local Kendall's Tau. 161-169 - Orakanya Kanjanatarakul, Nachatchapong Kaewsompong, Songsak Sriboonchitta, Thierry Denoeux:
Estimation and Prediction Using Belief Functions: Application to Stochastic Frontier Analysis. 171-184 - Supanika Leurcharusmee, Jirakom Sirisrisakulchai, Songsak Sriboonchitta, Thierry Denoeux:
The Classifier Chain Generalized Maximum Entropy Model for Multi-label Choice Problems. 185-199
Applications
- Mohd Fahmi Ghazali, Hooi-Hooi Lean:
Asymmetric Volatility of Local Gold Prices in Malaysia. 203-218 - Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta:
Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model. 219-231 - Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta:
Evaluation of Portfolio Returns in Fama-French Model Using Quantile Regression Under Asymmetric Laplace Distribution. 233-244 - Niwattisaiwong Seksiri, Napat Harnpornchai:
Analysis of Branching Ratio of Telecommunication Stocks in Thailand Using Hawkes Process. 245-257 - Sutthiporn Piamsuwannakit, Songsak Sriboonchitta:
Forecasting Risk and Returns: CAPM Model with Belief Functions. 259-271 - Berlin Wu, Wei-Shun Sha, Juei-Chao Chen:
Correlation Evaluation with Fuzzy Data and its Application in the Management Science. 273-285 - Jianxu Liu, Songsak Sriboonchitta, Roland-Holst David, David Zilberman, Aree Wiboonpongse:
Empirical Evidence Linking Futures Price Movements of Biofuel Crops and Conventional Energy Fuel. 287-303 - Xue Gong, Songsak Sriboonchitta:
Optimal Portfolio Selection Using Maximum Entropy Estimation Accounting for the Firm Specific Characteristics. 305-318 - Apiwat Ayusuk, Songsak Sriboonchitta:
Risk, Return and International Portfolio Analysis: Entropy and Linear Belief Functions. 319-328 - Jiechen Tang, Songsak Sriboonchitta, Xinyu Yuan:
Forecasting Inbound Tourism Demand to China Using Time Series Models and Belief Functions. 329-341 - Nyo Min, Jirakom Sirisrisakulchai, Songsak Sriboonchitta:
Forecasting Tourist Arrivals to Thailand Using Belief Functions. 343-357 - Anyarat Wichian, Jirakom Sirisrisakulchai, Songsak Sriboonchitta:
Copula Based Polychotomous Choice Selectivity Model: Application to Occupational Choice and Wage Determination of Older Workers. 359-375 - Panisara Phochanachan, Jirakom Sirisrisakulchai, Songsak Sriboonchitta:
Estimating Oil Price Value at Risk Using Belief Functions. 377-389 - Pham Thi Tuyet Trinh, Nguyen Thien Kim:
Broad Monetary Condition Index: An Indicator for Short-Run Monetary Management in Vietnam. 391-413 - Chantha Hor, Nalitra Thaiprasert:
Analysis of International Tourism Demand for Cambodia. 415-425 - Sumate Pruekruedee, Komsan Suriya, Niwattisaiwong Seksiri:
Modeling the Impact of Internet Broadband on e-Government Service Using Structural Equation Model. 427-433 - Nuttanan Wichitaksorn, S. T. Boris Choy:
Assessing Sectoral Risk Through Skew-Error Capital Asset Pricing Model: Empirical Evidence from Thai Stock Market. 435-447 - Sumate Pruekruedee, Komsan Suriya:
Strategic Path to Enhance the Impact of Internet Broadband on the Creative Economy in Thailand: An Analysis with Structural Equation Model. 449-455 - Niwattisaiwong Seksiri, Komsan Suriya:
Impact of Mobile Broadband on Non-life Insurance Industry in Thailand and Singapore. 457-470 - Vu-Linh Nguyen, Van-Nam Huynh:
Using Conditional Copula to Estimate Value-at-Risk in Vietnam's Foreign Exchange Market. 471-482 - Shu-Chen Chang, Wan-Tran Huang:
The Effects of Foreign Direct Investment and Economic Development on Carbon Dioxide Emissions. 483-496
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