Ebook: Uncertainty Analysis in Econometrics with Applications: Proceedings of the Sixth International Conference of the Thailand Econometric Society TES'2013
Author: Amos Golan (auth.) Van-Nam Huynh Vladik Kreinovich Songsak Sriboonchitta Komsan Suriya (eds.)
- Tags: Computational Intelligence, Artificial Intelligence (incl. Robotics), Econometrics
- Series: Advances in Intelligent Systems and Computing 200
- Year: 2013
- Publisher: Springer-Verlag Berlin Heidelberg
- Edition: 1
- Language: English
- pdf
Unlike uncertain dynamical systems in physical sciences where models for prediction are somewhat given to us by physical laws, uncertain dynamical systems in economics need statistical models. In this context, modeling and optimization surface as basic ingredients for fruitful applications. This volume concentrates on the current methodology of copulas and maximum entropy optimization.
This volume contains main research presentations at the Sixth International Conference of the Thailand Econometrics Society held at the Faculty of Economics, Chiang Mai University, Thailand, during January 10-11, 2013. It consists of keynote addresses, theoretical and applied contributions. These contributions to Econometrics are somewhat centered around the theme of Copulas and Maximum Entropy Econometrics. The method of copulas is applied to a variety of economic problems where multivariate model building and correlation analysis are needed. As for the art of choosing copulas in practical problems, the principle of maximum entropy surfaces as a potential way to do so. The state-of-the-art of Maximum Entropy Econometrics is presented in the first keynote address, while the second keynote address focusses on testing stationarity in economic time series data.
Unlike uncertain dynamical systems in physical sciences where models for prediction are somewhat given to us by physical laws, uncertain dynamical systems in economics need statistical models. In this context, modeling and optimization surface as basic ingredients for fruitful applications. This volume concentrates on the current methodology of copulas and maximum entropy optimization.
This volume contains main research presentations at the Sixth International Conference of the Thailand Econometrics Society held at the Faculty of Economics, Chiang Mai University, Thailand, during January 10-11, 2013. It consists of keynote addresses, theoretical and applied contributions. These contributions to Econometrics are somewhat centered around the theme of Copulas and Maximum Entropy Econometrics. The method of copulas is applied to a variety of economic problems where multivariate model building and correlation analysis are needed. As for the art of choosing copulas in practical problems, the principle of maximum entropy surfaces as a potential way to do so. The state-of-the-art of Maximum Entropy Econometrics is presented in the first keynote address, while the second keynote address focusses on testing stationarity in economic time series data.
Unlike uncertain dynamical systems in physical sciences where models for prediction are somewhat given to us by physical laws, uncertain dynamical systems in economics need statistical models. In this context, modeling and optimization surface as basic ingredients for fruitful applications. This volume concentrates on the current methodology of copulas and maximum entropy optimization.
This volume contains main research presentations at the Sixth International Conference of the Thailand Econometrics Society held at the Faculty of Economics, Chiang Mai University, Thailand, during January 10-11, 2013. It consists of keynote addresses, theoretical and applied contributions. These contributions to Econometrics are somewhat centered around the theme of Copulas and Maximum Entropy Econometrics. The method of copulas is applied to a variety of economic problems where multivariate model building and correlation analysis are needed. As for the art of choosing copulas in practical problems, the principle of maximum entropy surfaces as a potential way to do so. The state-of-the-art of Maximum Entropy Econometrics is presented in the first keynote address, while the second keynote address focusses on testing stationarity in economic time series data.
Content:
Front Matter....Pages 1-15
Front Matter....Pages 1-1
On the State of the Art of Info-metrics....Pages 3-15
A Test for Strict Stationarity....Pages 17-30
Front Matter....Pages 31-31
Statistical Inference from Ill-known Data Using Belief Functions....Pages 33-48
Brief Introduction to Probabilistic Compositional Models....Pages 49-60
Some Aspects of Information Theory in Gambling and Economics....Pages 61-77
Why Clayton and Gumbel Copulas: A Symmetry-Based Explanation....Pages 79-90
Size Distortion in the Analysis of Volatility and Covolatility Effects....Pages 91-118
Maximum Entropy Test for Autoregressive Models....Pages 119-128
Choice of Copulas in Explaining Stock Market Contagion....Pages 129-140
A Bayesian Perspective on Mixed GARCH Models with Jumps....Pages 141-154
Risk Measures and Asset Pricing Models with New Versions of Wang Transform....Pages 155-167
Front Matter....Pages 169-169
Purchasing Power Parity Puzzle and the Australian Dollar Real Exchange Rate....Pages 171-184
An Empirical Analysis of Price Behavior of Natural Rubber Latex: A Case of Central Rubber Market Hat Yai, Songkhla, Thailand....Pages 185-201
Trade Liberalisation, Labour Productivity Growth and Skilled Labour Complement: Evidence from the Thai Manufacturing Sector....Pages 203-213
Modeling Dependence Dynamics of Air Pollution: Time Series Analysis Using a Copula Based GARCH Type Model....Pages 215-226
Estimating Time-Varying Systematic Risk by Using Multivariate GARCH....Pages 227-239
Forecasting Using Nonlinear Long Memory Models with Artificial Neural Network Expansion....Pages 241-254
Modeling Dependency of Crude oil Price and Agricultural Commodity Prices: A Pairwise Copulas Approach....Pages 255-267
Charitable Giving Behavior in Northeast Thailand and Mukdaharn Province: Multivariate Tobit Models....Pages 269-281
Analysis of Volatility and Dependence between the Tourist Arrivals from China to Thailand and Singapore: A Copula-Based GARCH Approach....Pages 283-294
Front Matter....Pages 169-169
A Quantile Regression Analysis of Price Transmission in Thai Rice Markets....Pages 295-305
Analyzing Dependence Structure of Obesity and High Blood Pressure: A Copula Approach....Pages 307-318
Back Matter....Pages 0--1
Unlike uncertain dynamical systems in physical sciences where models for prediction are somewhat given to us by physical laws, uncertain dynamical systems in economics need statistical models. In this context, modeling and optimization surface as basic ingredients for fruitful applications. This volume concentrates on the current methodology of copulas and maximum entropy optimization.
This volume contains main research presentations at the Sixth International Conference of the Thailand Econometrics Society held at the Faculty of Economics, Chiang Mai University, Thailand, during January 10-11, 2013. It consists of keynote addresses, theoretical and applied contributions. These contributions to Econometrics are somewhat centered around the theme of Copulas and Maximum Entropy Econometrics. The method of copulas is applied to a variety of economic problems where multivariate model building and correlation analysis are needed. As for the art of choosing copulas in practical problems, the principle of maximum entropy surfaces as a potential way to do so. The state-of-the-art of Maximum Entropy Econometrics is presented in the first keynote address, while the second keynote address focusses on testing stationarity in economic time series data.
Content:
Front Matter....Pages 1-15
Front Matter....Pages 1-1
On the State of the Art of Info-metrics....Pages 3-15
A Test for Strict Stationarity....Pages 17-30
Front Matter....Pages 31-31
Statistical Inference from Ill-known Data Using Belief Functions....Pages 33-48
Brief Introduction to Probabilistic Compositional Models....Pages 49-60
Some Aspects of Information Theory in Gambling and Economics....Pages 61-77
Why Clayton and Gumbel Copulas: A Symmetry-Based Explanation....Pages 79-90
Size Distortion in the Analysis of Volatility and Covolatility Effects....Pages 91-118
Maximum Entropy Test for Autoregressive Models....Pages 119-128
Choice of Copulas in Explaining Stock Market Contagion....Pages 129-140
A Bayesian Perspective on Mixed GARCH Models with Jumps....Pages 141-154
Risk Measures and Asset Pricing Models with New Versions of Wang Transform....Pages 155-167
Front Matter....Pages 169-169
Purchasing Power Parity Puzzle and the Australian Dollar Real Exchange Rate....Pages 171-184
An Empirical Analysis of Price Behavior of Natural Rubber Latex: A Case of Central Rubber Market Hat Yai, Songkhla, Thailand....Pages 185-201
Trade Liberalisation, Labour Productivity Growth and Skilled Labour Complement: Evidence from the Thai Manufacturing Sector....Pages 203-213
Modeling Dependence Dynamics of Air Pollution: Time Series Analysis Using a Copula Based GARCH Type Model....Pages 215-226
Estimating Time-Varying Systematic Risk by Using Multivariate GARCH....Pages 227-239
Forecasting Using Nonlinear Long Memory Models with Artificial Neural Network Expansion....Pages 241-254
Modeling Dependency of Crude oil Price and Agricultural Commodity Prices: A Pairwise Copulas Approach....Pages 255-267
Charitable Giving Behavior in Northeast Thailand and Mukdaharn Province: Multivariate Tobit Models....Pages 269-281
Analysis of Volatility and Dependence between the Tourist Arrivals from China to Thailand and Singapore: A Copula-Based GARCH Approach....Pages 283-294
Front Matter....Pages 169-169
A Quantile Regression Analysis of Price Transmission in Thai Rice Markets....Pages 295-305
Analyzing Dependence Structure of Obesity and High Blood Pressure: A Copula Approach....Pages 307-318
Back Matter....Pages 0--1
....