Table of Contents

• Multi-level Conditional VaR Estimation in Dynamic ModelsChristian Francq, Jean-Michel Zakoïan. 3-19 [doi]
• The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark SchemeSerge Darolles, Christian Gouriéroux. 23-45 [doi]
• The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward SchemeSerge Darolles, Christian Gouriéroux. 47-62 [doi]
• How to Detect Linear Dependence on the Copula Level?Vladik Kreinovich, Hung T. Nguyen 0002, Songsak Sriboonchitta. 63-79 [doi]
• An Innovative Financial Time Series Model: The Geometric Process ModelJennifer S. K. Chan, Connie P. Y. Lam, S. T. Boris Choy. 81-99 [doi]
• Residual Based Cusum Test for Parameter Change in AR-GARCH ModelsSangyeol Lee, Jiyeon Lee. 101-111 [doi]
• Dependence and Association Concepts through CopulasZheng Wei, Tonghui Wang, Wararit Panichkitkosolkul. 113-126 [doi]
• Pairs Trading via Three-Regime Threshold Autoregressive GARCH ModelsCathy W. S. Chen, Max Chen, Shu-Yu Chen. 127-140 [doi]
• Testing Dependencies in Term Structure of Interest RatesKian Guan Lim. 141-154 [doi]
• Joint Distributions of Random Sets and Their Relation to CopulasBernhard Schmelzer. 155-168 [doi]
• Vine Copulas As a Way to Describe and Analyze Multi-Variate Dependence in Econometrics: Computational Motivation and Comparison with Bayesian Networks and Fuzzy ApproachesSongsak Sriboonchitta, Jianxu Liu, Vladik Kreinovich, Hung T. Nguyen 0002. 169-184 [doi]
• Extreme Value Copula Analysis of Dependences between Exchange Rates and Exports of ThailandChakorn Praprom, Songsak Sriboonchitta. 187-199 [doi]
• Analysis of Volatility of and Dependence between Exchange Rate and Inflation Rate in Lao People's Democratic Republic Using Copula-Based GARCH ApproachTongvang Xiongtoua, Songsak Sriboonchitta. 201-214 [doi]
• Modeling Dependence of Accident-Related Outcomes Using Pair Copula Constructions for Discrete DataJirakom Sirisrisakulchai, Songsak Sriboonchitta. 215-228 [doi]
• Dependence Analysis of Exchange Rate and International Trade of Thailand: Application of Vine CopulasChakorn Praprom, Songsak Sriboonchitta. 229-243 [doi]
• A Vine Copula Approach for Analyzing Financial Risk and Co-movement of the Indonesian, Philippine and Thailand Stock MarketsSongsak Sriboonchitta, Jianxu Liu, Vladik Kreinovich, Hung T. Nguyen 0002. 245-257 [doi]
• Studying Volatility and Dependency of Chinese Outbound Tourism Demand in Singapore, Malaysia, and Thailand: A Vine Copula ApproachJianxu Liu, Songsak Sriboonchitta, Hung T. Nguyen 0002, Vladik Kreinovich. 259-274 [doi]
• Vine Copula-Cross Entropy Evaluation of Dependence Structure and Financial Risk in Agricultural Commodity Index ReturnsSongsak Sriboonchitta, Jianxu Liu, Aree Wiboonpongse. 275-287 [doi]
• 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 SurveysJing Dai, Songsak Sriboonchitta, Cheng Zi, Yunjuan Yang. 289-305 [doi]
• Statistical Analysis of Political Cycles in Australian Stock Market ReturnsS. T. Boris Choy, Celestine M. Bond. 307-328 [doi]
• Dependence Structure between Crude Oil, Soybeans, and Palm Oil in ASEAN Region: Energy and Food Security ContextTeera Kiatmanaroch, Songsak Sriboonchitta. 329-341 [doi]
• Copula Based GARCH Dependence Model of Chinese and Korean Tourist Arrivals to Thailand: Implications for Risk ManagementOrnanong Puarattanaarunkorn, Songsak Sriboonchitta. 343-365 [doi]
• Analyzing Relationship between Tourist Arrivals from China and India to Thailand Using Copula Based GARCH and Seasonal PatternOrnanong Puarattanaarunkorn, Songsak Sriboonchitta. 367-382 [doi]
• Modeling Dependency in Tourist Arrivals to Thailand from China, Korea, and Japan Using Vine CopulasOrnanong Puarattanaarunkorn, Songsak Sriboonchitta. 383-398 [doi]
• Relationship between Exchange Rates, Palm Oil Prices, and Crude Oil Prices: A Vine Copula Based GARCH ApproachTeera Kiatmanaroch, Songsak Sriboonchitta. 399-413 [doi]
• An Analysis of Interdependencies among Energy, Biofuel, and Agricultural Markets Using Vine Copula ModelPhattanan Boonyanuphong, Songsak Sriboonchitta. 415-429 [doi]
• An Analysis of Volatility and Dependence between Rubber Spot and Futures Prices Using Copula-Extreme Value TheoryPhattanan Boonyanuphong, Songsak Sriboonchitta. 431-444 [doi]
• Effect of Markets Temperature on Stock-Price: Monte Carlo Simulation on Spin ModelArjaree Thongon, Songsak Sriboonchitta, Yongyut Laosiritaworn. 445-453 [doi]
• An Analysis of Relationship between Gold Price and U.S. Dollar Index by Using Bivariate Extreme Value CopulasMutita Kaewkheaw, Pisit Leeahtam, Chukiat Chaiboonsri. 455-462 [doi]
• An Integration of Eco-Health One-Health Transdisciplinary Approach and Bayesian Belief NetworkChalisa Kallayanamitra, Pisit Leeahtam, Manoj Potapohn, Bruce A. Wilcox, Songsak Sriboonchitta. 463-477 [doi]
• Factors Affecting Hospital Stay Involving Drunk Driving and Non-Drunk Driving in Phuket, ThailandJirakom Sirisrisakulchai, Songsak Sriboonchitta. 479-489 [doi]
• How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X ModelXue Gong, Songsak Sriboonchitta. 491-504 [doi]
• Co-movement of Prices of Energy and Agricultural Commodities in Biofuel Era: A Period-GARCH Copula ApproachXue Gong, Songsak Sriboonchitta. 505-519 [doi]
• Wage Determination and Compensating Wage Differentials in the Informal Sector - A Quantile Regression with Multi-level Sample SelectionPisit Leeahtam, Supanika Leurcharusmee, Peerapat Jatukannyaprateep. 521-537 [doi]
• Optimal Combination of Energy Sources for Electricity Generation in Thailand with Lessons from Japan Using Maximum EntropyTatcha Sudtasan, Komsan Suriya. 539-549 [doi]
• Valuation of Interest Rate Derivatives under CSA DiscountingAmy R. Daniels, Coenraad C. A. Labuschagne, Theresa M. Offwood-le Roux. 551-559 [doi]
• Systemic Knowledge Synthesis for Product RecommendationYoshiteru Nakamori. 561-574 [doi]