scientific article; zbMATH DE number 7246956

zbMath1463.91082MaRDI QIDQ5121467

O. Puarattanaarunkorn, Songsak Sriboonchitta, T. Kiatmanaroch

Publication date: 14 September 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/1338

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

exchange ratesQEC-vine copulaThailand stock market

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Macroeconomic theory (monetary models, models of taxation) (91B64)

Uses Software

• CDVine

Cites Work

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• Pair-copula constructions of multiple dependence
• An introduction to copulas.
• Generalized autoregressive conditional heteroscedasticity
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Copula Modeling: An Introduction for Practitioners

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