Dependence modelling of Malaysian Ringgit (MYR) and Thai Baht (THB) : the Markov switching model with dynamic copula approach (DCA) and bivariate extreme value approach
Prasert Chaitip and Chukiat Chaiboonsri
| Year of publication: |
2016
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|---|---|
| Authors: | Prasert Chaitip ; Chukiat Chaiboonsri |
| Published in: |
International journal of computational economics and econometrics. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1170, ZDB-ID 2550146-X. - Vol. 6.2016, 2, p. 138-155
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| Subject: | Markov switching model | dynamic copula | exchange rate | Thailand | Malaysia | bivariate extreme value approach | Markov-Kette | Markov chain | Multivariate Verteilung | Multivariate distribution | Wechselkurs | Exchange rate | Volatilität | Volatility | Schätzung | Estimation | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704600