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Econometrics of Risk

  • Book
  • © 2015

Overview

Editors:
  1. Van-Nam Huynh

    1. Japan Advanced Institute of Science and Technology, Nomi, Japan

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  2. Vladik Kreinovich

    1. Department of Computer Science, University of Texas at El Paso, El Paso, USA

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  3. Songsak Sriboonchitta

    1. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

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  4. Komsan Suriya

    1. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

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  • Recent Research on Econometrics of Risk
  • Includes theoretical foundations and applications
  • Written by experts in the field
  • Includes supplementary material: sn.pub/extras

Part of the book series: Studies in Computational Intelligence (SCI, volume 583)

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Table of contents (34 chapters)

  1. Front Matter

    Pages i-x
    Download chapter PDF

  2. Fundamental Theory

    1. Front Matter

      Pages 1-1
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    2. Challenges for Panel Financial Analysis

      • Cheng Hsiao
      Pages 3-15

    3. Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates

      • Andrew Hencic, Christian Gouriéroux
      Pages 17-40

    4. An Overview of the Black-Scholes-Merton Model After the 2008 Credit Crisis

      • Chadd B. Hunzinger, Coenraad C. A. Labuschagne
      Pages 41-52

    5. What if We Only Have Approximate Stochastic Dominance?

      • Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta
      Pages 53-61

    6. From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account

      • Vladik Kreinovich, Hung T. Nguyen, Rujira Ouncharoen
      Pages 63-73

    7. Belief Aggregation in Financial Markets and the Nature of Price Fluctuations

      • Daniel Schoch
      Pages 75-84

    8. The Dynamics of Hedge Fund Performance

      • Serge Darolles, Christian Gouriéroux, Jérome Teiletche
      Pages 85-113

    9. The Joint Belief Function and Shapley Value for the Joint Cooperative Game

      • Zheng Wei, Tonghui Wang, Baokun Li, Phuong Anh Nguyen
      Pages 115-133

    10. Distortion Risk Measures Under Skew Normal Settings

      • Weizhong Tian, Tonghui Wang, Liangjian Hu, Hien D. Tran
      Pages 135-148

    11. Towards Generalizing Bayesian Statistics: A Random Fuzzy Set Approach

      • Hien D. Tran, Phuong Anh Nguyen
      Pages 149-160

    12. Local Kendall’s Tau

      • P. Buthkhunthong, A. Junchuay, I. Ongeera, T. Santiwipanont, S. Sumetkijakan
      Pages 161-169

    13. Estimation and Prediction Using Belief Functions: Application to Stochastic Frontier Analysis

      • Orakanya Kanjanatarakul, Nachatchapong Kaewsompong, Songsak Sriboonchitta, Thierry DenÅ“ux
      Pages 171-184

    14. The Classifier Chain Generalized Maximum Entropy Model for Multi-label Choice Problems

      • Supanika Leurcharusmee, Jirakom Sirisrisakulchai, Songsak Sriboonchitta, Thierry DenÅ“ux
      Pages 185-199

  3. Applications

    1. Front Matter

      Pages 201-201
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    2. Asymmetric Volatility of Local Gold Prices in Malaysia

      • Mohd Fahmi Ghazali, Hooi Hooi Lean
      Pages 203-218

    3. Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model

      • Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta
      Pages 219-231

    4. Evaluation of Portfolio Returns in Fama-French Model Using Quantile Regression Under Asymmetric Laplace Distribution

      • Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta
      Pages 233-244

    5. Analysis of Branching Ratio of Telecommunication Stocks in Thailand Using Hawkes Process

      • Niwattisaiwong Seksiri, Napat Harnpornchai
      Pages 245-257
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Keywords

About this book

This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques.

This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.

Editors and Affiliations

  • Japan Advanced Institute of Science and Technology, Nomi, Japan

    Van-Nam Huynh

  • Department of Computer Science, University of Texas at El Paso, El Paso, USA

    Vladik Kreinovich

  • Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Songsak Sriboonchitta, Komsan Suriya

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