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Econometric Leadership of the Knowledge-based Service Economy Print E-mail

Proceedings of the Third International Conference of the Thailand Econometric Society (TES2010)




Edited by

Pisti Leeahtam
Hung T. Nguyen
Peter Calkins
Songsak Sriboonchitta
Thanes Sriwichailamphan
Pairut Kanjanakaroon
Prapatchon Jariyapan
Anaspree Chaiwan
Chaiwat Nimanussornkul
Kunsuda Nimanussornkul

ISBN 978-974-672-565-1

(c)  2011  Chiang Mai School of Economics and the Thailand Econometric Society



Content

 
1.     
Overview: Econometric leadership of the New Knowledge-based Service
Economy
 
 
2.     
How to Relate Spectral Risk Measures and Utilitie
 
 
3.     
A hybrid MCDM model for evaluating the environmental impacts of regional shopping centers
 
 
4.     
International Tourists’ Expenditures in Thailand: A Modeling of the
ARFIMA-FIGARCH Approach
 
 
5.     
On the Fundamental Theorems of Asset Pricing
 
 
6.     
A Universal Framework for Financial and Actuarial Pricing of Risk: Myth or
Reality?
 
 
7.     
Comparison of Different Heavy-tailed Stochastic Volatility Models for
Financial Data in Thailand
 
 
8.     
Envy and Generalized Loss Aversion
 
 
9.     
A Panel Cointegration Analysis: An Application to International Tourism
Demand of Thailand
 
 
10.   
Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
 
 
11.   
The Modeling of International Tourists Demand To Thailand With Panel
Data
 
 
12.   
The Comparison among ARMA-GARCH, -EGARCH, -GJR, and -PGARCH
models on Thailand Volatility Index
 
 
13.   
Cointegration and Causality among International Gold and Emerging Stock
Markets in ASEAN
 
 
14.   
Multivariate Linear and Non -Linear Causality Tests
 
 
 
15.   
Impact of Skewness on the Performance of Optimal Portfolios
 
 
16.   
On Prediction of Bivariate Extremes
 
 
17.   
Rational Speculative Bubbles in Vietnamese Stock Market
 
 
18.   
Analysis on
β  and σ  Convergences of East Asian Currencies
 
 
19.   
Conditional Correlations and Volatility Spillovers Between Crude Oil and
Stock Index Returns
 
 
20.   
International Tourist arrivals in Thailand: Forecasting with ARFIMA- FIGARCH Approach
 
 
21.   
International Tourists’ Expenditure in Thailand: A Modelling the ARFIMA Approach
 
 
22.   
Asian Option pricing using Path Integral
 
 
23.   
ARFIMA-FIGARCH and ARFIMA -FIAPARCH on Thailand Volatility
Index
 
 
24.   
The Impacts of the Real Exchange Rate on the Volatility of International
Tourist Arrivals to Thailand
 
 
25.   
Examining Volatility Spillover Across Internationals Gold Market and
ASEAN Emerging Stock Markets
 
 
26.   
Value at Risk of International Tourist Arrivals to Thailand
 
 
27.   
Determinants of international tourists traveling to major tourist regions in
Thailand with panel data
 



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