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  • Conference proceedings
  • © 2013

Uncertainty Analysis in Econometrics with Applications

  • Presents recent research on Maximum Entropy Econometrics and Related Topics
  • Proceedings of the Sixth International Conference of the Thailand Econometric Society TES'2013
  • Written by leading experts in the field

Part of the book series: Advances in Intelligent Systems and Computing (AISC)

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Table of contents (22 papers)

  1. Front Matter

    Pages 1-15
  2. Keynote Addresses

    1. Front Matter

      Pages 1-1
    2. A Test for Strict Stationarity

      • Luiz Renato Lima, Breno Neri
      Pages 17-30
  3. Fundamental Theory

    1. Front Matter

      Pages 31-31
    2. Why Clayton and Gumbel Copulas: A Symmetry-Based Explanation

      • Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta
      Pages 79-90
    3. Size Distortion in the Analysis of Volatility and Covolatility Effects

      • Christian Gourieroux, Joann Jasiak
      Pages 91-118
    4. Maximum Entropy Test for Autoregressive Models

      • Sangyeol Lee, Siyun Park
      Pages 119-128
    5. A Bayesian Perspective on Mixed GARCH Models with Jumps

      • Cathy W. S. Chen, Edward M. H. Lin, Yi-Ru Lin
      Pages 141-154
    6. Risk Measures and Asset Pricing Models with New Versions of Wang Transform

      • Baokun Li, Tonghui Wang, Weizhong Tian
      Pages 155-167

About this book

 

Unlike uncertain dynamical systems in physical sciences where models for prediction are somewhat given to us by physical laws, uncertain dynamical systems in economics need statistical models. In this context, modeling and optimization surface as basic ingredients for fruitful applications. This volume concentrates on the current methodology of copulas and maximum entropy optimization.

This volume contains main research presentations at the Sixth International Conference of the Thailand Econometrics Society held at the Faculty of Economics, Chiang Mai University, Thailand, during January 10-11, 2013. It consists of keynote addresses, theoretical and applied contributions. These contributions to Econometrics are somewhat centered around the theme of Copulas and Maximum Entropy Econometrics. The method of copulas is applied to a variety of economic problems where multivariate model building and correlation analysis are needed. As for the art of choosing copulas in practical problems, the principle of maximum entropy surfaces as a potential way to do so. The state-of-the-art of Maximum Entropy Econometrics is presented in the first keynote address, while the second keynote address focusses on testing stationarity in economic time series data.

Editors and Affiliations

  • Science and Technology, School of Knowledge Science, Japan Advanced Institute of, Ishikawa, 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, Chinag Mai, Thailand

    Songsak Sriboonchitta, Komsan Suriya

Bibliographic Information

  • Book Title: Uncertainty Analysis in Econometrics with Applications

  • Editors: Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya

  • Series Title: Advances in Intelligent Systems and Computing

  • DOI: https://doi.org/10.1007/978-3-642-35443-4

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Engineering, Engineering (R0)

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2013

  • Softcover ISBN: 978-3-642-35442-7Published: 14 December 2012

  • eBook ISBN: 978-3-642-35443-4Published: 14 December 2012

  • Series ISSN: 2194-5357

  • Series E-ISSN: 2194-5365

  • Edition Number: 1

  • Number of Pages: XVI, 319

  • Number of Illustrations: 34 b/w illustrations

  • Topics: Computational Intelligence, Artificial Intelligence, Econometrics

Buy it now

Buying options

eBook USD 129.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access