This book is devoted to the analysis of causal inference which is one of the most difficult tasks in data analysis: when two phenomena are observed to be related, it is often difficult to decide whether one of them causally influences the other one, or whether these two phenomena have a common cause. This analysis is the main focus of this volume.
To get a good understanding of the causal inference, it is important to have models of economic phenomena which are as accurate as possible. Because of this need, this volume also contains papers that use non-traditional economic models, such as fuzzy models and models obtained by using neural networks and data mining techniques. It also contains papers that apply different econometric models to analyze real-life economic dependencies.
Author(s): Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta
Series: Studies in Computational Intelligence
Publisher: Springer
Year: 2016
Language: English
Pages: 626
Tags: Computational Intelligence; Quantitative Finance; Quality Control, Reliability, Safety and Risk
Front Matter....Pages i-xi
Front Matter....Pages 1-1
Validating Markov Switching VAR Through Spectral Representations....Pages 3-15
Rapid Optimal Lag Order Detection and Parameter Estimation of Standard Long Memory Time Series....Pages 17-28
Spatial Econometric Analysis: Potential Contribution to the Economic Analysis of Smallholder Development....Pages 29-55
Consistent Re-Calibration in Yield Curve Modeling: An Example....Pages 57-82
Autoregressive Conditional Duration Model with an Extended Weibull Error Distribution....Pages 83-107
Across-the-Board Spending Cuts Are Very Inefficient: A Proof....Pages 109-118
Invariance Explains Multiplicative and Exponential Skedactic Functions....Pages 119-131
Why Some Families of Probability Distributions Are Practically Efficient: A Symmetry-Based Explanation ....Pages 133-152
The Multivariate Extended Skew Normal Distribution and Its Quadratic Forms....Pages 153-169
Multiple Copula Regression Function and Directional Dependence Under Multivariate Non-exchangeable Copulas....Pages 171-184
On Consistency of Estimators Based on Random Set Vector Observations....Pages 185-198
Brief Introduction to Causal Compositional Models....Pages 199-211
A New Proposal to Predict Corporate Bankruptcy in Italy During the 2008 Economic Crisis....Pages 213-223
Front Matter....Pages 225-225
The Inflation Hedging Ability of Domestic Gold in Malaysia....Pages 227-241
To Determine the Key Factors for Citizen in Selecting a Clinic/Division in Thailand....Pages 243-254
ARIMA Versus Artificial Neural Network for Thailand’s Cassava Starch Export Forecasting....Pages 255-277
Copula Based Volatility Models and Extreme Value Theory for Portfolio Simulation with an Application to Asian Stock Markets....Pages 279-293
Modeling Dependence of Health Behaviors Using Copula-Based Bivariate Ordered Probit....Pages 295-306
Reinvestigating the Effect of Alcohol Consumption on Hypertension Disease....Pages 307-318
Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach....Pages 319-331
Front Matter....Pages 225-225
Analysis of Transmission and Co-Movement of Rice Export Prices Between Thailand and Vietnam....Pages 333-346
Modeling Co-Movement and Risk Management of Gold and Silver Spot Prices....Pages 347-362
Efficient Frontier of Global Healthcare Portfolios Using High Dimensions of Copula Models....Pages 363-372
Analyzing MSCI Global Healthcare Return and Volatility with Structural Change Based on Residual CUSUM GARCH Approach....Pages 373-383
Indicator Circuits with Incremental Clustering and Its Applications on Classification of Firm’s Performance and Detection of High-Yield Stocks in the Medium-Term....Pages 385-400
Nonlinear Estimations of Tourist Arrivals to Thailand: Forecasting Tourist Arrivals by Using SETAR Models and STAR Models....Pages 401-413
Dependence Between Volatility of Stock Price Index Returns and Volatility of Exchange Rate Returns Under QE Programs: Case Studies of Thailand and Singapore....Pages 415-435
Seemingly Unrelated Regression Based Copula: An Application on Thai Rice Market....Pages 437-450
Price Transmission Mechanism in the Thai Rice Market....Pages 451-461
Empirical Relationship Among Money, Output and Prices in Thailand....Pages 463-479
The Causal Relationship between Government Opinions and Chinese Stock Market in Social Media Era....Pages 481-493
Firm Efficiency in Thailand’s Telecommunication Industry: Application of the Stochastic Frontier Model with Dependence in Time and Error Components....Pages 495-505
Macroeconomic Factors Affecting the Growth Rate of FDI of AEC Member Countries Using Panel Quantile Regression....Pages 507-514
Does Economic Growth Help Reducing Poverty? A Case of Thailand in Recent Data....Pages 515-524
Effect of Quantitative Easing on ASEAN-5 Financial Markets....Pages 525-543
Dependence Structure of and Co-Movement Between Thai Currency and International Currencies After Introduction of Quantitative Easing....Pages 545-564
Analyzing Financial Risk and Co-Movement of Gold Market, and Indonesian, Philippine, and Thailand Stock Markets: Dynamic Copula with Markov-Switching....Pages 565-586
Factors Affecting Consumers’ Willingness to Purchase Telehomecare Products....Pages 587-601
Productivity Convergence in Vietnamese Manufacturing Industry: Evidence Using a Spatial Durbin Model....Pages 603-619
Rural Bank Development and PovertyReduction in Indonesia: Evidence from Panel Co-Integration and Causality Tests....Pages 621-635
Back Matter....Pages 637-638
