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• Part I. Theoretical Results.- Why Quantiles Are a Good Description of Volatility in Economics: A Pedagogical Explanation.- An Introduction to Stacking Regression for Economists.- Economics of Reciprocity and Temptation.- The Most Infamous Coronavirus Forecast.- How to Efficiently Store Intermediate Results in Quantum Computing: Theoretical Explanation of the Current Algorithm.- Decompositions in quantum mechanics -
• an overview.- A First Look at Quantum Conditional Events for Economics.- Quantum-like Modeling: Projection Postulate and Quantum Nonlocality.- New paradigm of economic thinking under uncertainty.- Reward for Good Performance Works Better Than Punishment for Mistakes: Economic Explanation.- The conjunction fallacy in quantum decision theory.- Predicting (Economic) Trends: Why Signature Method in Machine Learning.- Why Geometric Progression in Selecting the LASSO Parameter: A Theoretical Explanation.- How to Train A-to-B and B-to-A Neural Networks So That the Resulting Transformations Are (Almost) Exact Inverses.- Use Cases of Quantum Optimization for Finance.- Classical Optical Modelling of Social Sciences in a Bohr-Kantian Framework.- Classical Optical Modelling of the 'Prisoner's Dilemma' Game.- The probability of being better or worse off, and by how much, depending on experimental conditions with skew normal populations.- A Priori Procedure (APP) for Estimating the Scale Parameter in Gamma Populations for Known Shape.- Part II. Practical Applications.- Testing CAPM using Markov switching models: Application to ASEAN-6 stock markets.- A Bayesian Approach to Quantile Regression for Interval-Valued Data.- The Asymmetric Effect of Trade, Financial, and Political Globalization on Economic Development in ASEAN+3.- Interdependence of Macroeconomic Factors and Economic Growth in OECD Countries: Evidence Based on a Bayesian Panel VAR Model.- Economic Policy Uncertainty and Stock-Bond Correlations: Evidence from the Thailand Market.- Revisiting the Determinants of Thai Economic Growth: A mixed frequency approach.- A New Approach For Estimating Probability Density Function With Fuzzy Data.- An Application of Quantum Optimization with Fuzzy Inference System for Stock Index Futures Forecasting.- A Generalize Maximum Renyi Entropy Approach in Kink Regression Model.- How Does Economic Policy Uncertainty Affect Stock Market Returns: Evidence from a Markov-Switching Model with Mixture Distribution.- Analyzing the Influence of Transportation and Macroeconomic Determinants on Chinese Inbound Tourism: a Markov Switching Model Using Ridge and Lasso.- The Im
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This book describes state-of-the-art economic ideas and how these ideas can be (and are) used to make economic decision (in particular, to optimally allocate assets) and to gauge the results of different economic decisions (in particular, by using optimal transport methods). Special emphasis is paid to machine learning techniques (including deep learning) and to different aspects of quantum econometrics-when quantum physics and quantum computing models are techniques are applied to study economic phenomena. Applications range from more traditional economic areas to more non-traditional topics such as economic aspects of tourism, cryptocurrencies, telecommunication infrastructure, and pandemic. This book helps student to learn new techniques, practitioners to become better knowledgeable of the state-of-the-art econometric techniques, and researchers to further develop these important research directions .
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• Introduction.- Behavioral Predictive Modeling in Economics.- Conclusion.
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This book presents both methodological papers on and examples of applying behavioral predictive models to specific economic problems, with a focus on how to take into account people's behavior when making economic predictions. This is an important issue, since traditional economic models assumed that people make wise economic decisions based on a detailed rational analysis of all the relevant aspects. However, in reality - as Nobel Prize-winning research has shown - people have a limited ability to process information and, as a result, their decisions are not always optimal. Discussing the need for prediction-oriented statistical techniques, since many statistical methods currently used in economics focus more on model fitting and do not always lead to good predictions, the book is a valuable resource for researchers and students interested in the latest results and challenges and for practitioners wanting to learn how to use state-of-the-art techniques. .
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• Data in the 21st Century.- The Understanding of Dependent Structure and Co-Movement of World Stock Exchanges Under the Economic Cycle.- Macro-Econometric Forecasting for During Periods of Economic Cycle Using Bayesian Extreme Value Optimization Algorithm.- Generalize Weighted in Interval Data for Fitting a Vector Autoregressive Model.- Asymmetric Effect with Quantile Regression for Interval-valued Variables.- Emissions, Trade Openness, Urbanisation, and Income in Thailand: An Empirical Analysis.- Does Forecasting Benefit from Mixed-Frequency Data Sampling Model: The Evidence from Forecasting GDP Growth Using Financial Factor in Thailand.- How Better Are Predictive Models: Analysis on the Practically Important Example of Robust Interval Uncertainty.
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This book presents recent research on predictive econometrics and big data. Gathering edited papers presented at the 11th International Conference of the Thailand Econometric Society (TES2018), held in Chiang Mai, Thailand, on January 10-12, 2018, its main focus is on predictive techniques - which directly aim at predicting economic phenomena; and big data techniques - which enable us to handle the enormous amounts of data generated by modern computers in a reasonable time. The book also discusses the applications of more traditional statistical techniques to econometric problems. Econometrics is a branch of economics that employs mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. It is therefore important to develop data processing techniques that explicitly focus on prediction. The more data we have, the better our predictions will be. As such, these techniques are essential to our ability to process huge amounts of available data.
(source: Nielsen Book Data)

• Part I Keynote Addresses: Robust Estimation of Heckman Model.- Part II Fundamental Theory: Sequential Monte Carlo Sampling for State Space Models.- Robustness as a Criterion for Selecting a Probability Distribution Under Uncertainty.- Why Cannot We Have a Strongly Consistent Family of Skew Normal (and Higher Order) Distributions.- Econometric Models of Probabilistic Choice: Beyond McFadden's Formulas.- How to Explain Ubiquity of Constant Elasticity of Substitution (CES) Production and Utility Functions Without Explicitly Postulating CES.- How to Make Plausibility-Based Forecasting More Accurate.- Structural Breaks of CAPM-type Market Model with Heteroskedasticity and Quantile Regression.- Weighted Least Squares and Adaptive Least Squares: Further Empirical Evidence.- Prior-free probabilistic inference for econometricians.- Robustness in Forecasting Future Liabilities in Insurance.- On Conditioning in Multidimensional Probabilistic Models.- New Estimation Method for Mixture of Normal Distributions.- EM Estimation for Multivariate Skew Slash Distribution.- Constructions of multivariate copulas.- Plausibility regions on the skewness parameter of skew normal distributions based on inferential models.- International Yield Curve Prediction with Common Functional Principal Component Analysis.- An alternative to p-values in hypothesis testing with applications in model selection of stock price data.- Confidence Intervals for the Common Mean of Several Normal Populations.- A generalized information theoretical approach to Non-linear time series model.- Predictive recursion maximum likelihood of Threshold Autoregressive model.- A multivariate generalized FGM copulas and its application to multiple regression.- Part III Applications: Key Economic Sectors and Their Transitions: Analysis of World Input-Output Network.- Natural Resources, Financial Development and Sectoral Value Added in a Resource Based Economy.- Can bagging improve the forecasting performance of tourism demand models?.- The Role of Asian Credit Default Swap Index in Portfolio Risk Management.- Chinese outbound tourism demand to Singapore, Malaysia and Thailand destinations: A study of political events and holiday impacts.- Forecasting Asian Credit Default Swap spreads: A comparison of multi-regime models.- Forecasting Asian Credit Default Swap spreads: A comparison of multi-regime models.- Effect of Helmet Use on Severity of Head Injuries Using Doubly Robust Estimators.- Forecasting cash holding with cash deposit using time series approaches.- Forecasting GDP Growth in Thailand with Different Leading Indicators using MIDAS regression models.- Testing the Validity of Economic Growth Theories Using Copula-based Seemingly Unrelated Quantile Kink Regression.- Analysis of Global Competitiveness Using Copula-based Stochastic Frontier Kink Model.- Gravity model of trade with Linear Quantile Mixed Models approach.- Stochastic Frontier Model in Financial Econometrics: A Copula-based Approach.- Quantile Forecasting of PM10 Data in Korea based on Time Series Models.- Do We Have Robust GARCH Models under Different Mean Equations: Evidence from Exchange Rates of Thailand?.- Joint Determinants of Foreign Direct Investment (FDI) Inflow in Cambodia: A Panel Co-integration Approach.- The Visitors' Attitudes and Perceived Value toward Rural Regeneration Community Development of Taiwan.- Analyzing the contribution of ASEAN stock markets to systemic risk.- Estimating Efficiency of Stock Return with Interval Data.- The impact of extreme events on portfolio in financial risk management.- Foreign Direct Investment, Exports and Economic Growth in ASEAN Region: Empirical Analysis from Panel Data.- Author Index.
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This book presents recent research on robustness in econometrics. Robust data processing techniques - i.e., techniques that yield results minimally affected by outliers - and their applications to real-life economic and financial situations are the main focus of this book. The book also discusses applications of more traditional statistical techniques to econometric problems. Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. In day-by-day data, we often encounter outliers that do not reflect the long-term economic trends, e.g., unexpected and abrupt fluctuations. As such, it is important to develop robust data processing techniques that can accommodate these fluctuations.
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• Part I Fundamental Theory.- Part II Applications.
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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.
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• Part I. Keynote Paper
• Multi-level Conditional VaR Estimation in Dynamic Models / Christian Francq and Jean-Michel Zakoïan
• Part II. Fundamental Theory
• The Effects of Management and Provision Accounts on Hedge Fund Returns -- Part I: The HighWater Mark Scheme / Serge Darolles and Christian Gourieroux
• The Effects of Management and Provision Accounts on Hedge Fund Returns -- Part II: The Loss Carry Forward Scheme / Serge Darolles and Christian Gourieroux
• How to Detect Linear Dependence on the Copula Level? / Vladik Kreinovich, Hung T. Nguyen and Songsak Sriboonchitta
• An Innovative Financial Time Series Model: The Geometric Process Model / Jennifer S.K. Chan, Connie P.Y. Lam and S.T. Boris Choy
• Residual Based Cusum Test for Parameter Change in AR-GARCH Models / Sangyeol Lee and Jiyeon Lee
• Dependence and Association Concepts through Copulas / Zheng Wei, Tonghui Wang and Wararit Panichkitkosolkul
• Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models / Cathy W.S. Chen, Max Chen and Shu-Yu Chen
• Testing Dependencies in Term Structure of Interest Rates / Kian-Guan Lim
• Joint Distributions of Random Sets and Their Relation to Copulas / Bernhard Schmelzer
• Vine Copulas As a Way to Describe and Analyze Multi-Variate Dependence in Econometrics: Computational Motivation and Comparison with Bayesian Networks and Fuzzy Approaches / Songsak Sriboonchitta, Jianxu Liu, Vladik Kreinovich and Hung T. Nguyen
• Part III. Applications
• Extreme Value Copula Analysis of Dependences between Exchange Rates and Exports of Thailand / Chakorn Praprom and Songsak Sriboonchitta
• Analysis of Volatility of and Dependence between Exchange Rate and Inflation Rate in Lao People's Democratic Republic Using Copula-Based GARCH Approach / Tongvang Xiongtoua and Songsak Sriboonchitta
• Modeling Dependence of Accident-Related Outcomes Using Pair Copula Constructions for Discrete Data / Jirakom Sirisrisakulchai and Songsak Sriboonchitta
• Dependence Analysis of Exchange Rate and International Trade of Thailand: Application of Vine Copulas / Chakorn Praprom and Songsak Sriboonchitta
• A Vine Copula Approach for Analyzing Financial Risk and Co-movement of the Indonesian, Philippine and Thailand Stock Markets / Songsak Sriboonchitta, Jianxu Liu, Vladik Kreinovich and Hung T. Nguyen
• Studying Volatility and Dependency of Chinese Outbound Tourism Demand in Singapore, Malaysia, and Thailand: A Vine Copula Approach / Jianxu Liu, Songsak Sriboonchitta, Hung T. Nguyen and Vladik Kreinovich
• Vine Copula-Cross Entropy Evaluation of Dependence Structure and Financial Risk in Agricultural Commodity Index Returns / Songsak Sriboonchitta, Jianxu Liu and Aree Wiboonpongse
• A Study on Whether Economic Development and Urbanization of Areas Are Associated with Prevalence of Obesity in Chinese Adults: Findings from 2009 China Health and Nutrition Surveys / Jing Dai, Songsak Sriboonchitta, Cheng Zi and Yunjuan Yang
• Statistical Analysis of Political Cycles in Australian Stock Market Returns / S.T. Boris Choy and Celestine M. Bond
• Dependence Structure between Crude Oil, Soybeans, and Palm Oil in ASEAN Region: Energy and Food Security Context / Teera Kiatmanaroch and Songsak Sriboonchitta
• Copula Based GARCH Dependence Model of Chinese and Korean Tourist Arrivals to Thailand: Implications for Risk Management / Ornanong Puarattanaarunkorn and Songsak Sriboonchitta
• Analyzing Relationship between Tourist Arrivals from China and India to Thailand Using Copula Based GARCH and Seasonal Pattern / Ornanong Puarattanaarunkorn and Songsak Sriboonchitta
• Modeling Dependency in Tourist Arrivals to Thailand from China, Korea, and Japan Using Vine Copulas / Ornanong Puarattanaarunkorn and Songsak Sriboonchitta
• Relationship between Exchange Rates, Palm Oil Prices, and Crude Oil Prices: A Vine Copula Based GARCH Approach / Teera Kiatmanaroch and Songsak Sriboonchitta
• An Analysis of Interdependencies among Energy, Biofuel, and Agricultural Markets Using Vine Copula Model / Phattanan Boonyanuphong and Songsak Sriboonchitta
• An Analysis of Volatility and Dependence between Rubber Spot and Futures Prices Using Copula-Extreme Value Theory / Phattanan Boonyanuphong and Songsak Sriboonchitta
• Effect of Markets Temperature on Stock-Price: Monte Carlo Simulation on Spin Model / Arjaree Thongon, Songsak Sriboonchitta and Yongyut Laosiritaworn
• An Analysis of Relationship between Gold Price and U.S. Dollar Index by Using Bivariate Extreme Value Copulas / Mutita Kaewkheaw, Pisit Leeahtam and Chukiat Chaiboosri
• An Integration of Eco-Health One-Health Transdisciplinary Approach and Bayesian Belief Network / Chalisa Kallayanamitra, Pisit Leeahtam, Manoj Potapohn, Bruce A. Wilcox and Songsak Sriboonchitta
• Factors Affecting Hospital Stay Involving Drunk Driving and Non-Drunk Driving in Phuket, Thailand / Jirakom Sirisrisakulchai and Songsak Sriboonchitta
• How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model / Gong Xue and Songsak Sriboonchitta
• Co-movement of Prices of Energy and Agricultural Commodities in Biofuel Era: A Period-GARCH Copula Approach / Gong Xue and Songsak Sriboonchitta
• Wage Determination and Compensating Wage Differentials in the Informal Sector / Pisit Leeahtam, Supanika Leurcharusmee and Peerapat Jatukannyaprateep
• Optimal Combination of Energy Sources for Electricity Generation in Thailand with Lessons from Japan Using Maximum Entropy / Tatcha Sudtasan and Komsan Suriya
• Valuation of Interest Rate Derivatives under CSA Discounting / Amy R. Daniels, Coenraad C.A. Labuschagne and Theresa M. Offwood-le Roux
• Systemic Knowledge Synthesis for Product Recommendation / Yoshiteru Nakamori.

In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence, and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques -- developed for science and engineering -- to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence, and economic applications of these techniques. Most of these research developments are centered around the notion of a copula -- a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.

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.

• pt. I. Keynote Addresses
• On the State of the Art of Info-metrics / Amos Golan
• A Test for Strict Stationarity / Luiz Renato Lima, Breno Neri
• pt. II. Fundamental Theory
• Statistical Inference from Ill-known Data Using Belief Functions / Thierry Denœux
• Brief Introduction to Probabilistic Compositional Models / Radim Jiroušek
• Some Aspects of Information Theory in Gambling and Economics / Hai Q. Dinh
• Why Clayton and Gumbel Copulas: A Symmetry-Based Explanation / Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta
• Size Distortion in the Analysis of Volatility and Covolatility Effects / Christian Gourieroux, Joann Jasiak
• Maximum Entropy Test for Autoregressive Models / Sangyeol Lee, Siyun Park
• Choice of Copulas in Explaining Stock Market Contagion / Kian-Guan Lim
• A Bayesian Perspective on Mixed GARCH Models with Jumps / Cathy W.S. Chen, Edward M.H. Lin, Yi-Ru Lin
• Risk Measures and Asset Pricing Models with New Versions of Wang Transform / Baokun Li, Tonghui Wang, Weizhong Tian
• pt. III. Applications
• Purchasing Power Parity Puzzle and the Australian Dollar Real Exchange Rate / Khorshed Chowdhury
• An Empirical Analysis of Price Behavior of Natural Rubber Latex: A Case of Central Rubber Market Hat Yai, Songkhla, Thailand / Hari Sharma Neupane, Peter Calkins
• Trade Liberalisation, Labour Productivity Growth and Skilled Labour Complement: Evidence from the Thai Manufacturing Sector / Piyapong Sangkaew, Kankesu Jayanthakumaran
• Modeling Dependence Dynamics of Air Pollution: Time Series Analysis Using a Copula Based GARCH Type Model / He Zhanqiong, Songsak Sriboonchitta, Dai Jing
• Estimating Time-Varying Systematic Risk by Using Multivariate GARCH / Muttalath Kridsadarat
• Forecasting Using Nonlinear Long Memory Models with Artificial Neural Network Expansion / Chaleampong Kongcharoen
• Modeling Dependency of Crude oil Price and Agricultural Commodity Prices: A Pairwise Copulas Approach / Phattanan Boonyanuphong, Songsak Sriboonchitta, Chukiat Chaiboonsri
• Charitable Giving Behavior in Northeast Thailand and Mukdaharn Province: Multivariate Tobit Models / Jintanee Jintranun, Peter Calkins, Songsak Sriboonchitta
• Analysis of Volatility and Dependence between the Tourist Arrivals from China to Thailand and Singapore: A Copula-Based GARCH Approach / Jianxu Liu, Songsak Sriboonchitta
• A Quantile Regression Analysis of Price Transmission in Thai Rice Markets / Aree Wiboonpongse, Yaovarate Chaovanapoonphol, George E. Battese
• Analyzing Dependence Structure of Obesity and High Blood Pressure: A Copula Approach
• Jing Dai, Cheng Zi, Songsak Sriboonchitta, Zhanqiong He.

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.
(source: Nielsen Book Data)