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首页> 外文会议>International Conference on Applied Economics >The Dependence Structure and Co-movement toward between Thai's Currency and Malaysian's Currency: Markov Switching Model in Dynamic Copula Approach (MSDC).
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The Dependence Structure and Co-movement toward between Thai's Currency and Malaysian's Currency: Markov Switching Model in Dynamic Copula Approach (MSDC).

机译：依赖结构与泰国货币与马来西亚货币之间的合作：动态Copula方法中的Markov交换模型（MSDC）。

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摘要

The international finance modelling of AEC's currencies have to be investigated more on copula approach that tests as a standard tool in financial modelling. Probabilistic capability and exposure density function are looking how to obtain empirical data for the econometric modelling of time series for financial problems. A unique question for opportunity to study this issue in the financial field is how accurate are the predictions of Markov Switching Model in Dynamic Copula approach (MSDC) algorithm. Dependent structure and co-movement between which cover available daily data during the period 2006-2013 of currencies both Thai Baht (THB) and Malaysian Ringgit (MYR) were investigated. The model selection based on AIC and BIC confirmed that the Elliptical copula fitted for those currencies appreciated value to against the US dollar. The model selection based on AIC and BIC indicated that the Elliptical copula fitted for those currencies depreciated value to against the US dollar. The overall benefit is to give the applied researchers knowledge and information which researchers can understand and apply to obtain confirmation a new reliable knowledge of MSDC and protect the wealth of money market and safety every working day.
机译：必须更多地调查AEC货币的国际金融建模，以便在Copula方法中进行更多，该方法作为金融建模中的标准工具测试。概率能力和曝光密度函数正在寻找如何获得经济学序列的经济型号的经验数据进行财务问题。在金融领域研究这个问题的机会是一个独特的问题，是动态Copula方法（MSDC）算法中马尔可夫交换模型的预测。研究了在2006 - 2013年期间的每日数据之间的依赖结构和合作，调查了泰铢（THB）和马来西亚林吉特（MYR）。基于AIC和BIC的模型选择证实了为这些货币安装的椭圆形Copula赞赏对美元的价值。基于AIC和BIC的模型选择表明，椭圆形Copula适用于这些货币折旧对美元的价值。整体福利是给予应用的研究人员的知识和信息，研究人员可以理解并适用，以获得对MSDC的新可靠知识并保护每一个工作日的金钱市场的财富和安全。

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