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題名：Modeling Volatility and Interdependencies of Thai Rubber Spot Price Return with Climatic Factors, Exchange Rate and Crude Oil Markets
書刊名：財金論文叢刊
作者：Sang, Wei Chen／Sriboonchitta, Songsak／Rahman, Sanzidur／Huang, Wan Tran／Wiboonpongse, Aree
出版日期：2012
卷期：16
頁次：頁1-20
主題關鍵詞：Thai rubber spot price return；Climatic factors；Crude oil index return；Dollar index return；VARMA-GARCH；VARMA-AGARCH model；Copula-based GARCH model
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:31
Thailand is a leading producer and exporter of rubber in the world market. The interdependencies and volatility of Thai rubber price return with climatic factors (precipitation and temperature), exchange rate, and crude oil market returns are determined in this paper. Vector autoregressive moving average process with generalized autoregressive conditional heteroscedasticity (VARMA-GARCH), VARMA with generalized autoregressive conditional heteroscedasticity (VARMA-AGARCH), and copula-based GARCH models were employed for the analyses. The results demonstrated the interdependencies of Thai rubber price return with dollar and crude oil returns as well as with crude oil return and climatic factors in the VARMA-AGARCH and the copula-based GARCH models, respectively. We conclude that the volatility of Thai rubber price return is linked with volatility in the exchange rate and crude oil markets as well as climatic factors. Thus, stakeholders in the rubber industry should consider movements in those markets when forecasting Thai rubber price returns. Using a set of robust approaches is also recommended to obtain a complete picture of the volatilities and interdependencies of the asset markets.
期刊論文
1.Ling, S.、McAleer, M.(2003)。Asymptotic Theory for a Vector ARMA-GARCH Model。Econometric Theory，19，278-308。  new window
2.Chang, C. -L.、McAleer, M.、Thansuchat, R.(2009)。Modeling Conditional Correlations for Risk Diversification in Crude Oil Market。Journal of Energy Markets，2(4)，1-23。  new window
3.Hooper, P.、Kohlagen, S. W.(1978)。The Effects of Floating Exchange Rate Uncertainty on the price and Volume of International Trade。Journal of International Economics，8，483-511。  new window
4.Kearney, C.(2000)。The determination and international transmission of stock market volatility。Global Finance Journal，11(1/2)，31-66。  new window
5.McAleer, M.、Hoti, S.、Chan, F.(2009)。Structure and asymptotic theory for multivariate asymmetric conditional volatility。Econometric Reviews，28，422-440。  new window
6.Patton, A. J.(2006)。Modeling asymmetric exchange rate dependence。International Economics Review，47(2)，527-556。  new window
7.Deheuvels, P.(1978)。Caractérisation complète des lois extremes multi variées ed de la convergence des type extrêmes。Publications de l'nstitut de Statistique derUniversité de Paris，23，1-36。  new window
8.DeGrauwe, P.(1988)。Exchange Rate Variability and the Slowdown in Growth of International Trade。IMF Staff Paper，35，63-84。  new window
9.Chang, C. L.、McAleer, M.、Tansuchat, R.(2010)。Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets。Energy Economics，32(6)，1445-1455。  new window
10.Mendelsohn, R.、Nordhaus, W.、Shaw, D.(1994)。The Impact of Global Warming on Agriculture: A Ricardian Analysis。American Economic Review，84，753-771。  new window
11.Masih, R.、Masih, A. M. M.(2001)。Long and short term dynamic causal transmission amongst international stock markets。Journal of International Money and Finance，20(4)，563-587。  new window
12.Theodossiou, P.、Lee, U.(1993)。Mean and volatility spillovers across major national stock markets: Further empirical evidence。The Journal of Financial Research，16(4)，337-350。  new window
13.Sklar, A.(1959)。Fonctions de répartition à n dimensions et leurs marges。Publications de 1'Institut de Statistique de 1'Universite de Paris，8，229-231。  new window
14.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis，24(2)，241-256。  new window
15.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
16.Hansen, Bruce E.(1994)。Autoregressive conditional density estimation。International Economic Review，35(3)，705-730。  new window
17.Doroodian, K.(1999)。Does Exchange Rate Volatility Deter International Trade in Developing Countries?。Journal of Asian Economics，10，465-474。  new window
會議論文
1.Meng, J. L.、Si, Ji Wen、Gong, Pu(2004)。A Dependence Study for Futures Markets with Copula。The Asian FA/TFA/FMA 2003/2004 Conference，(會議日期: 2004/07/14)。Taipei。  new window
2.Ninanussornkul, C.、Chang, C. -L.、McAleer, M.、Sriboonchitta, S.(2009)。Modeling the Volatility in Bond Prices in South-East Asia。International Conference on Finance and Accounting，(會議日期: 200905)。  new window
3.Ninanussornkul, C.、Boonyasana, P.、Sriwichailanphan, T.(2009)。Volatility and Volatility Spillovers in Crude Oil and Precious Metals Markets。International Conference on Finance and Accounting，(會議日期: 200905)。  new window
研究報告
1.Roncalli, T.、Bouy’e, E.、Durrleman, V.、Nikeghbali, A.、Riboulet, G(2001)。Copulas: an open filed for risk management。Credit Lyonnais。  new window
2.Hu, L.(2002)。Dependence Patterns across Financial Market: Methods and Evidence。Yale University。  new window
3.Bartram, S.、Taylor, S. J.、Wang, Y.-H.(2004)。The Euro and European Financials market dependence。Lancaster University：National Central University。  new window
圖書
1.Kaiser, H.、Drennen, T.(1993)。Agricultural Dimensions Global Climate Change。Delray Beach, FL：St. Lucie Press。  new window
2.Joe, H.(1997)。Multivariate Models and Dependence Concepts。London：Chapman and Hall。  new window
 
 
 
 
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