Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/58539
Title: Generalize weighted in interval data for fitting a vector autoregressive model
Authors: Teerawut Teetranont
Woraphon Yamaka
Songsak Sriboonchitta
Keywords: Computer Science
Issue Date: 1-Jan-2018
Abstract: © Springer International Publishing AG 2018. This paper employ VAR model to analyse and investigate the relationship among oil, gold, and rubber prices. A convex combination approach is proposed to obtain appropriate value of the interval data in VAR model. The construction of interval VAR model based on the convex combination method for the analysis of their forecast performance are also introduced and discussed via the simulation study, as well as comparing the performance with conventional center method. To illustrate the usefulness of the proposed model, an empirical application on a weekly sample of commodity price is provided. The results show the performance of our proposed model and also provide some relationship between commodity prices.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037821108&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58539
ISSN: 1860949X
Appears in Collections:CMUL: Journal Articles

Files in This Item:
There are no files associated with this item.


Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.