期刊名称：Journal of Knowledge Management, Economics and Information Technology
印刷版ISSN：2069-5934
出版年度：2011
卷号：1
期号：6
出版社：ScientificPapers.org
摘要：The objectives of this study are to find the fitting model and dependence measures of both Thailand’s exchange rate and Malaysia’s exchange rate during, between, and after the World’s recent financial crises based on linear, nonlinear and empirical copula approaches. The results of the study confirm that the nonlinear model (NNTs) is an appropriate model for Thailand’s exchange rate return in percentage during the periods of 2008-2011but not for Malaysia’s exchange rate return. Based on empirical copula approach, the dependence measures are very small between Thailand’s exchange and Malaysia’s exchange. This seems to suggest that when global economy is affected by World’s financial crisis, the nonlinear approach should be used to predict Thailand’s exchange rate return in percentage. In addition, it suggests that both the nonlinear and linear approaches should be used to predict the Malaysia’s exchange rate return in percentage. Moreover, the relationship between the exchange rate of Thailand and that of Malaysia is not strong. This is also true for the currencies of both countries.
关键词：Linear; Nonlinear; Copulas; Exchange Rate; Thailand; Malaysia The Appropriate Forecasting Model
