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Table of Contents
Intro; Preface; Contents; Contributors; 1 Spatial Analysis of Research-Productivity Nexus: A Case of Thai Rice Sector; 1.1 Introduction; 1.2 Literature Review; 1.3 Methodology and Estimation Techniques; 1.4 Variables and Data Description; 1.5 Results and Discussion; 1.6 Conclusion; References; 2 Application of Thermodynamics Entropy Concept in Financial Markets; 2.1 Introduction; 2.2 Concept of Entropy in Economics Systems; 2.3 Interpretation of Entropy in Finance; 2.4 Entropy and Maximization; 2.5 Construction of Entropy-Based Risk Measure; 2.6 Conclusion; References.
3 Economic and Business Cycle of India: Evidence from ICT Sector3.1 Introduction; 3.2 Literature Review; 3.3 Theoretical Concept and Methodology; 3.3.1 Business Cycle Features; 3.3.2 Bayesian Statistics; 3.3.3 The ADF Unit Root Test Based on Bayesian Inference; 3.4 The Markov-Switching Bayesian Model; 3.5 The Bayesian Vector Autoregressive Model; 3.6 The Regression Version of Bayesian Inference for Economic Multipliers; 3.7 Empirical Results; 3.8 Conclusion; References; 4 Patents and R & D Cartels; 4.1 Introduction; 4.2 Cournot Competition; 4.3 R & D Cartel; 4.4 Concluding Remarks; References.
5 A Mean-Variance Analysis of the Global Minimum Variance Portfolio Constructed Using the CARBS Indices5.1 Introduction; 5.2 Literature Review; 5.3 Portfolio Theory: Matrix Algebra; 5.4 The Dataset; 5.4.1 Graphical Analysis; 5.4.2 Descriptive Statistics; 5.5 Empirical Results; 5.5.1 Mean-Variance Approach; 5.5.2 Risk Measurement in the CAPM Framework; 5.6 Conclusion; References; 6 Univariate and Multivariate GARCH Models Applied to the CARBS Indices; 6.1 Introduction; 6.2 Literature Review; 6.3 Univatiate GARCH Models; 6.3.1 Standard GARCH Model; 6.3.2 GJR-GARCH Model.
6.3.3 The Exponential GARCH (EGARCH) Model6.3.4 Information Criterion; 6.4 Multivariate GARCH Models; 6.4.1 GO-GARCH; 6.4.2 DCC-GARCH; 6.5 Graphical Analysis; 6.6 Empirical Results; 6.6.1 Univariate GARCH Models; 6.6.2 Multivariate GARCH Models; 6.7 Conclusion; References; 7 Value-At-Risk Forecasting of the CARBS Indices; 7.1 Introduction; 7.2 Literature Review; 7.3 Methodology; 7.3.1 Value-At-Risk (VaR); 7.3.2 Forecasting from a GARCH Model; 7.3.3 Forecast Performance Measures; 7.4 Empirical Results; 7.4.1 Forecasting Volatility; 7.4.2 Forecasting VaR; 7.5 Conclusion; References.
8 A Vector Error Correction Model (VECM) of FTSE/JSE SA Listed Property Index and FTSE/JSE SA Capped Property Index8.1 Introduction; 8.2 Data Specification and Methodology; 8.3 Results; 8.3.1 FTSE/JSE SA Listed Property Index (FTJ253); 8.3.2 FTSE/JSE SA Capped Property Index (FTJ254); 8.4 Conclusion; References; 9 Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market; 9.1 Introduction; 9.2 Measuring Liquidity/Illiquidity Using Intraday Data; 9.2.1 Selected Spread Proxies Derived from Intraday Data; 9.2.2 Trade Side Classification Algorithm.
3 Economic and Business Cycle of India: Evidence from ICT Sector3.1 Introduction; 3.2 Literature Review; 3.3 Theoretical Concept and Methodology; 3.3.1 Business Cycle Features; 3.3.2 Bayesian Statistics; 3.3.3 The ADF Unit Root Test Based on Bayesian Inference; 3.4 The Markov-Switching Bayesian Model; 3.5 The Bayesian Vector Autoregressive Model; 3.6 The Regression Version of Bayesian Inference for Economic Multipliers; 3.7 Empirical Results; 3.8 Conclusion; References; 4 Patents and R & D Cartels; 4.1 Introduction; 4.2 Cournot Competition; 4.3 R & D Cartel; 4.4 Concluding Remarks; References.
5 A Mean-Variance Analysis of the Global Minimum Variance Portfolio Constructed Using the CARBS Indices5.1 Introduction; 5.2 Literature Review; 5.3 Portfolio Theory: Matrix Algebra; 5.4 The Dataset; 5.4.1 Graphical Analysis; 5.4.2 Descriptive Statistics; 5.5 Empirical Results; 5.5.1 Mean-Variance Approach; 5.5.2 Risk Measurement in the CAPM Framework; 5.6 Conclusion; References; 6 Univariate and Multivariate GARCH Models Applied to the CARBS Indices; 6.1 Introduction; 6.2 Literature Review; 6.3 Univatiate GARCH Models; 6.3.1 Standard GARCH Model; 6.3.2 GJR-GARCH Model.
6.3.3 The Exponential GARCH (EGARCH) Model6.3.4 Information Criterion; 6.4 Multivariate GARCH Models; 6.4.1 GO-GARCH; 6.4.2 DCC-GARCH; 6.5 Graphical Analysis; 6.6 Empirical Results; 6.6.1 Univariate GARCH Models; 6.6.2 Multivariate GARCH Models; 6.7 Conclusion; References; 7 Value-At-Risk Forecasting of the CARBS Indices; 7.1 Introduction; 7.2 Literature Review; 7.3 Methodology; 7.3.1 Value-At-Risk (VaR); 7.3.2 Forecasting from a GARCH Model; 7.3.3 Forecast Performance Measures; 7.4 Empirical Results; 7.4.1 Forecasting Volatility; 7.4.2 Forecasting VaR; 7.5 Conclusion; References.
8 A Vector Error Correction Model (VECM) of FTSE/JSE SA Listed Property Index and FTSE/JSE SA Capped Property Index8.1 Introduction; 8.2 Data Specification and Methodology; 8.3 Results; 8.3.1 FTSE/JSE SA Listed Property Index (FTJ253); 8.3.2 FTSE/JSE SA Capped Property Index (FTJ254); 8.4 Conclusion; References; 9 Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market; 9.1 Introduction; 9.2 Measuring Liquidity/Illiquidity Using Intraday Data; 9.2.1 Selected Spread Proxies Derived from Intraday Data; 9.2.2 Trade Side Classification Algorithm.