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Modeling Dependence with Copulas: Are Real Estates and Tourism Associated?

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Integrated Uncertainty in Knowledge Modelling and Decision Making (IUKM 2018)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 10758))

Abstract

Several families of copulas are considered in this study to illustrate the correlation between real estate–particularly hospitality real estate investment trust- and the tourism sector. In essence, this study uses Elliptical copulas and Archimedean copulas, and more recent classes, like extreme value copulas and mixed copulas to conduct the experiment. Under a specific data set, it is revealed that the classical classes of copulas i.e., Elliptical and Archimedean, are selected most often for illustrating the dependency, followed by the extreme value class, particularly the Husler-Reiss copula. However, surprisingly, the mixed copula is not entirely preferable for this data set.

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Acknowledgement

We are grateful for financial support from Centre of Excellence in Econometrics, Chiang Mai University and also thank to Mr. Woraphon Yamaka for helping us with code.

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Authors and Affiliations

  1. Centre of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand

    Roengchai Tansuchat & Paravee Maneejuk

  2. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Roengchai Tansuchat & Paravee Maneejuk

Authors
  1. Roengchai Tansuchat
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  2. Paravee Maneejuk
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Corresponding author

Correspondence to Roengchai Tansuchat .

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Editors and Affiliations

  1. Japan Advanced Institute of Science and Technology, Nomi, Japan

    Van-Nam Huynh

  2. Osaka University, Osaka, Japan

    Masahiro Inuiguchi

  3. Hanoi National University of Education, Hanoi, Vietnam

    Dang Hung Tran

  4. Université de Technologie de Compiègne, Compiègne, France

    Thierry Denoeux

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Tansuchat, R., Maneejuk, P. (2018). Modeling Dependence with Copulas: Are Real Estates and Tourism Associated?. In: Huynh, VN., Inuiguchi, M., Tran, D., Denoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2018. Lecture Notes in Computer Science(), vol 10758. Springer, Cham. https://doi.org/10.1007/978-3-319-75429-1_25

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  • DOI: https://doi.org/10.1007/978-3-319-75429-1_25

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-75428-4

  • Online ISBN: 978-3-319-75429-1

  • eBook Packages: Computer ScienceComputer Science (R0)

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