{"id":"https://openalex.org/W2772908867","doi":"https://doi.org/10.1007/978-3-319-70942-0_32","title":"A Portfolio Optimization Between US Dollar Index and Some Asian Currencies with a Copula-EGARCH Approach","display_name":"A Portfolio Optimization Between US Dollar Index and Some Asian Currencies with a Copula-EGARCH Approach","publication_year":2017,"publication_date":"2017-12-01","ids":{"openalex":"https://openalex.org/W2772908867","doi":"https://doi.org/10.1007/978-3-319-70942-0_32","mag":"2772908867"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-319-70942-0_32","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-70942-0_32","pdf_url":null,"source":{"id":"https://openalex.org/S2764461748","display_name":"Studies in computational intelligence","issn_l":"1860-949X","issn":["1860-949X","1860-9503"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Studies in Computational Intelligence","raw_type":"book-chapter"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5005348895","display_name":"Ma Ji","orcid":"https://orcid.org/0000-0001-9190-6833"},"institutions":[{"id":"https://openalex.org/I4210125520","display_name":"Yunnan Academy of Agricultural Sciences","ror":"https://ror.org/02z2d6373","country_code":"CN","type":"facility","lineage":["https://openalex.org/I4210125520"]},{"id":"https://openalex.org/I4210126913","display_name":"Shandong Academy of Social Sciences","ror":"https://ror.org/02p3rg563","country_code":"CN","type":"facility","lineage":["https://openalex.org/I114218197","https://openalex.org/I4210126913"]},{"id":"https://openalex.org/I48076826","display_name":"Chiang Mai University","ror":"https://ror.org/05m2fqn25","country_code":"TH","type":"education","lineage":["https://openalex.org/I48076826"]}],"countries":["CN","TH"],"is_corresponding":false,"raw_author_name":"Ji Ma","raw_affiliation_strings":["Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","Yunnan Academy of Social Sciences, Kunming, 650031, China","Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand","Yunnan Academy of Social Sciences, Kunming, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Yunnan Academy of Social Sciences, Kunming, 650031, China","institution_ids":["https://openalex.org/I4210125520"]},{"raw_affiliation_string":"Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Yunnan Academy of Social Sciences, Kunming, China","institution_ids":["https://openalex.org/I4210126913"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068343244","display_name":"Jianxu Liu","orcid":null},"institutions":[{"id":"https://openalex.org/I48076826","display_name":"Chiang Mai University","ror":"https://ror.org/05m2fqn25","country_code":"TH","type":"education","lineage":["https://openalex.org/I48076826"]}],"countries":["TH"],"is_corresponding":true,"raw_author_name":"Jianxu Liu","raw_affiliation_strings":["Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, 50200, Thailand","Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand","Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, 50200, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5058887761","display_name":"Songsak Sriboonchitta","orcid":"https://orcid.org/0000-0002-3511-5452"},"institutions":[{"id":"https://openalex.org/I48076826","display_name":"Chiang Mai University","ror":"https://ror.org/05m2fqn25","country_code":"TH","type":"education","lineage":["https://openalex.org/I48076826"]}],"countries":["TH"],"is_corresponding":false,"raw_author_name":"Songsak Sriboonchitta","raw_affiliation_strings":["Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, 50200, Thailand","Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","International College, Chiang Mai University, Chiang Mai, Thailand","Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand","Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, 50200, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"International College, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5068343244"],"corresponding_institution_ids":["https://openalex.org/I48076826"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"443","last_page":"453"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9850000143051147,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9779000282287598,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.8500311374664307},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6790531873703003},{"id":"https://openalex.org/keywords/bivariate-analysis","display_name":"Bivariate analysis","score":0.6596195101737976},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6482106447219849},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.6233352422714233},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5905181765556335},{"id":"https://openalex.org/keywords/liberian-dollar","display_name":"Liberian dollar","score":0.5787795186042786},{"id":"https://openalex.org/keywords/currency","display_name":"Currency","score":0.5689860582351685},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4434676766395569},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.29040414094924927},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2840922176837921},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.21674790978431702},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.10521337389945984},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.07504138350486755}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.8500311374664307},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6790531873703003},{"id":"https://openalex.org/C64341305","wikidata":"https://www.wikidata.org/wiki/Q4919225","display_name":"Bivariate analysis","level":2,"score":0.6596195101737976},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6482106447219849},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.6233352422714233},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5905181765556335},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.5787795186042786},{"id":"https://openalex.org/C141121606","wikidata":"https://www.wikidata.org/wiki/Q8142","display_name":"Currency","level":2,"score":0.5689860582351685},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4434676766395569},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.29040414094924927},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2840922176837921},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.21674790978431702},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.10521337389945984},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.07504138350486755}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-319-70942-0_32","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-70942-0_32","pdf_url":null,"source":{"id":"https://openalex.org/S2764461748","display_name":"Studies in computational intelligence","issn_l":"1860-949X","issn":["1860-949X","1860-9503"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Studies in Computational Intelligence","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Decent work and economic growth","score":0.4300000071525574,"id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W390686421","https://openalex.org/W1834081490","https://openalex.org/W1964166103","https://openalex.org/W1981595026","https://openalex.org/W1999603337","https://openalex.org/W1999814123","https://openalex.org/W2021923895","https://openalex.org/W2024214085","https://openalex.org/W2082854060","https://openalex.org/W2083125560","https://openalex.org/W2087764735","https://openalex.org/W2092627469","https://openalex.org/W2101323243","https://openalex.org/W2163119903","https://openalex.org/W2163848528","https://openalex.org/W2169611663","https://openalex.org/W2407566760","https://openalex.org/W2460903984","https://openalex.org/W2527249581","https://openalex.org/W3124901277"],"related_works":["https://openalex.org/W2990837948","https://openalex.org/W3127236696","https://openalex.org/W2202466617","https://openalex.org/W2080551413","https://openalex.org/W2756923888","https://openalex.org/W2767176313","https://openalex.org/W4287838929","https://openalex.org/W2359012312","https://openalex.org/W2800558361","https://openalex.org/W3177005804"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-07-27T08:26:11.824852","created_date":"2025-10-10T00:00:00"}
