Nuttanan Wichitaksorn

Auckland University of Technology

AUT City Campus

Private Bag 92006

Auckland, 1142

New Zealand

SCHOLARLY PAPERS

8

DOWNLOADS

737

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Estimation of Bivariate Copula-Based Seemingly Unrelated Tobit Models

Number of pages: 28 Posted: 02 Aug 2012
Nuttanan Wichitaksorn
Auckland University of Technology
Downloads 233 (156,178)
Citation 2

Abstract:

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Markov chain Monte Carlo, Data augmentation, U.S. medical expenses, Thai wage earnings income

2.

A Generalized Class of Skew Distributions and Parametric Quantile Regression Models

Number of pages: 43 Posted: 02 Aug 2012 Last Revised: 20 Sep 2012
Nuttanan Wichitaksorn
Auckland University of Technology
Downloads 206 (175,567)
Citation 1

Abstract:

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Skew Distributions, Mixture of Scaled Normals, Parametric Quantile Regression, Markov Chain Monte Carlo, Capital Asset Pricing Model

3.

Efficient Estimation of Some Elliptical Copula Regression Models through Scale Mixtures of Normal

Number of pages: 49 Posted: 07 Aug 2012
Nuttanan Wichitaksorn, Richard H. Gerlach and Boris Choy
Auckland University of Technology, University of Sydney and University of Sydney Business School
Downloads 135 (251,931)

Abstract:

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Elliptical Copulas, Scale Mixtures of Normal, Markov Chain Monte Carlo, Capital Asset Pricing Model, Seemingly Unrelated Tobit Model

4.

Bayesian Parallel Computation for Intractable Likelihood Using Griddy-Gibbs Sampler

Number of pages: 13 Posted: 05 Dec 2013
Nuttanan Wichitaksorn and Boris Choy
Auckland University of Technology and University of Sydney Business School
Downloads 101 (310,276)

Abstract:

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Bayesian analysis, Griddy Gibbs, Parallel computing, Markov chain Monte Carlo

5.

Analyzing Multiple Vector Autoregressions Through Matrix-Variate Normal Distribution with Two Covariance Matrices

Number of pages: 27 Posted: 09 Nov 2017
Nuttanan Wichitaksorn
Auckland University of Technology
Downloads 23 (589,672)

Abstract:

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Markov chain Monte Carlo, Multivariate analysis, Matrix-variate normal distribution, Autoregression

6.

Analyzing and Forecasting Thai Macroeconomic Data Using Mixed-Frequency Approach

Number of pages: 36 Posted: 08 Feb 2021
Nuttanan Wichitaksorn
Auckland University of Technology
Downloads 18 (622,975)

Abstract:

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Thai macroeconomic data, mixed-frequency, forecasting, vector autoregression, COVID-19

7.

Modeling Stock Returns Using Asymmetric Garch-Icapm with Mixture and Heavy-Tailed Distributions: An Application to COVID-19 Pandemic Forecasts

Number of pages: 45 Posted: 29 Mar 2021
Rewat Khanthaporn and Nuttanan Wichitaksorn
Auckland University of Technology and Auckland University of Technology
Downloads 11 (673,107)

Abstract:

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COVID-19 pandemic, asymmetric GARCH, ICAPM, mixture distribution, generalized Pareto distribution, Markov chain Monte Carlo

8.

Analyzing and Forecasting Electricity Price using Regime-Switching Models: The Case of New Zealand Market

Number of pages: 40 Posted: 12 Mar 2021
Gaurav Kapoor, Nuttanan Wichitaksorn and Wenjun Zhang
Auckland University of Technology, Auckland University of Technology and Auckland University of Technology
Downloads 10 (680,369)

Abstract:

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Electricity price forecasting, New Zealand electricity market, Markov regime-switching model, Extreme value theory, Generalized Pareto distribution