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    The Halloween effect and other seasonal anomalies in the energy sector of the stock exchange of Thailand 

    Ploy Tang-u-thaisuk; Witsaroot Pariyaprasert; Ekkachai Boonchuaymetta (Assumption University Press, 2018)

    This research aims to explore the existence of three well - known seasonal anomalies – the January Effect, the April Effect, and the Halloween Eff ect – as pertains to monthly returns as well as to volatility. Effects on returns and volatility will further be studied within the SET Energy index as well as 9 selected energy stocks from the period April 2005 to July 2016. The objective of this study is to find seasonality hidden within the above Index and stocks, and establish a simple trading strategy to ...
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    Value at risk performance in cryptocurrencies 

    Danai Likitratcharoen; Teerasak Na Ranong; Ratikorn Chuengsuksomboon; Norrasate Sritanee; Ariyapong Pansriwong (Assumption University Press, 2018)

    Due to conclusion could not rely on only one test, in this study, we apply various approaches to verify the actuary of VaR model to find out whether VaR model, especially historical VaR and delta normal VaR model, can provide the accura te risk measurement results for cryptocurrencies risk , especially CRIX, BTC, ETH and XRP . We use Kupiec’s POF test, Independence Test - Christoffersen (1998) and Joint Test that widely use for backtesting VaR model. Performance test results for risk measurem ent by...
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    ธีรพงศ์ จันศิริ SUSTAINABILITY 

    Unknown author (ABACA Profile Magazine, 2014-Octob)
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    เกษสุดา ไรวา Vision for Thai's Food Industry 

    Unknown author (ABACA Profile Magazine, 2015-May-J)
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