Stochastic frontier model in financial econometrics: A copula-based approach

© Springer International Publishing AG 2017. This study applies the principle of stochastic frontier model (SFM) to calculate the optimal frontier of the stock prices in a stock market. We use copula to measure dependence between the error terms in SFM by examining several stocks in Down Jones indus...

Full description

Saved in:
Bibliographic Details
Main Authors: Tibprasorn P., Autchariyapanitkul K., Sriboonchitta S.
Format: Book Series
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012887682&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/40797
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Chiang Mai University
Be the first to leave a comment!
You must be logged in first