A copula-based stochastic frontier model for financial pricing
© Springer International Publishing Switzerland 2015. We use the concept of a stochastic frontier in production to analyses the problem of pricing in stock markets. By modifying the classical stochastic frontier model to accommodate for errors dependency, using copulas, we show that our extended sto...
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| Main Authors: | , , , |
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| Format: | Conference Proceeding |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951194376&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44634 |
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| Institution: | Chiang Mai University |