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:	Phachongchit Tibprasorn, Kittawit Autchariyapanitkul, Somsak Chaniam, Songsak Sriboonchitta
Format:	Conference Proceeding
Published:	2018
Subjects:	Agricultural and Biological Sciences
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

id	th-cmuir.6653943832-44634
record_format	dspace
spelling	th-cmuir.6653943832-446342018-04-25T07:53:11Z A copula-based stochastic frontier model for financial pricing Phachongchit Tibprasorn Kittawit Autchariyapanitkul Somsak Chaniam Songsak Sriboonchitta Agricultural and Biological Sciences © 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 stochastic frontier model is more suitable for financial analyses. The validation is achieved by using AIC in our model selection problem. 2018-01-24T04:45:53Z 2018-01-24T04:45:53Z 2015-01-01 Conference Proceeding 03029743 2-s2.0-84951194376 10.1007/978-3-319-25135-6-15 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951194376&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44634
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Agricultural and Biological Sciences
spellingShingle	Agricultural and Biological Sciences Phachongchit Tibprasorn Kittawit Autchariyapanitkul Somsak Chaniam Songsak Sriboonchitta A copula-based stochastic frontier model for financial pricing
description	© 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 stochastic frontier model is more suitable for financial analyses. The validation is achieved by using AIC in our model selection problem.
format	Conference Proceeding
author	Phachongchit Tibprasorn Kittawit Autchariyapanitkul Somsak Chaniam Songsak Sriboonchitta
author_facet	Phachongchit Tibprasorn Kittawit Autchariyapanitkul Somsak Chaniam Songsak Sriboonchitta
author_sort	Phachongchit Tibprasorn
title	A copula-based stochastic frontier model for financial pricing
title_short	A copula-based stochastic frontier model for financial pricing
title_full	A copula-based stochastic frontier model for financial pricing
title_fullStr	A copula-based stochastic frontier model for financial pricing
title_full_unstemmed	A copula-based stochastic frontier model for financial pricing
title_sort	copula-based stochastic frontier model for financial pricing
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951194376&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44634
_version_	1681422595660972032

A copula-based stochastic frontier model for financial pricing

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