A copula-based stochastic frontier model for financial pricing

• المؤلفون الرئيسيون: Phachongchit Tibprasorn, Kittawit Autchariyapanitkul, Somsak Chaniam, Songsak Sriboonchitta
• التنسيق: وقائع المؤتمر
• منشور في: 2018
• الموضوعات: Agricultural and Biological Sciences
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951194376&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/44634

© 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...