A copula-based stochastic frontier model for financial pricing

• 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
• Institution: Chiang Mai University

© 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...