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 ind...

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Main Authors: P. Tibprasorn, K. Autchariyapanitkul, S. Sriboonchitta
Format: Book Series
Published: 2018
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Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012887682&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/46703
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Institution: Chiang Mai University
id th-cmuir.6653943832-46703
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spelling th-cmuir.6653943832-467032018-04-25T07:28:05Z Stochastic frontier model in financial econometrics: A copula-based approach P. Tibprasorn K. Autchariyapanitkul S. Sriboonchitta Agricultural and Biological Sciences � 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 industrial. The results show that our modified stochastic frontier model is more applicable for financial econometrics. Finally, we use AIC for model selection. 2018-04-25T06:59:41Z 2018-04-25T06:59:41Z 2017-02-01 Book Series 1860949X 2-s2.0-85012887682 10.1007/978-3-319-50742-2_35 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012887682&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46703
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
P. Tibprasorn
K. Autchariyapanitkul
S. Sriboonchitta
Stochastic frontier model in financial econometrics: A copula-based approach
description � 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 industrial. The results show that our modified stochastic frontier model is more applicable for financial econometrics. Finally, we use AIC for model selection.
format Book Series
author P. Tibprasorn
K. Autchariyapanitkul
S. Sriboonchitta
author_facet P. Tibprasorn
K. Autchariyapanitkul
S. Sriboonchitta
author_sort P. Tibprasorn
title Stochastic frontier model in financial econometrics: A copula-based approach
title_short Stochastic frontier model in financial econometrics: A copula-based approach
title_full Stochastic frontier model in financial econometrics: A copula-based approach
title_fullStr Stochastic frontier model in financial econometrics: A copula-based approach
title_full_unstemmed Stochastic frontier model in financial econometrics: A copula-based approach
title_sort stochastic frontier model in financial econometrics: a copula-based approach
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012887682&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/46703
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