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 indus...

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Main Authors:	P. Tibprasorn, K. Autchariyapanitkul, S. Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Computer Science
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012887682&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57124
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-57124
record_format	dspace
spelling	th-cmuir.6653943832-571242018-09-05T03:35:16Z Stochastic frontier model in financial econometrics: A copula-based approach P. Tibprasorn K. Autchariyapanitkul S. Sriboonchitta Computer Science © 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. 2018-09-05T03:35:16Z 2018-09-05T03:35:16Z 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/6653943832/57124
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science
spellingShingle	Computer Science 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/6653943832/57124
_version_	1681424820096466944

Stochastic frontier model in financial econometrics: A copula-based approach

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