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Published in:
2015 | OriginalPaper | Chapter
A Copula-Based Stochastic Frontier Model for Financial Pricing
Authors : Phachongchit Tibprasorn, Kittawit Autchariyapanitkul, Somsak Chaniam, Songsak Sriboonchitta
Published in: Integrated Uncertainty in Knowledge Modelling and Decision Making
Publisher: Springer International Publishing
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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.