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Robust Estimation of Heckman Model Read chapter Read first chapter

2017 | OriginalPaper | Chapter

Stochastic Frontier Model in Financial Econometrics: A Copula-Based Approach

Authors : P. Tibprasorn, K. Autchariyapanitkul, S. Sriboonchitta

Published in: Robustness in Econometrics

Publisher: Springer International Publishing

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Abstract

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.

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Metadata
Title
Stochastic Frontier Model in Financial Econometrics: A Copula-Based Approach
Authors
P. Tibprasorn
K. Autchariyapanitkul
S. Sriboonchitta
Copyright Year
2017
Book
Robustness in Econometrics

Print ISBN: 978-3-319-50741-5

Electronic ISBN: 978-3-319-50742-2

Copyright Year: 2017

DOI
https://doi.org/10.1007/978-3-319-50742-2_35

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