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

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Book cover Robustness in Econometrics

Part of the book series: Studies in Computational Intelligence ((SCI,volume 692))

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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Author information

Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, 52000, Thailand

    P. Tibprasorn & S. Sriboonchitta

  2. Faculty of Economics, Maejo University, Chiang Mai, 50290, Thailand

    K. Autchariyapanitkul

Authors
  1. P. Tibprasorn
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  2. K. Autchariyapanitkul
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  3. S. Sriboonchitta
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Corresponding author

Correspondence to K. Autchariyapanitkul .

Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso Department of Computer Science, El Paso, TX, USA

    Vladik Kreinovich

  2. Faculty of Economics, Chiang Mai University Faculty of Economics, Chiang Mai, Thailand

    Songsak Sriboonchitta

  3. Japan Adv. Inst. of Sci. & Tech. (JAIST) , Ishikawa, Japan

    Van-Nam Huynh

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Tibprasorn, P., Autchariyapanitkul, K., Sriboonchitta, S. (2017). Stochastic Frontier Model in Financial Econometrics: A Copula-Based Approach. In: Kreinovich, V., Sriboonchitta, S., Huynh, VN. (eds) Robustness in Econometrics. Studies in Computational Intelligence, vol 692. Springer, Cham. https://doi.org/10.1007/978-3-319-50742-2_35

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

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-50741-5

  • Online ISBN: 978-3-319-50742-2

  • eBook Packages: EngineeringEngineering (R0)

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