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

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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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Correspondence to K. Autchariyapanitkul .

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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

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