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A Copula-Based Stochastic Frontier Model for Financial Pricing

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Integrated Uncertainty in Knowledge Modelling and Decision Making (IUKM 2015)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 9376))

Abstract

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.

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Author information

Authors and Affiliations

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

    Phachongchit Tibprasorn & Songsak Sriboonchitta

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

    Kittawit Autchariyapanitkul

  3. Department of Mathematics, Faculty of Science, Chiang Mai University, Chiang Mai, Thailand

    Somsak Chaniam

Authors
  1. Phachongchit Tibprasorn
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  2. Kittawit Autchariyapanitkul
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  3. Somsak Chaniam
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  4. Songsak Sriboonchitta
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Corresponding author

Correspondence to Kittawit Autchariyapanitkul .

Editor information

Editors and Affiliations

  1. Science and Technology, Japan Advanced Institute of, Nomi, Japan

    Van-Nam Huynh

  2. Science, Dept of Systems Innovation, Osaka University,Graduate School of, Osaka, Japan

    Masahiro Inuiguchi

  3. Université de Technologie de Compiègne, Compiègne, France

    Thierry Demoeux

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Tibprasorn, P., Autchariyapanitkul, K., Chaniam, S., Sriboonchitta, S. (2015). A Copula-Based Stochastic Frontier Model for Financial Pricing. In: Huynh, VN., Inuiguchi, M., Demoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2015. Lecture Notes in Computer Science(), vol 9376. Springer, Cham. https://doi.org/10.1007/978-3-319-25135-6_15

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  • DOI: https://doi.org/10.1007/978-3-319-25135-6_15

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-25134-9

  • Online ISBN: 978-3-319-25135-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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