Conditional stochastic dominance tests in dynamic settings
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- Jesus Gonzalo & Jose Olmo, 2014. "Conditional Stochastic Dominance Tests In Dynamic Settings," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55, pages 819-838, August.
- Olmo, José & Gonzalo, Jesús, 2013. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1205, Universidad Carlos III de Madrid. Departamento de Economía.
References listed on IDEAS
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- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020.
"Spanning tests for Markowitz stochastic dominance,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Papers 1810.10800, arXiv.org.
- Stelios Arvanitis & Nikolas Topaloglou, 2015. "Consistent tests for risk seeking behavior: A stochastic dominance approach," Working Papers 201511, Athens University Of Economics and Business, Department of Economics.
- E. Agliardi & M. Pinar & T. Stengos, 2014. "Assessing temporal trends and industry contributions to air and water pollution using stochastic dominance," Working Papers wp981, Dipartimento Scienze Economiche, Universita' di Bologna.
- Ng, Pin & Wong, Wing-Keung & Xiao, Zhijie, 2017. "Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency," European Journal of Operational Research, Elsevier, vol. 261(2), pages 666-678.
- Linton, O. & Seo, M. & Whang, Y-J., 2020. "Testing Stochastic Dominance with Many Conditioning Variables," Cambridge Working Papers in Economics 2004, Faculty of Economics, University of Cambridge.
- Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012. "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 741-761.
- Olmo, José & Sanso-Navarro, Marcos, 2012. "Forecasting the performance of hedge fund styles," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2351-2365.
- Arvanitis, Stelios & Topaloglou, Nikolas, 2017. "Testing for prospect and Markowitz stochastic dominance efficiency," Journal of Econometrics, Elsevier, vol. 198(2), pages 253-270.
- Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2020. "On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 415-427.
More about this item
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2010-12-04 (Econometrics)
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