IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Consistent Testing for Stochastic Dominance under General Sampling Schemes"

by Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window


  1. Guo, Dongmei & Hu, Yi & Wang, Shouyang & Zhao, Lin, 2016. "Comparing risks with reference points: A stochastic dominance approach," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 105-116.
  2. Maasoumi, Esfandiar & Eren, Ozkan, 2006. "The Information Basis of Matching with Propensity Score," Departmental Working Papers 0606, Southern Methodist University, Department of Economics.
  3. Clark, Ephraim & Jokung, Octave & Kassimatis, Konstantinos, 2011. "Making inefficient market indices efficient," European Journal of Operational Research, Elsevier, vol. 209(1), pages 83-93, February.
  4. Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2010. "An improved bootstrap test of stochastic dominance," Journal of Econometrics, Elsevier, vol. 154(2), pages 186-202, February.
  5. Gordon Anderson & Oliver Linton & Yoon-Jae Wang, 2009. "Non Parametric Estimation of a Polarization Measure," Working Papers tecipa-363, University of Toronto, Department of Economics.
  6. Vivek Dehejia & Marcel Voia, 2008. "International Income Comparisons and Location Choice: Methodology, Analysis, and Implications," Carleton Economic Papers 08-02, Carleton University, Department of Economics.
  7. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Tinbergen Institute Discussion Papers 15-056/III, Tinbergen Institute.
  8. Fong, Wai Mun, 2016. "Stochastic dominance and the omega ratio," Finance Research Letters, Elsevier, vol. 17(C), pages 7-9.
  9. Tukiainen, Janne, 2008. "Testing for common costs in the City of Helsinki bus transit auctions," International Journal of Industrial Organization, Elsevier, vol. 26(6), pages 1308-1322, November.
  10. Donald, Stephen G. & Hsu, Yu-Chin, 2014. "Estimation and inference for distribution functions and quantile functions in treatment effect models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 383-397.
  11. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010. "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, vol. 32(5), pages 979-986, September.
  12. Kim Chang Sik, 2009. "Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-27, September.
  13. Anissa Chaibi & Maria-Lenuta Ciupac-Ulici & Mircea-Cristian Gherman, 2014. "Do Recent Stochastic Tools Help to Better Understand Investors Preference and Asset Allocation?," Working Papers 2014-130, Department of Research, Ipag Business School.
  14. Emin Dinlersoz & Glenn MacDonald, 2009. "The Industry Life-Cycle of the Size Distribution of Firms," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(4), pages 648-667, October.
  15. Maasoumi, Esfandiar & Mahmoudi, Vahid, 2013. "Robust growth-equity decomposition of change in poverty: The case of Iran (2000–2009)," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 268-276.
  16. Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis, 2007. "Growth and convergence: A profile of distribution dynamics and mobility," Journal of Econometrics, Elsevier, vol. 136(2), pages 483-508, February.
  17. David M. Kaplan & Matt Goldman, 2013. "Comparing distributions by multiple testing across quantiles," Working Papers 13-19, Department of Economics, University of Missouri, revised Nov 2016.
  18. Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2015. "An environmental degradation index based on stochastic dominance," Empirical Economics, Springer, vol. 48(1), pages 439-459, February.
  19. Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Make Almost Stochastic Dominance really Almost," MPRA Paper 49745, University Library of Munich, Germany.
  20. Bahaji, Hamza & Aberkane, Salah, 2016. "How rational could VIX investing be?," Economic Modelling, Elsevier, vol. 58(C), pages 556-568.
  21. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
  22. Canepa, Alessandra & Ibnrubbian, Abdullah, 2014. "Does faith move stock markets? Evidence from Saudi Arabia," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 538-550.
  23. Khan, Shakeeb & Ponomareva, Maria & Tamer, Elie, 2016. "Identification of panel data models with endogenous censoring," Journal of Econometrics, Elsevier, vol. 194(1), pages 57-75.
  24. Maasoumi, Esfandiar & Pitts, M. Melinda & Wu, Ke, 2014. "The gap between the conditional wage distributions of incumbents and the newly hired employees: decomposition and uniform ordering," FRB Atlanta Working Paper 2014-22, Federal Reserve Bank of Atlanta.
  25. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  26. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
  27. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Documentos de Trabajo del ICAE 2013-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Aug 2013.
  28. Lean, Hooi-Hooi & Wong, Wing-Keung & Zhang, Xibin, 2008. "The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 30-48.
  29. Kim Huynh & David Jacho-Chávez & Robert Petrunia & Marcel Voia, 2015. "A nonparametric analysis of firm size, leverage and labour productivity distribution dynamics," Empirical Economics, Springer, vol. 48(1), pages 337-360, February.
  30. Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 1(1), pages 1-40, December.
  31. Lok, Thomas M. & Tabri, Rami V., 2015. "An Improved Bootstrap Test for Restricted Stochastic Dominance," Working Papers 2015-15, University of Sydney, School of Economics.
  32. Linton, Oliver, 2005. "Nonparametric Inference For Unbalanced Time Series Data," Econometric Theory, Cambridge University Press, vol. 21(01), pages 143-157, February.
  33. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
  34. Mohamed Khaled & Paul Makdissi & Myra Yazbeck, 2016. "Income-Related Health Transfers Principles and Orderings of Joint Distributions of Income and Health," Discussion Papers Series 574, School of Economics, University of Queensland, Australia.
  35. Grönqvist, Charlotta, 2009. "Empirical studies on the private value of Finnish patents," Scientific Monographs, Bank of Finland, number 2009_041.
  36. Lean, H.H. & McAleer, M.J. & Wong, W-K., 2010. "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Research Papers EI 2010-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  37. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 187-228.
  38. Oliver Linton & Kyungchui (Kevin) Song & Yoon-Jae Whang, 2008. "Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary," CeMMAP working papers CWP08/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  39. Lee, Tae-Hwy & Tu, Yundong & Ullah, Aman, 2014. "Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 196-210.
  40. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
  41. Sainan Jin & Valentina Corradi & Norman Swanson, 2015. "Robust Forecast Comparison," Departmental Working Papers 201502, Rutgers University, Department of Economics.
  42. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.
  43. Maasoumi, Esfandiar & Almas Heshmati, 2003. "Evaluating Dominance Ranking of PSID Incomes by various Household Attributes," Departmental Working Papers 0509, Southern Methodist University, Department of Economics.
  44. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
  45. Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007. "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 736-755, December.
  46. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities," Econometric Theory, Cambridge University Press, vol. 25(03), pages 669-709, June.
  47. Thuysbaert, Bram & Zitikis, Ricardas, 2005. "Consistent Testing for Poverty Dominance," WIDER Working Paper Series 064, World Institute for Development Economic Research (UNU-WIDER).
  48. Russell Davidson & Jean-Yves Duclos, 2013. "Testing for Restricted Stochastic Dominance," Econometric Reviews, Taylor & Francis Journals, vol. 32(1), pages 84-125, January.
  49. Olmo, José & Gonzalo, Jesús, 2008. "Testing downside risk efficiency under market distress," UC3M Working papers. Economics we084321, Universidad Carlos III de Madrid. Departamento de Economía.
  50. Castro, Carlos & Ferrari, Stijn, 2014. "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 1-14.
  51. Tony Lancaster, 2006. "A note on bootstraps and robustness," CeMMAP working papers CWP04/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  52. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2013. "Measuring human development: a stochastic dominance approach," Journal of Economic Growth, Springer, vol. 18(1), pages 69-108, March.
  53. Berg, Arthur & McMurry, Timothy L. & Politis, Dimitris N., 2010. "Subsampling p-values," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1358-1364, September.
  54. Sarno, Lucio & Valente, Giorgio, 2005. "Empirical exchange rate models and currency risk: some evidence from density forecasts," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 363-385, March.
  55. Lim, G.C. & Maasoumi, Esfandiar & Martin, Vance L., 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 173-189, August.
  56. P. C. Álvarez-Esteban & E. del Barrio & J. A. Cuesta-Albertos & C. Matrán, 2016. "A contamination model for the stochastic order," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(4), pages 751-774, December.
  57. Chun-Kei Tsang & Wing-Keung Wong & Ira Horowitz, 2016. "Arbitrage opportunities, efficiency, and the role of risk preferences in the Hong Kong property market," Studies in Economics and Finance, Emerald Group Publishing, vol. 33(4), pages 735-754, October.
  58. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CIRJE F-Series CIRJE-F-705, CIRJE, Faculty of Economics, University of Tokyo.
  59. Ibarra, Raul, 2013. "A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 429-439.
  60. repec:stn:sotoec:1311 is not listed on IDEAS
  61. Linton, Oliver & Whang, Yoon-Jae & Yen, Yu-Min, 2016. "A nonparametric test of a strong leverage hypothesis," Journal of Econometrics, Elsevier, vol. 194(1), pages 153-186.
  62. Abhyankar, Abhay & Chen, Hsuan-Chi & Ho, Keng-Yu, 2006. "The long-run performance of initial public offerings: Stochastic dominance criteria," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 620-637, September.
  63. Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
  64. Chung, Yi-Tsai & Hsu, Chuan-Hao & Ke, Mei-Chu & Liao, Tung Liang & Chiang, Yi-Chein, 2016. "The weakening value premium in the Australian and New Zealand stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 123-133.
  65. Marianne P. Bitler & Jonah B. Gelbach & Hilary W. Hoynes, 2014. "Can Variation in Subgroups' Average Treatment Effects Explain Treatment Effect Heterogeneity? Evidence from a Social Experiment," NBER Working Papers 20142, National Bureau of Economic Research, Inc.
  66. Rothe, Christoph, 2010. "Nonparametric estimation of distributional policy effects," Journal of Econometrics, Elsevier, vol. 155(1), pages 56-70, March.
  67. Gordon Anderson & Teng Leo & Robert Muelhaupt, 2014. "Measuring Advances in Equality of Opportunity: The Changing Gender Gap in Educational Attainment in Canada in the Last Half Century," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 119(1), pages 73-99, October.
  68. Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
  69. beare, brendan & shi, xiaoxia, 2015. "An improved bootstrap test of density ratio ordering," MPRA Paper 74772, University Library of Munich, Germany.
  70. Bahaji, Hamza & Casta, Jean-François, 2016. "Employee stock option-implied risk attitude under Rank-Dependent Expected Utility," Economic Modelling, Elsevier, vol. 52(PA), pages 144-154.
  71. 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.
  72. Henderson, Daniel J. & Houtenville, Andrew & Wang, Le, 2017. "The Distribution of Returns to Education for People with Disabilities," IZA Discussion Papers 10747, Institute for the Study of Labor (IZA).
  73. Rolf Aaberge & Tarjei Havnes & Magne Mogstad, 2013. "A theory for ranking distribution functions," Discussion Papers 763, Statistics Norway, Research Department.
  74. repec:eee:ejores:v:261:y:2017:i:2:p:666-678 is not listed on IDEAS
  75. Dichtl, Hubert & Drobetz, Wolfgang, 2011. "Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1683-1697, July.
  76. Maasoumi, Esfandiar & Racine, Jeffrey S., 2016. "A solution to aggregation and an application to multidimensional ‘well-being’ frontiers," Journal of Econometrics, Elsevier, vol. 191(2), pages 374-383.
  77. 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.
  78. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle," Working Papers 1206, University of Guelph, Department of Economics and Finance.
  79. Almas Heshmati & Robert Rudolf, 2014. "Income versus Consumption Inequality in Korea: Evaluating Stochastic Dominance Rankings by Various Household Attributes," Asian Economic Journal, East Asian Economic Association, vol. 28(4), pages 413-436, December.
  80. Toru Kitagawa, 2013. "A bootstrap test for instrument validity in heterogeneous treatment effect models," CeMMAP working papers CWP53/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  81. David Lander & David Gunawan & William E. Griffiths & Duangkamon Chotikapanich, 2016. "Bayesian Assessment of Lorenz and Stochastic Dominance Using a Mixture of Gamma Densities," Department of Economics - Working Papers Series 2023, The University of Melbourne.
  82. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral, 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Tinbergen Institute Discussion Papers 15-133/III, Tinbergen Institute.
  83. David Lander & David Gunawan & William Griffiths & Duangkamon Chotikapanich, 2017. "Bayesian Assessment of Lorenz and Stochastic Dominance," Department of Economics - Working Papers Series 2029, The University of Melbourne.
  84. Agliardi, Elettra & Pinar, Mehmet & Stengos, Thanasis, 2014. "A sovereign risk index for the Eurozone based on stochastic dominance," Finance Research Letters, Elsevier, vol. 11(4), pages 375-384.
  85. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2015. "Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 204-216.
  86. Qiao, Zhuo & Wong, Wing-Keung & Fung, Joseph K.W., 2013. "Stochastic dominance relationships between stock and stock index futures markets: International evidence," Economic Modelling, Elsevier, vol. 33(C), pages 552-559.
  87. Sungro Lee, Chang Sik Kim, In-Moo Kim & Chang Sik Kim & In-Moo Kim, 2012. "Testing the Monday Effect using High-frequency Intraday Returns: A Spatial Dominance Approach," Korean Economic Review, Korean Economic Association, vol. 28, pages 69-90.
  88. Tsang, Chun-Kei & Wong, Wing-Keung & Horowitz, Ira, 2016. "A stochastic-dominance approach to determining the optimal home-size purchase: The case of Hong Kong," MPRA Paper 69175, University Library of Munich, Germany.
  89. Firmin Doko Tchatoka & Robert Garrard & Virginie Masson, 2017. "Testing for Stochastic Dominance in Social Networks," School of Economics Working Papers 2017-02, University of Adelaide, School of Economics.
  90. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
  91. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  92. Fathi Abid & Pui Lam Leung & Mourad Mroua & Wing Keung Wong, 2014. "International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 1-22, May.
  93. Barassi, Marco R. & Zhou, Ying, 2012. "The effect of corruption on FDI: A parametric and non-parametric analysis," European Journal of Political Economy, Elsevier, vol. 28(3), pages 302-312.
  94. Qu, Zhongjun & Yoon, Jungmo, 2015. "Nonparametric estimation and inference on conditional quantile processes," Journal of Econometrics, Elsevier, vol. 185(1), pages 1-19.
  95. Diebold, Francis X. & Shin, Minchul, 2015. "Assessing point forecast accuracy by stochastic loss distance," Economics Letters, Elsevier, vol. 130(C), pages 37-38.
  96. Emmanuel Olateju Oyatoye & Waheed Oladimeji Arilesere, 2012. "A non-linear programming model for insurance company investment portfolio management in Nigeria," International Journal of Data Analysis Techniques and Strategies, Inderscience Enterprises Ltd, vol. 4(1), pages 83-100.
  97. Anderson, Gordon & Linton, Oliver & Whang, Yoon-Jae, 2012. "Nonparametric estimation and inference about the overlap of two distributions," Journal of Econometrics, Elsevier, vol. 171(1), pages 1-23.
  98. Robert Elliott & Ying Zhou, 2013. "State-owned Enterprises, Exporting and Productivity in China: A Stochastic Dominance Approach," The World Economy, Wiley Blackwell, vol. 36(8), pages 1000-1028, 08.
  99. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
  100. Olmo, José & Sanso-Navarro, Marcos, 2012. "Forecasting the performance of hedge fund styles," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2351-2365.
  101. repec:pen:papers:14-011 is not listed on IDEAS
  102. Duangkamon Chotikapanich & William E. Griffiths, 2006. "Bayesian Assessment of Lorenz and Stochastic Dominance in Income Distributions," Department of Economics - Working Papers Series 960, The University of Melbourne.
  103. Jason Allen & Robert Clark & Jean-Fran?ois Houde, 2014. "The Effect of Mergers in Search Markets: Evidence from the Canadian Mortgage Industry," American Economic Review, American Economic Association, vol. 104(10), pages 3365-3396, October.
  104. repec:eee:econom:v:198:y:2017:i:2:p:253-270 is not listed on IDEAS
  105. Millimet Daniel L & Wang Le, 2006. "A Distributional Analysis of the Gender Earnings Gap in Urban China," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 5(1), pages 1-50, February.
  106. Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2015. "Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 889-900, May.
  107. Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
  108. Chuang, O-Chia & Kuan, Chung-Ming & Tzeng, Larry Y., 2017. "Testing for central dominance: Method and application," Journal of Econometrics, Elsevier, vol. 196(2), pages 368-378.
  109. Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2014. "Moment conditions for Almost Stochastic Dominance," Economics Letters, Elsevier, vol. 124(2), pages 163-167.
  110. Clark, Ephraim & Kassimatis, Konstantinos, 2014. "Exploiting stochastic dominance to generate abnormal stock returns," Journal of Financial Markets, Elsevier, vol. 20(C), pages 20-38.
  111. Gordon Anderson & Teng Wah Leo, 2014. "Ranking Alternative Non-Combinable Prospects: A Stochastic Dominance Based Route to the Second Best Solution," Working Papers tecipa-520, University of Toronto, Department of Economics.
  112. Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
  113. Chan, Chia-Ying & de Peretti, Christian & Qiao, Zhuo & Wong, Wing-Keung, 2012. "Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 162-174.
  114. Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
  115. Hoang, Thi-Hong-Van & Lean, Hooi Hooi & Wong, Wing-Keung, 2015. "Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 98-108.
  116. Stelios Arvanitis & Mark Hallam & Thierry Post, 2015. "Stochastic Spanning," Koç University-TUSIAD Economic Research Forum Working Papers 1505, Koc University-TUSIAD Economic Research Forum.
    • Stelios Arvanitis & Mark Hallam & Thierry Post & Nikolas Topaloglou, 2015. "Stochastic Spanning," Working Papers 201510, Athens University Of Economics and Business, Department of Economics.
  117. Bai, Zhidong & Phoon, Kok Fai & Wang, Keyan & Wong, Wing-Keung, 2013. "The performance of commodity trading advisors: A mean-variance-ratio test approach," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 188-201.
  118. Daniel L. Millimet & Esfandiar Maasoumi, 2005. "Robust inference concerning recent trends in US environmental quality," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 55-77.
  119. Fong, Wai Mun, 2010. "A stochastic dominance analysis of yen carry trades," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1237-1246, June.
  120. Fathi Abid & Moncef Habibi, 2010. "Hedging Transaction Exposure within the Context of a Basket Foreign Exchange Rate Arrangement," Working Papers 523, Economic Research Forum, revised 05 Jan 2010.
  121. Taylor, Nicholas, 2012. "Testing forecasting model versatility," Economics Letters, Elsevier, vol. 117(3), pages 803-806.
  122. Oliver Linton & Katja Smetanina, 2015. "Mean Ratio Statistic for measuring predictability," CeMMAP working papers CWP08/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  123. Henderson, Daniel J. & Maasoumi, Esfandiar, 2012. "Searching for Rehabilitation in Nonparametric Regression Models with Exogenous Treatment Assignment," IZA Discussion Papers 6874, Institute for the Study of Labor (IZA).
  124. Brian McCaig & Adonis Yatchew, 2007. "International welfare comparisons and nonparametric testing of multivariate stochastic dominance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 951-969.
  125. Bai, Zhidong & Wang, Keyan & Wong, Wing-Keung, 2011. "The mean-variance ratio test--A complement to the coefficient of variation test and the Sharpe ratio test," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1078-1085, August.
  126. Marcel Voia, 2008. "A Distributional Analysis Of Treatment Effects In Randomized Experiments," Economics Bulletin, AccessEcon, vol. 3(36), pages 1-9.
  127. Horvath, Lajos & Kokoszka, Piotr & Zitikis, Ricardas, 2006. "Testing for stochastic dominance using the weighted McFadden-type statistic," Journal of Econometrics, Elsevier, vol. 133(1), pages 191-205, July.
  128. Sheung-Chi Chow & Ma. Rebecca Valenzuela & Wing-Keung Wong, 2016. "New Tests for Richness and Poorness:A Stochastic Dominance Analysis of Income Distributions in Hong Kong," Monash Economics Working Papers 25-16, Monash University, Department of Economics.
  129. J. Annaert & S. Van Osselaer & B. Verstraete, 2007. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/473, Ghent University, Faculty of Economics and Business Administration.
  130. Linton, Oliver & Smetanina, Ekaterina, 2016. "Testing the martingale hypothesis for gross returns," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 664-689.
  131. Fong, Wai Mun, 2009. "Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 712-727, October.
  132. Fang, Yi, 2012. "Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 528-547.
  133. Barrett, Garry F. & Donald, Stephen G. & Hsu, Yu-Chin, 2016. "Consistent tests for poverty dominance relations," Journal of Econometrics, Elsevier, vol. 191(2), pages 360-373.
  134. Dehejia Vivek H. & Voia Marcel C., 2012. "International Income Comparisons and Social Welfare: Methodology, Analysis, and Implications," Journal of Globalization and Development, De Gruyter, vol. 3(1), pages 1-24, June.
  135. Clark, Ephraim & Kassimatis, Konstantinos, 2012. "An empirical analysis of marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1144-1151.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.