Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
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Publication:1753612
DOI10.1016/j.ejor.2017.02.047zbMath1403.62072OpenAlexW2594268665MaRDI QIDQ1753612
Zhijie Xiao, Wing-Keung Wong, Pin T. Ng
Publication date: 29 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2017.02.047
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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