CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS

DOI10.1111/iere.12072zbMath1405.62140OpenAlexW2150841721MaRDI QIDQ2921201

Jesús Gonzalo, Jose Olmo

Publication date: 7 October 2014

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/358592/1/358592OLMO18.pdf

zbMATH Keywords

asymptotic distributionmarket portfoliostochastic dominance testsnonparametric consistent testsU.S. industry portfolios

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Spanning tests for Markowitz stochastic dominance ⋮ Testing stochastic dominance with many conditioning variables ⋮ Bank characteristics and the interbank money market: a distributional approach ⋮ Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency ⋮ Testing for prospect and Markowitz stochastic dominance efficiency ⋮ On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty

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