Conditional stochastic dominance tests in dynamic settings

DOI10.1111/IERE.12072MaRDI QIDQ2921201zbMATH OpenOpenAlexFDO

Authors 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 portfoliononparametric consistent testsstochastic dominance testsU.S. industry portfolios

Mathematics Subject Classification ID

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

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Cites work

• A kernel method of estimating structured nonparametric regression based on marginal integration
• An improved bootstrap test of stochastic dominance
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Consistent Tests for Stochastic Dominance
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• scientific article; zbMATH DE number 3222478 (Why is no real title available?)
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Intersection bounds: estimation and inference
• Linear smoothers and additive models
• Marginal Conditional Stochastic Dominance
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Nonparametric tests for conditional symmetry in dynamic models
• Nonparametric Tests of Stochastic Dominance in Income Distributions
• On Non-Parametric Estimates of Density Functions and Regression Curves
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations
• Testing for stochastic dominance efficiency
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

Cited in

(8)

• Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
• Spanning tests for Markowitz stochastic dominance
• On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty
• Bank characteristics and the interbank money market: a distributional approach
• Empirical study using stochastic dominance test on investment funds performance
• Portfolio efficiency tests based on stochastic dominance and co-integration
• Testing for prospect and Markowitz stochastic dominance efficiency
• Testing stochastic dominance with many conditioning variables

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