Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency

DOI10.1016/J.EJOR.2017.02.047zbMATH Open1403.62072OpenAlexW2594268665MaRDI QIDQ1753612FDOQ1753612

Pin T. Ng, Zhijie Xiao, Wing-Keung Wong

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

zbMATH Keywords

quantile regressionstochastic dominanceBrownian bridgeInternet bubble crisissubprime crisis

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

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Cited In (5)

• Central moments, stochastic dominance, moment rule, and diversification with an application
• Testing higher and infinite degrees of stochastic dominance for small samples: a Bayesian approach
• To what extent can new web-based technology improve forecasts? Assessing the economic value of information derived from virtual globes and its rate of diffusion in a financial market
• Portfolio diversification based on stochastic dominance under incomplete probability information
• New Tests for Richness and Poorness: A Stochastic Dominance Analysis of Income Distributions in Hong Kong

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