A stochastic dominance approach to financial risk management strategies
DOI10.1016/J.JECONOM.2015.02.032zbMATH Open1337.91139OpenAlexW2165572181MaRDI QIDQ2347722FDOQ2347722
Authors: Chialin Chang, Juan-Angel Jimenez-Martin, Esfandiar Maasoumi, Teodosio Pérez-Amaral 
Publication date: 8 June 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://eprints.ucm.es/25124/1/1408.pdf
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stochastic dominancevalue-at-riskglobal financial crisisVIX futuresdaily capital chargesBasel III accordoptimizing strategyviolation penalties
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Handbook of Volatility Models and Their Applications
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistent Testing for Stochastic Dominance under General Sampling Schemes
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- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Stationarity and the existence of moments of a family of GARCH processes.
- An econometric analysis of asymmetric volatility: theory and application to patents
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- An improved bootstrap test of stochastic dominance
- A decision rule to minimize daily capital charges in forecasting value-at-risk
Cited In (9)
- Comparing machine learning algorithms by union-free generic depth
- Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
- A generalized error distribution copula-based method for portfolios risk assessment
- Interpretation of Statistical Preference in Terms of Location Parameters
- Tests for the first-order stochastic dominance
- Stochastic Risk Analysis and Management
- Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
- Stochastic Dominance
- Econometric analysis of financial derivatives: an overview
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