A stochastic dominance approach to financial risk management strategies

DOI10.1016/J.JECONOM.2015.02.032MaRDI QIDQ2347722zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic dominancevalue-at-riskglobal financial crisisVIX futuresdaily capital chargesBasel III accordoptimizing strategyviolation penalties

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 854587 (Why is no real title available?)
• A decision rule to minimize daily capital charges in forecasting value-at-risk
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• An econometric analysis of asymmetric volatility: theory and application to patents
• An improved bootstrap test of stochastic dominance
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Consistent Tests for Stochastic Dominance
• Generalized autoregressive conditional heteroscedasticity
• Handbook of Volatility Models and Their Applications
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Stationarity and the existence of moments of a family of GARCH processes.

Cited in

(9)

• Econometric analysis of financial derivatives: an overview
• 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

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