Conditional stochastic dominance tests in dynamic settings

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Show simple item record Gonzalo, Jesús Olmo, José 2022-07-06T16:15:31Z 2022-07-06T16:15:31Z 2014-08-01
dc.identifier.bibliographicCitation Gonzalo, J., & Olmo, J. (2014). Conditional stochastic dominance tests in dynamic settings. International Economic Review, 55, pp. 819–838
dc.identifier.issn 0020-6598
dc.description.abstract This article proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests lies in the nonparametric manner of incorporating the information set. The test allows for general forms of unknown serial and mutual dependence between random variables and has an asymptotic distribution that can be easily approximated by simulation. This method has good finite-sample performance. These tests are applied to determine investment efficiency between U. S. industry portfolios conditional on the dynamics of the market portfolio. The empirical analysis suggests that Telecommunications dominates the other sectoral portfolios under risk aversion.
dc.description.sponsorship We are also grateful to seminar participants of ECARES (ULB) and to participants of North American Winter Meetings of the Econometric Society, Workshop in Computational and Financial Econometrics in Neuchatel, Far East and South Asia Meetings of the Econometric Society in Singapore, XXXIII Simposium of the Spanish Economic Association in Zaragoza, 4th Tinbergen Institute Conference in Rotterdam, Royal Economic Society in University of Surrey and SOFIE 2009 European conference in Geneva. Financial support from the MICINN ECO2010-19357, ECO2011-22650, NEINVECON 06-11, EXCELECOM-CM grant and Bank of Spain (grant ER program) is gratefully acknowledged.
dc.language.iso eng
dc.publisher John Wiley & Sons, Inc.
dc.rights © John Wiley & Sons, Inc.
dc.subject.other Nonparametric-tests
dc.subject.other Kernel estimation
dc.subject.other Inference
dc.subject.other Distributions
dc.subject.other Models
dc.subject.other Rates
dc.title Conditional stochastic dominance tests in dynamic settings
dc.type research article
dc.subject.eciencia Economía
dc.rights.accessRights open access
dc.relation.projectID ECO2010-19357
dc.relation.projectID ECO2011-22650
dc.identifier.publicationfirstpage 819
dc.identifier.publicationissue 3
dc.identifier.publicationlastpage 838
dc.identifier.publicationtitle INTERNATIONAL ECONOMIC REVIEW
dc.identifier.publicationvolume 55
dc.identifier.uxxi AR/0000015520
dc.contributor.funder Ministerio de Ciencia e Innovación (España)
dc.affiliation.dpto UC3M. Departamento de Economía
dc.type.hasVersion AM
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