RT Journal Article
T1 Conditional stochastic dominance tests in dynamic settings
A1 Gonzalo, Jesús
A1 Olmo, José
AB 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.
PB John Wiley & Sons, Inc.
SN 0020-6598
YR 2014
FD 2014-08-01
LK https://hdl.handle.net/10016/35413
UL https://hdl.handle.net/10016/35413
LA eng
NO 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 (grantER program) is gratefully acknowledged.
DS e-Archivo
RD 1 sept. 2024