An L1-variant of the Cramer-von Mises test statistic for the one sample test of fit problem is presented. Quantiles of the sampling distribution under the null hypothesis are derived by Monte-Carlo Simulation. The power of the new test is compared to those of other, conventional one sample...

A nonparametric test for second-order stochastic dominance is introduced in the framework of the one sample problem. It is based on a supremum statistic which is suitable for second-order problems. Its asymptotic distribution is identified and quantiles of the finite sample and asymptotic...

A general, copula-based framework for measuring the dependence among financial time series is presented. Particular emphasis is placed on multivariate conditional Spearman's rho (MCS), a new measure of multivariate conditional dependence that describes the association between large or extreme...

The paper surveys various parametric Lorenz curves to be fitted to ground income data in order to obtain an estimate for the Gini measure of inequality. The curves are fitted to 16 sets of empirical income data. The results are compared to the results of the purely nonparametric method (due to...

This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. We establish two methods to take the sampling error into account. The first one is based...

A new family of conditional-dependence measures based on Spearman's rho is introduced. The corresponding multidimensional versions are established. Asymptotic distributional results are derived for related estimators which are based on the empirical copula. Particular emphasis is placed on a new...

This note investigates the structure of dominance relations in daily returns of 32 German assets during the 1990s. We focus on stochastic dominance of first, second and third order but mean-variance and mean-Gini dominance is also considered. Efficient (i. e., nondominated) sets of assets are...