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Testing for restricted stochastic dominance
Davidson, Russell (contributor);  … - 2006
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two … be used to perform bootstrap tests that can turn out to provide much improved reliability of inference compared with the … asymptotic tests so far proposed in the literature. -- stochastic dominance ; empirical likelihood ; bootstrap test …
Persistent link: https://www.econbiz.de/10003301664
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A smooth permanent surge process
González, Andrés (contributor) - 2004 - [Elektronische Ressource]
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10002465176
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Testing Stochastic Dominance with Many Conditioning Variables
Linton, Oliver B. - 2020
is not pivotal asymptotically, and introduce the smooth stationary bootstrap to approximate its sample distribution. We … investigate the finite sample performance of the bootstrap critical values by a set of Monte Carlo simulations. Finally, our …
Persistent link: https://www.econbiz.de/10012841891
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Stationarity Testing Under Endogenous Smooth Deterministic Components : Some Asymptotic Results
Landajo, Manuel - 2008
distribution depends on the unknown parameters of the model. Bootstrap techniques permit this problem to be circumvented, and the …
Persistent link: https://www.econbiz.de/10012725818
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Testing for Convexity Relevance : An IFRS 9 Benchmark Cashflow Test Proposal (with Stochastic Volatility)
Cefis, Luigi A. - 2017
According to IFRS 9, an Entity shall assess - by performing a quantitative assessment - the relevance of the modification of the time value of money element, i.e. the modification of the interest that can be observed, e.g. in all the instruments whose underlying interest rate tenors are...
Persistent link: https://www.econbiz.de/10012946977
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Investors' behavior in alternative asset classes
Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55
We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...
Persistent link: https://www.econbiz.de/10014246136
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Testing for Restricted Stochastic Dominance
Davidson, Russell; Duclos, Jean-Yves - 2006
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two … used to perform bootstrap tests that can turn out to provide much improved reliability of inference compared with the …
Persistent link: https://www.econbiz.de/10014059059
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Testing for Restricted Stochastic Dominance
Davidson, Russell; Duclos, Jean-Yves - 2006
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two … be used to perform bootstrap tests that can turn out to provide much improved reliability of inference compared with the …
Persistent link: https://www.econbiz.de/10014059083
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Testing Stationarity with Unobserved Components Models
Morley, James; Panovska, Irina; Sinclair, Tara M. - 2014
bootstrap version of this test has far better small-sample properties for empirically-relevant data generating processes than … bootstrap versions of the standard Lagrange multiplier tests. An application to US real GDP produces stronger support for the …
Persistent link: https://www.econbiz.de/10014039994
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Higher-Order Improvements of the Parametric Bootstrap for Long-Memory Gaussian Processes
Andrews, Donald W. K.; Lieberman, Offer - 2003
This paper determines coverage probability errors of both delta method and parametric bootstrap confidence intervals …} are included. The results establish that the bootstrap provides higher-order improvements over the delta method. Analogous …-likelihood. The magnitudes of the coverage probability errors for one-sided bootstrap CIs for covariance parameters for long …
Persistent link: https://www.econbiz.de/10014111992