Agliardi, Elettra; Pinar, Mehmet; Stengos, Thanasis - In: Finance Research Letters 11 (2014) 4, pp. 375-384
We propose a new method to assess sovereign risk in Eurozone countries using an approach that relies on consistent tests for stochastic dominance efficiency. The test statistics and the estimators are computed using mixed integer programming methods. Our analysis is based on macroeconomic...