Conditional stochastic dominance tests in dynamic settings
This paper 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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2014-08.
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| Subjects: | |
| Online Access: | Get fulltext |