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Year of publication
Subject
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Stochastic dominance test 56 Dominanztest 49 Theorie 20 Theory 20 Stochastischer Prozess 18 Stochastic process 17 Einkommensverteilung 13 Income distribution 13 Migranten 13 Migrants 13 Denmark 10 Dänemark 10 Adverse Selektion 9 Adverse selection 9 Systemic risk 9 Risiko 8 Risikoaversion 8 Risk 8 Risk aversion 8 stochastic dominance test 7 1995-2004 6 Risikomaß 6 Risk measure 6 Roy model 6 Systemrisiko 6 Almost stochastic dominance 5 Bank 5 Forecasting model 5 Prognoseverfahren 5 Regressionsanalyse 5 Risikomanagement 5 Risk management 5 SIFIs 5 ARCH model 4 ARCH-Modell 4 Bankrisiko 4 Basel Accord 4 Basler Akkord 4 Comparative statics 4 Estimation 4
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Online availability
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Free 30 Undetermined 22
Type of publication
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Book / Working Paper 34 Article 29
Type of publication (narrower categories)
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Article in journal 23 Aufsatz in Zeitschrift 23 Graue Literatur 20 Non-commercial literature 20 Working Paper 20 Arbeitspapier 19 Aufsatz im Buch 3 Book section 3 Conference paper 2 Konferenzbeitrag 2
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Language
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English 58 Undetermined 5
Author
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Borjas, George J. 10 Kauppinen, Ilpo 10 Poutvaara, Panu 10 Maasoumi, Esfandiar 7 Ferrari, Stijn 5 Kamihigashi, Takashi 5 Camacho, Carmen 4 Chang, Chia-Lin 4 Guo, Xu 4 Huang, Rachel J. 4 Pérez Amaral, Teodosio 4 Sağlam, Hüseyin Çağri 4 Tzeng, Larry Y. 4 Castro, Carlos 3 Jiménez-Martín, Juan-Ángel 3 Liu, Xiaochun 3 McAleer, Michael 3 Zhu, Lixing 3 Zhu, Yifeng 3 Bernal, Oscar 2 Castro Iragorri, Carlos Alberto 2 Chakravarty, Satya R. 2 Gnabo, Jean-Yves 2 Guilmin, Grégory 2 Palmisano, Flaviana 2 Petrillo, Ida 2 Shah, Sudhir A. 2 Tsetlin, Ilia 2 Whang, Yoon-jae 2 Wong, Wing Keung 2 Abel, Andrew B. 1 Alemu, Zerihun Gudeta 1 Athanasopoulos, George 1 Brigida, Matthew 1 Chang, Jow-Ran 1 Chaudhuri, Kausik 1 Cirera, Xavier 1 Denuit, Michel 1 Dwenger, Nadja 1 Fakih, Ali 1
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Institution
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International Association of Agricultural Economists - IAAE 1 National Bureau of Economic Research 1 Nationale Bank van België/Banque national de Belqique (BNB) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Discussion paper series / Research Institute for Economics and Business Administration, Kobe University 4 Econometric Institute research papers 2 Essays in honor of Aman Ullah 2 Journal of banking & finance 2 Themes in modern econometrics 2 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 1 Applied economics letters 1 CESifo Working Paper Series 1 CESifo working papers 1 Decision making and risk/return optimization in financial economics 1 Discussion paper / Social Science Research Center Berlin (WZB), Research Area Markets and Choice, Research Unit Market Behavior 1 Discussion paper / Tinbergen Institute 1 Discussion paper series 1 Discussion paper series / IZA 1 Economic modelling 1 Economic theory : official journal of the Society for the Advancement of Economic Theory 1 Economics letters 1 European journal of operational research : EJOR 1 Faculty & research / Insead : working paper series 1 Faculty research working paper series / John F. Kennedy School of Government, Harvard University 1 Finance research letters 1 IZA Discussion Paper 1 Journal of Banking & Finance 1 Journal of Empirical Finance 1 Journal of econometrics 1 Journal of economic theory 1 Journal of empirical finance 1 Journal of mathematical economics 1 Journal of political economy 1 Journal of public economic theory 1 Journal of risk and uncertainty 1 MPRA Paper 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 NBB Working Paper 1 NBER Working Paper 1 NBER working paper series 1 Operations research 1 Perspektiven für die Agrar- und Ernährungswirtschaft nach der Liberalisierung : 55. Jahrestagung der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e. V. vom 23. bis 25. September 2015 1 Policy research working paper : WPS 1 RAIRO / Operations research 1
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Source
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ECONIS (ZBW) 57 RePEc 5 EconStor 1
Showing 1 - 50 of 63
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Measuring and testing systemic risk from the cross-section of stock returns
Gil Jaime, Jesús; Olmo, Jose - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338815
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A general rank-dependent approach for distributional comparisons
Palmisano, Flaviana; Petrillo, Ida - In: Journal of public economic theory 24 (2022) 2, pp. 380-409
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013162619
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A general rank-dependent approach for distributional comparisons
Palmisano, Flaviana; Petrillo, Ida - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012422709
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The Wage Premium of Naturalized Citizenship
Maasoumi, Esfandiar - 2019
We examine the potential effect of naturalization on the U.S. immigrants's earnings. We find the earning gap between naturalized citizens and non-citizens is positive and a generally stable tent shape. We report a new entropy measure of the entire distribution gap, and conventional measures at...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012904227
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A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions
Fakih, Ali; Makdissi, Paul; Marrouch, Walid; Tabri, Rami V. - In: Journal of econometrics 228 (2022) 2, pp. 342-358
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013441755
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Stochastic superiority
Liu, Liqun; Meyer, Jack - In: Journal of risk and uncertainty 62 (2021) 3, pp. 225-246
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012656779
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Robust comparative statics for non-monotone shocks in large aggregative games
Camacho, Carmen; Kamihigashi, Takashi; Sağlam, … - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011815963
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Robust comparative statics for non-monotone shocks in large aggregative games
Camacho, Carmen; Kamihigashi, Takashi; Sağlam, … - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011438957
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How risky is a random process?
Shah, Sudhir A. - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011418693
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Investment with leverage
Abel, Andrew B. - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011843859
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Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance
Chang, Chia-Lin - 2016
We compare Value at Risk (VaR) and Expected Shortfall (ES) following a Stochastic Dominance (SD) approach frequently used to order distributions in terms of welfare and in portfolio selection. Basel Committee on Banking Supervision (BCBS) recommends bank risk managers to shift the current...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012996938
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Stochastic dominance under independent noise
Pomatto, Luciano; Strack, Philipp; Tamuz, Omer - In: Journal of political economy 128 (2020) 5, pp. 1877-1900
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012417000
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011431395
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011432786
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Robust comparative statics of non-monotone shocks in large aggregative games
Camacho, Carmen; Kamihigashi, Takashi; Sağlam, … - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011309930
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Self-selection of emigrants : theory and evidence on stochastic dominance in observable and unobservable characteristics
Borjas, George J.; Kauppinen, Ilpo; Poutvaara, Panu - 2015
We show that the Roy model has more precise predictions about the self-selection of migrants than previously realized. The same conditions that have been shown to result in positive or negative selection in terms of expected earnings also imply a stochastic dominance relationship between the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011350731
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Self‐selection of emigrants : theory and evidence on stochastic dominance in observable and unobservable characteristics
Borjas, George J.; Kauppinen, Ilpo; Poutvaara, Panu - 2015
We show that the Roy model has more precise predictions about the self‐selection of migrants than previously realized. The same conditions that have been shown to result in positive or negative selection in terms of expected earnings also imply a stochastic dominance relationship between the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011375948
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Self-selection of emigrants : theory and evidence on stochastic dominance in observable and unobservable characteristics
Borjas, George J.; Kauppinen, Ilpo; Poutvaara, Panu - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011406318
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Self-selection of emigrants : theory and evidence on stochastic dominance in observable and unobservable characteristics
Borjas, George J.; Kauppinen, Ilpo; Poutvaara, Panu - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011517455
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A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011346199
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Self‐Selection of Emigrants : Theory and Evidence on Stochastic Dominance in Observable and Unobservable Characteristics
Borjas, George J. - 2015
We show that the Roy model has more precise predictions about the self‐selection of migrants than previously realized. The same conditions that have been shown to result in positive or negative selection in terms of expected earnings also imply a stochastic dominance relationship between the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013012835
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Self-Selection of Emigrants : Theory and Evidence on Stochastic Dominance in Observable and Unobservable Characteristics
Borjas, George J. - 2015
We show that the Roy model has more precise predictions about the self-selection of migrants than previously realized. The same conditions that have been shown to result in positive or negative selection in terms of expected earnings also imply a stochastic dominance relationship between the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013013506
Saved in:
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Self-Selection of Emigrants : Theory and Evidence on Stochastic Dominance in Observable and Unobservable Characteristics
Borjas, George J. - 2015
We show that the Roy model has more precise predictions about the self-selection of migrants than previously realized. The same conditions that have been shown to result in positive or negative selection in terms of expected earnings also imply a stochastic dominance relationship between the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012457020
Saved in:
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Self-Selection of Emigrants : Theory and Evidence on Stochastic Dominance in Observable and Unobservable Characteristics
Borjas, George J. - 2015
We show that the Roy model has more precise predictions about the self‐selection of migrants than previously realized. The same conditions that have been shown to result in positive or negative selection in terms of expected earnings also imply a stochastic dominance relationship between the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013011720
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Poverty, Social Exclusion and Stochastic Dominance
Chakravarty, Satya R. (ed.) - 2019 - 1st ed. 2019
Ethically Flexible Measures Of Poverty -- On Shorrocks' Reinvestigation Of The Sen Poverty Index -- A New Index Of Poverty -- Reference Groups And The Poverty Line: An Axiomatic Approach With An Empirical Illustration -- Poverty And Time -- The Measurement Of Multidimensional Poverty -- A Family...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012398972
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Revisiting generalized almost stochastic dominance
Chang, Jow-Ran; Liu, Wei-Han; Hung, Mao-Wei - In: Decision making and risk/return optimization in …, (pp. 175-192). 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012134793
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Self-selection of emigrants : theory and evidence on stochastic dominance in observable and unobservable characteristics
Borjas, George J.; Kauppinen, Ilpo; Poutvaara, Panu - In: The economic journal : the journal of the Royal … 129 (2019) 617, pp. 143-171
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012034388
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Poverty, social exclusion and stochastic dominance
Chakravarty, Satya R. (ed.) - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012022535
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Cyclicality of stock market volatility
You, Yu; Liu, Xiaochun - In: Applied economics letters 26 (2019) 8, pp. 645-649
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012204297
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Econometric analysis of stochastic dominance : concepts, methods, tools, and applications
Whang, Yoon-jae - 2019
This book offers an up-to-date, comprehensive coverage of stochastic dominance and its related concepts in a unified framework. A method for ordering probability distributions, stochastic dominance has grown in importance recently as a way to measure comparisons in welfare economics, inequality...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013285289
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Generalized almost stochastic dominance
Tsetlin, Ilia; Huang, Rachel J.; Tzeng, Larry Y.; … - 2014 - Rev. vers. of 2013/94/DS
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010379431
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An axiomatic approach to measuring degree of stochastic dominance
Kamihigashi, Takashi; Stachurski, John - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010476440
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Make Almost Stochastic Dominance really Almost
Guo, Xu; Wong, Wing-Keung; Zhu, Lixing - Volkswirtschaftliche Fakultät, … - 2013
Leshno and Levy (2002) extend stochastic dominance (SD) theory to almost stochastic dominance (ASD) for {\it most} decision makers. When comparing any two prospects, Guo, et al.\ (2013) find that there will be ASD relationship even there is only very little difference in mean, variance,...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011107819
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Preference for randomization : empirical and experimental evidence
Dwenger, Nadja; Kübler, Dorothea; Weizsäcker, Georg - 2013
We investigate violations of consequentialism in the form of the stochastic dominance property. The property is shared by many theories of choice and implies that the decisionmaker prefers receiving the best outcome for sure over all lotteries that involve multiple outcomes. We run experiments...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009724701
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Robust comparative statics for non-monotone shocks in large aggregative games
Camacho, Carmen; Kamihigashi, Takashi; Sağlam, … - In: Journal of economic theory 174 (2018), pp. 288-299
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011972445
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Econometric analysis of stochastic dominance concepts, methods, tools, and applications
Whang, Yoon-jae - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011845981
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The state of female autonomy in India : a stochastic dominance approach
Chaudhuri, Kausik; Yalonetzky, Gastón - In: The journal of development studies : JDS 54 (2018) 8, pp. 1338-1353
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012169353
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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011506748
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Livelihood Strategies in Rural South Africa: Implications for Poverty Reduction
Alemu, Zerihun Gudeta - International Association of Agricultural Economists - IAAE - 2012
This paper has the objective of identifying dominant livelihood strategies in rural South Africa. It differs from previous studies done for South Africa in that it analyses a recent large household survey; classifies livelihood strategies into four broad and eight specific livelihood strategy...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010880296
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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011272804
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Measuring and testing for the systemically important financial institutions
Castro Iragorri, Carlos Alberto; Ferrari, Stijn - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011590621
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How risky is a random process?
Shah, Sudhir A. - In: Journal of mathematical economics 72 (2017), pp. 70-81
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011833214
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Measuring systemic risk with regime switching in tails
Liu, Xiaochun - In: Economic modelling 67 (2017), pp. 55-72
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011813772
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Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
Liu, Xiaochun - In: Journal of banking & finance 82 (2017), pp. 1-19
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011816457
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Empirical tests for stochastic dominance optimality
Post, Thierry - In: Review of finance : journal of the European Finance … 21 (2017) 2, pp. 793-810
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011803305
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Efficient farming options for German apple growers based on stochastic dominance analysis
Röhrig, Maren B. K.; Hardeweg, Bernd - In: Perspektiven für die Agrar- und Ernährungswirtschaft …, (pp. 311-322). 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011630717
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The wage premium of naturalized citizenship
Maasoumi, Esfandiar; Zhu, Yifeng - In: Essays in honor of Aman Ullah, (pp. 315-348). 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011530288
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Almost stochastic dominance for risk averters and risk seeker
Guo, Xu; Wong, Wing Keung; Zhu, Lixing - In: Finance research letters 19 (2016), pp. 15-21
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011657429
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The Wage Premium of Naturalized Citizenship
Maasoumi, Esfandiar; Zhu, Yifeng - In: Essays in honor of Aman Ullah, (pp. 315-348). 2016
We examine the potential effect of naturalization on the U.S. immigrants’ earnings. We find the earning gap between naturalized citizens and noncitizens is positive over many years, with a tent shape across the wage distribution. We focus on a normalized metric entropy measure of the gap...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015365806
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Self-selection of emigrants : theory and evidence on stochastic dominance in observable and unobservable characteristics
Borjas, George J.; Kauppinen, Ilpo; Poutvaara, Panu - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011416608
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