Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
Pin Ng, Wing-Keung Wong, Zhijie Xiao
| Year of publication: |
1 September 2017
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| Authors: | Ng, Pin T. ; Wong, Wing Keung ; Xiao, Zhijie |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 261.2017, 2 (1.9.), p. 666-678
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| Subject: | Quantile regression | Stochastic dominance | Brownian bridge | Internet bubble crisis | Subprime crisis | Stochastischer Prozess | Stochastic process | Regressionsanalyse | Regression analysis | Theorie | Theory | Spekulationsblase | Bubbles | Effizienzmarkthypothese | Efficient market hypothesis | Arbitrage | Finanzkrise | Financial crisis | Internet |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.02.047 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011738062