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A state-of-the-art fund performance index : higher-order omega and its consistency with almost stochastic dominance

Lu, Hengzhen; Zhang, Yingying; Xiao, Ling; Dhesi, Gurjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

This paper provides a mathematical proof and theoretical analysis of the one-to-one consistency between higher-order Omega and Almost Stochastic Dominance rules when evaluating fund performance. The consistency between higher-order Omega and Almost Nth-degree Stochastic Dominance reinforces the...

Persistent link: https://www.econbiz.de/10013471446

The US zero-coupon yield spread as a predictor of excess daily stock market volatility

Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906

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US term structure and international stock market volatility : the role of the expectations factor and the maturity premium

Li, Matthew C. - In: Journal of international financial markets, … 41 (2016), pp. 1-15

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The diligent effect of investor relation officers in conference calls : evidence from China

Xiao, Lin; Ye, Yong; Luo, Runmei - In: International review of financial analysis 87 (2023), pp. 1-12

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Blockchain mania without bitcoins : evidence from the Chinese stock market

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