Tests of stochastic dominance for time series data: theory and empirical application
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Aachen
Shaker
2006
|
| Schriftenreihe: | Berichte aus der Statistik
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 183 S. |
| ISBN: | 9783832249991 3832249990 |
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| 245 | 1 | 0 | |a Tests of stochastic dominance for time series data |b theory and empirical application |c Hendrik Kläver |
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Datensatz im Suchindex
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| adam_text | Contents
Vorwort 5
Abstract 7
1 Introduction and Summary 11
2 Stochastic Dominance as a Decision Criterion 19
2.1 Theory of Stochastic Dominance 19
2.2 Descriptive Stochastic Dominance 33
3 Tests of Stochastic Dominance: A Survey 37
4 GARCH Effects on Statistical Procedures 49
4.1 Notations, Definitions and Preliminary Results 51
4.2 Procedures for Means 53
4.3 Procedures for Variances 57
4.3.1 Confidence interval for a2 59
4.3.2 F test for equality of variances 60
4.4 Conclusion 63
5 Testing for Stochastic Dominance Using Circular Block Methods 67
5.1 Tests Based on Resampling Methods 69
5.1.1 A Permutation Test from Matched Pairs 69
5.1.2 Tests Using Moving Block Methods 70
3
4 CONTENTS
5.2 Simulation Results for the Conventional Tests 73
5.3 Circular Block Methods as an Alternative Concept 80
5.4 Simulation Results Using Circular Block Methods 84
5.5 Power Investigation 89
5.6 Conclusion 97
6 A Test in which Stochastic Dominance is the Alternative 99
6.1 Introduction 99
6.2 Previous Tests in which Stochastic Dominance is the Alternative . 100
6.3 Discussion and Modification 102
6.4 Simulation Results 109
6.5 Conclusion 129
7 Empirical Application of SD Tests to German Stock Returns 131
7.1 Methodology 131
7.2 Data 133
7.3 Results 135
Appendix 159
List of Symbols 169
List of Abbreviations 173
Bibliography 175
|
| adam_txt |
Contents
Vorwort 5
Abstract 7
1 Introduction and Summary 11
2 Stochastic Dominance as a Decision Criterion 19
2.1 Theory of Stochastic Dominance 19
2.2 Descriptive Stochastic Dominance 33
3 Tests of Stochastic Dominance: A Survey 37
4 GARCH Effects on Statistical Procedures 49
4.1 Notations, Definitions and Preliminary Results 51
4.2 Procedures for Means 53
4.3 Procedures for Variances 57
4.3.1 Confidence interval for a2 59
4.3.2 F test for equality of variances 60
4.4 Conclusion 63
5 Testing for Stochastic Dominance Using Circular Block Methods 67
5.1 Tests Based on Resampling Methods 69
5.1.1 A Permutation Test from Matched Pairs 69
5.1.2 Tests Using Moving Block Methods 70
3
4 CONTENTS
5.2 Simulation Results for the Conventional Tests 73
5.3 Circular Block Methods as an Alternative Concept 80
5.4 Simulation Results Using Circular Block Methods 84
5.5 Power Investigation 89
5.6 Conclusion 97
6 A Test in which Stochastic Dominance is the Alternative 99
6.1 Introduction 99
6.2 Previous Tests in which Stochastic Dominance is the Alternative . 100
6.3 Discussion and Modification 102
6.4 Simulation Results 109
6.5 Conclusion 129
7 Empirical Application of SD Tests to German Stock Returns 131
7.1 Methodology 131
7.2 Data 133
7.3 Results 135
Appendix 159
List of Symbols 169
List of Abbreviations 173
Bibliography 175 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV022304557 |
| illustrated | Not Illustrated |
| index_date | 2024-07-02T16:56:18Z |
| indexdate | 2024-07-09T20:54:35Z |
| institution | BVB |
| isbn | 9783832249991 3832249990 |
| language | English |
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| physical | 183 S. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Shaker |
| record_format | marc |
| series2 | Berichte aus der Statistik |
| spelling | Kläver, Hendrik Verfasser (DE-588)124274226 aut Tests of stochastic dominance for time series data theory and empirical application Hendrik Kläver Aachen Shaker 2006 183 S. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Statistik Zugl.: Köln, Univ., Diss., 2006 Stochastische Dominanz (DE-588)4219516-0 gnd rswk-swf GARCH-Prozess (DE-588)4346436-1 gnd rswk-swf Statistischer Test (DE-588)4077852-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content GARCH-Prozess (DE-588)4346436-1 s Statistischer Test (DE-588)4077852-6 s Stochastische Dominanz (DE-588)4219516-0 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015514471&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kläver, Hendrik Tests of stochastic dominance for time series data theory and empirical application Stochastische Dominanz (DE-588)4219516-0 gnd GARCH-Prozess (DE-588)4346436-1 gnd Statistischer Test (DE-588)4077852-6 gnd |
| subject_GND | (DE-588)4219516-0 (DE-588)4346436-1 (DE-588)4077852-6 (DE-588)4113937-9 |
| title | Tests of stochastic dominance for time series data theory and empirical application |
| title_auth | Tests of stochastic dominance for time series data theory and empirical application |
| title_exact_search | Tests of stochastic dominance for time series data theory and empirical application |
| title_exact_search_txtP | Tests of stochastic dominance for time series data theory and empirical application |
| title_full | Tests of stochastic dominance for time series data theory and empirical application Hendrik Kläver |
| title_fullStr | Tests of stochastic dominance for time series data theory and empirical application Hendrik Kläver |
| title_full_unstemmed | Tests of stochastic dominance for time series data theory and empirical application Hendrik Kläver |
| title_short | Tests of stochastic dominance for time series data |
| title_sort | tests of stochastic dominance for time series data theory and empirical application |
| title_sub | theory and empirical application |
| topic | Stochastische Dominanz (DE-588)4219516-0 gnd GARCH-Prozess (DE-588)4346436-1 gnd Statistischer Test (DE-588)4077852-6 gnd |
| topic_facet | Stochastische Dominanz GARCH-Prozess Statistischer Test Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015514471&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT klaverhendrik testsofstochasticdominancefortimeseriesdatatheoryandempiricalapplication |