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dc.contributor.authorKnight, Johnen_GB
dc.contributor.authorSatchell, Stephen E.en_GB
dc.date.accessioned2004-06-16T16:05:52Z
dc.date.available2004-06-16T16:05:52Z
dc.date.created1999-06en_GB
dc.date.issued2004-06-16T16:05:52Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/422
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/422
dc.description.abstractThe authors develop a test of infinite degree stochastic dominance based on the use of the empirical moment generating function. Two applications are considered. One uses the income data of Anderson (Econometrica, 1996) and derives results consistent with his. In the other application, the dominance between the US and UK stockmarkets is examined. Using data on the SP 500 and the FTALL-Share, it is shown that the US displays infinite degree stochastic dominance over the UK.en_GB
dc.format.extent155420 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subject.classificationClassification-JEL: C12, C44, D61en_GB
dc.subject.otherStochastic dominance, Inequality, Proper risk aversionen_GB
dc.titleTesting for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequalityen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5032


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