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Asymptotic Multivariate Dominance: A Financial Application

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86098330" target="_blank" >RIV/61989100:27510/16:86098330 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1007/s11009-016-9502-y" target="_blank" >http://dx.doi.org/10.1007/s11009-016-9502-y</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1007/s11009-016-9502-y" target="_blank" >10.1007/s11009-016-9502-y</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Asymptotic Multivariate Dominance: A Financial Application

  • Original language description

    We propose a multivariate stochastic dominance relation aimed at ranking different financial markets/sectors from the point of view of a non-satiable risk averse investor. In particular, we assume that the vector of returns of a given market is in the domain of attraction of a symmetric stable Paretian law in order to take into account the asymptotic behaviour of the financial returns. We determine the stochastic dominance rule for stable symmetric distributions, where the stability parameter plays a crucial role. Consequently, the multivariate rule for ordering markets is based on a comparison between i) location parameters, ii) dispersion parameters, and iii) stability indices. Finally, we apply the method to the equity markets of the four countries with the highest gross domestic product in 2013, namely, the US, China, Japan and Germany. In this empirical comparison we examine the ex ante and ex post dominance between stock markets, either assuming that the returns are jointly (or conditionally, for a robust approach) Gaussian distributed, or in the domain of attraction of a stable sub-Gaussian law. (C) 2016, Springer Science+Business Media New York.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GA15-23699S" target="_blank" >GA15-23699S: Risk Probability Functionals and Ordering Theory Applied to International Financial Markets and Portfolio Selection Problems</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2016

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Methodology and Computing in Applied Probability

  • ISSN

    1387-5841

  • e-ISSN

  • Volume of the periodical

    18

  • Issue of the periodical within the volume

    4

  • Country of publishing house

    NL - THE KINGDOM OF THE NETHERLANDS

  • Number of pages

    19

  • Pages from-to

    1097-1115

  • UT code for WoS article

  • EID of the result in the Scopus database

    2-s2.0-84992450911