2004, 1999, English, Article, Working paper edition: Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality Knight, John; Satchell, Stephen E.

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Physical Description
  • 155420 bytes, application/​pdf
  • Working Paper
Published
  • 2004-06-16T16:05:52Z
  • 1999-06
Language
  • English

Edition details

Title
  • Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality
Author
  • Knight, John
  • Satchell, Stephen E.
Published
  • 2004-06-16T16:05:52Z
  • 1999-06
Physical Description
  • 155420 bytes, application/​pdf
  • Working Paper
Subjects
Notes
  • The 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.
Language
  • English
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