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Theory and Application of an Economic Performance Measure of Risk

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Niu, Cuizhen y Guo, Xu y McAleer, Michael y Wong, Wing-Keung (2017) Theory and Application of an Economic Performance Measure of Risk. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 18, 2017, ] (No publicado)

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Resumen

Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence intervals for the difference of EPMs for two independent samples. We also derive the asymptotic distribution for EPM and for the difference of two EPMs when the samples are independent. We conduct simulations to show the proposed theory performs well for one and two independent samples. The simulations show that the proposed approach is robust in the dependent case. The theory developed is used to construct both onesample and two-sample confidence intervals of EPMs for Singapore and USA stock indices.


Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Economic performance measure; Asymptotic confidence interval; Bootstrapbased confidence interval; Method of variance estimates recovery.
Materias:Ciencias > Matemáticas
Ciencias > Matemáticas > Estadística matemática
Ciencias Sociales > Economía > Econometría
JEL:C12, C15
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2017
Número:18
Código ID:43464
Depositado:20 Jun 2017 12:29
Última Modificación:20 Jun 2017 12:29

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