Template-Type: ReDIF-Paper 1.0
Author-Name: Niu, C.
Author-Name-Last: Niu
Author-Name-First: Cuizhen
Author-Name: Guo, X.
Author-Name-Last: Guo
Author-Name-First: Xu
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Author-Name: Wong, W.-K.
Author-Name-Last: Wong
Author-Name-First: Wing-Keung
Author-Person: pwo79
Title: Theory and Application of an Economic Performance Measure of Risk
Abstract: 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 one-sample and two-sample confidence intervals of EPMs for
 Singapore and USA stock indices.
Length: 43
Creation-Date: 2017-06-15
File-URL: https://repub.eur.nl/pub/100417/EI2017-18-Report.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI2017-18
Classification-JEL: C12, C15
Keywords: Economic performance measure, Asymptotic confidence interval, Bootstrap-, based confidence interval, Method of variance estimates recovery
Handle: RePEc:ems:eureir:100417