Template-type: ReDIF-Paper 1.0
Author-Name: Cuizhen Niu
Author-Workplace-Name: School of Statistics, Beijing Normal University, Beijing.
Author-Name: Xu Guo
Author-Workplace-Name:
 School of Statistics, Beijing Normal University, Beijing.
Author-Name:
 Wing-Keung Wong
Author-Workplace-Name:
 Department of Finance, Asia University, Taiwan Department of Economics, Lingnan University, Hong Kong.
Author-Name:
 Michael McAleer
Author-Workplace-Name:
 Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
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 onesample and two-sample confidence intervals of EPMs for Singapore and USA stock indices.
Classification-JEL: C12, C15.
Keywords: Economic performance measure; Asymptotic confidence interval; Bootstrapbased confidence interval; Method of variance estimates 
	recovery.
Length: 44 pages 
Creation-Date: 2017-06
Number: 2017-18
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1718.txt
File-URL: https://eprints.ucm.es/id/eprint/43464/1/1718.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1718