Esfandiar Maasoumi

Emory University

Distinguished Professor

1602 Fishburne Drive

Atlanta, GA 30322

United States

http://economics.emory.edu/home/people/faculty/Maasoumiesfandiar_Home.html

SCHOLARLY PAPERS

17

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1,874

SSRN CITATIONS
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Top 11,238

in Total Papers Citations

37

CROSSREF CITATIONS

103

Scholarly Papers (17)

1.

Identifying Factors via Automatic Debiased Machine Learning

Journal of Applied Econometrics, Forthcoming
Number of pages: 48 Posted: 28 Sep 2022 Last Revised: 26 Dec 2023
Esfandiar Maasoumi, Jianqiu Wang, Zhuo Wang and Ke Wu
Emory University, Capital University of Economics and Business, Renmin University of China - School of Finance and Renmin University of China
Downloads 288 (195,958)

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Factor zoo; Nonlinear SDF; Automatic debiased machine learning

Consistent Testing for Stochastic Dominance: A Subsampling Approach

LSE STICERD Research Paper No. EM433
Number of pages: 50 Posted: 21 Jul 2008
Oliver B. Linton, Esfandiar Maasoumi and Yoon-Jae Whang
University of Cambridge, Emory University and Seoul National University - School of Economics
Downloads 68 (619,744)
Citation 1

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3.

Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance

USC-INET Research Paper No. 16-05
Number of pages: 42 Posted: 13 Mar 2016
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Emory University, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 244 (230,534)
Citation 7

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Stochastic dominance, Welfare, Value-at-Risk, Expected Shortfall, Optimizing strategy, Basel III Accord

4.

Portfolio Choice with Subset Aggregation of Asset Characteristics

Number of pages: 67 Posted: 29 Mar 2022 Last Revised: 06 Sep 2022
Esfandiar Maasoumi, Guoshi Tong, Xudong Wen and Ke Wu
Emory University, Renmin University, Hong Kong University of Science & Technology (HKUST) and Renmin University of China
Downloads 189 (296,732)

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parametric portfolio choice, subset combination, model uncertainty, shrinkage

5.

Ridge-Bayesian Stochastic Discount Factors

Number of pages: 47 Posted: 24 Feb 2023 Last Revised: 10 Apr 2024
Esfandiar Maasoumi, Yuanqi Yang and Yifeng Zhu
Emory University, Central University of Finance and Economics (CUFE) - School of Finance and School of Finance, Central University of Finance and Economics
Downloads 168 (324,544)

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Ridge factors, characteristics-based factors, Bayesian shrinkage, characteristics selection, model uncertainty

6.

A Stochastic Dominance Approach to Financial Risk Management Strategies

Journal of Econometrics, Forthcoming
Number of pages: 14 Posted: 02 Jul 2015
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Emory University and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 158 (341,927)

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Stochastic dominance, Value-at-Risk, daily capital charges, violation penalties, optimizing strategy, Basel III Accord, VIX futures, global financial crisis

7.

Tests for Structural Change, Aggregation, and Homogeneity

Economic Modelling 27.6 (2010): 1382-1391.
Number of pages: 31 Posted: 19 Feb 2010 Last Revised: 11 Oct 2017
Esfandiar Maasoumi, Asad Zaman and Mumtaz Ahmed
Emory University, Al-Nafi and Cornell University
Downloads 136 (385,812)
Citation 1

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Structural Change,

8.

Extremal Quantiles and Stock Price Crashes

Forthcoming in Econometric Reviews
Number of pages: 45 Posted: 31 May 2023 Last Revised: 28 Jul 2023
Cyprus University of Technology, Bank of Greece, Emory University and ESADE Business School
Downloads 102 (478,297)
Citation 1

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Stock price crashes, Extremal quantiles, Extreme value theory, Quantile regression

9.

A Test of General Asymmetric Dependence

Journal of Applied Econometrics, 2018, 33, 1026-1043.
Number of pages: 34 Posted: 11 May 2018 Last Revised: 16 Nov 2023
Lei Jiang, Esfandiar Maasoumi, Jiening Pan and Ke Wu
Tsinghua University, Emory University, Nankai University and Renmin University of China
Downloads 97 (494,673)

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Asymmetric Dependence, Kullback-Leibler Relative Entropy, Exceedance Mutual Information

10.

Consistent Testing for Stochastic Dominance Under General Sampling Schemes

LSE STICERD Research Paper No. EM466
Number of pages: 54 Posted: 21 Jul 2008
Oliver B. Linton, Esfandiar Maasoumi and Yoon-Jae Whang
University of Cambridge, Emory University and Seoul National University - School of Economics
Downloads 92 (511,752)
Citation 27

Abstract:

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11.

The Wage Premium of Naturalized Citizenship

Advances in Econometrics, 36:315-348, 2016.
Number of pages: 43 Posted: 12 Jun 2015 Last Revised: 06 Sep 2019
Esfandiar Maasoumi and Yifeng Zhu
Emory University and School of Finance, Central University of Finance and Economics
Downloads 79 (561,500)

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Earning gap, citizenship, Stochastic Dominance tests, RIF regression, entropy measure

12.

General Aggregation of Misspecified Asset Pricing Models

FRB Atlanta Working Paper No. 2017-10
Number of pages: 33 Posted: 03 Jan 2018
Nikolay Gospodinov and Esfandiar Maasoumi
Federal Reserve Bank of Atlanta and Emory University
Downloads 69 (605,647)

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entropy, model aggregation, asset pricing, misspecified models, oracle inequality, Hellinger distance

13.

A Solution to Aggregation and an Application to Multidimensional 'Well-Being' Frontiers

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 07 Jul 2015
Esfandiar Maasoumi and Jeffrey Racine
Emory University and Department of Economics - McMaster University
Downloads 51 (701,259)
Citation 4

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14.

The Gap between the Conditional Wage Distributions of Incumbents and the Newly Hired Employees: Decomposition and Uniform Ordering

FRB Atlanta Working Paper No. 2014-22
Number of pages: 25 Posted: 04 Apr 2015
Esfandiar Maasoumi, M. Melinda Pitts and Ke Wu
Emory University, Federal Reserve Bank of Atlanta and Renmin University of China
Downloads 49 (713,852)

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wage gap, metric entropy distance, stochastic dominance, wage distributions, counterfactual analysis, human capital, inequality, labor markets

15.

Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests

Number of pages: 38 Posted: 18 Feb 2021
Sofia Anyfantaki, Esfandiar Maasoumi, Jue Ren and Nikolas Topaloglou
Bank of Greece, Emory University, Texas Christian University - M.J. Neeley School of Business and Athens University of Economics and Business
Downloads 46 (732,932)

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Stochastic dominance; Uniform inefficiency; Contact set; Gaussian process; Block bootstrap; Mutual funds; Optimal portfolio; tests; asset portfolios

16.

Evaluating Inflation Targeting Based on the Distribution of Inflation and Inflation Volatility

North American Journal of Economics and Finance, Vol. 26, 2013
Number of pages: 22 Posted: 03 Jul 2015
Muzi Ginindza and Esfandiar Maasoumi
Emory University and Emory University
Downloads 38 (788,940)

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Inflation targeting; Financial indicators; Policy evaluation; Matching; Aggregate indices; Treatment; Monetary policy; Federal reserve; Distributed effects

17.

The Link between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing

Econometric Reviews, 2010
Posted: 03 Jul 2015
Esfandiar Maasoumi and Marcelo C. Medeiros
Emory University and The University of Illinois at Urbana-Champaign

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Bagging, Forecasting, Mixture of models, Model combination, Neural networks, Nonlinear models, Regression trees, Statistical learning, Support vector regression