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

14

DOWNLOADS

793

SSRN CITATIONS
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in Total Papers Citations

22

CROSSREF CITATIONS

104

Scholarly Papers (14)

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 42 (508,557)
Citation 1

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2.

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 205 (180,565)
Citation 5

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

3.

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 127 (269,792)

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

4.

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, PIDE and Cornell University
Downloads 109 (301,036)

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Structural Change,

5.

A Test of General Asymmetric Dependence

Journal of Applied Econometrics, Forthcoming
Number of pages: 34 Posted: 11 May 2018 Last Revised: 24 May 2018
Lei Jiang, Esfandiar Maasoumi, Jiening Pan and Ke Wu
Tsinghua University, Emory University, Nankai University and Renmin University of China
Downloads 64 (413,896)

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

6.

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 63 (417,323)
Citation 16

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7.

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 59 (430,958)

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

8.

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 42 (498,388)

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

9.

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 27 (576,249)
Citation 4

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10.

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 25 (588,819)

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

11.

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 21 (615,485)

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

12.

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 7 (718,123)

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

13.

Who Benefits from Marriage?

Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 1, pp. 1-33, February 2009
Number of pages: 33 Posted: 19 Jan 2009
Esfandiar Maasoumi, Daniel L. Millimet and Dipanwita Sarkar
Emory University, Southern Methodist University (SMU) - Department of Economics and Southern Methodist University (SMU) - Department of Economics
Downloads 2 (759,466)
Citation 1
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14.

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 Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics

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