Russell Davidson

McGill University

Professor

855 Sherbrooke Street West

Department of Economics

Montreal, Quebec H3A 2T7 H3A 2T7

Canada

AMSE-GREQAM

Professeur

GREQAM

Centre de la Vieille Charité

Marseille, 13002

France

  • McGill University

    • Email
    • Tel: 514-398-4400 x 09008

  • AMSE-GREQAM

    • Email
    • Tel: +33 491140740
SCHOLARLY PAPERS

5

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836

SSRN CITATIONS
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Top 12,903

in Total Papers Citations

71

CROSSREF CITATIONS

45

Scholarly Papers (5)

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1.

Testing for Restricted Stochastic Dominance

Downloads 374 (147,086)
Citation 35

Testing for Restricted Stochastic Dominance

IZA Discussion Paper No. 2047
Number of pages: 37 Posted: 30 Mar 2006
Russell Davidson and Jean-Yves Duclos
McGill University and Laval University
Downloads 251 (222,391)
Citation 16

Abstract:

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stochastic dominance, empirical likelihood, bootstrap test

Testing for Restricted Stochastic Dominance

CIRPEE Working Paper No. 06-09
Number of pages: 36 Posted: 04 Apr 2006
Russell Davidson and Jean-Yves Duclos
McGill University and Laval University
Downloads 123 (417,018)
Citation 21

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Stochastic dominance, empirical likelihood, bootstrap test

2.

Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality

Universite Laval WP98-05
Number of pages: 39 Posted: 26 Mar 1998
Russell Davidson and Jean-Yves Duclos
McGill University and Laval University
Downloads 303 (184,518)
Citation 50

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3.

Tail Risk, Almost Stochastic Dominance and Index Option Anomalies

Number of pages: 54 Posted: 04 Apr 2022
Michal Czerwonko, Russell Davidson and Stylianos Perrakis
Concordia University, Quebec - John Molson School of Business, McGill University and Concordia University, Quebec - John Molson School of Business
Downloads 96 (496,248)

Abstract:

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S&P 500 options, stochastic dominance, option mispricing, portfolio management

4.

The Iterated Bootstrap

Number of pages: 32 Posted: 17 Sep 2013
Russell Davidson and Mirza Trokic
McGill University and Bilkent University
Downloads 63 (632,749)
Citation 1

Abstract:

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Bootstrap iteration, fast iterated bootstrap

5.

Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory Versus Structural Breaks

Posted: 09 Jan 2018 Last Revised: 19 Nov 2019
Abderazak Ben Maatoug, Rim Ammar Lamouchi, Russell Davidson and Ibrahim Fatnassi
University of Bisha, King Abdulaziz University Faculty of Economics and Administration, McGill University and University of Jeddah

Abstract:

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Foreign Exchange Markets, Realized Volatility, High-Frequency Data, Long Memory, Structural Change