VaR-APARCH模型与证券投资风险量化分析

基本统计分析发现,上证综合指数回报率分布存在尖峰肥尾性,不服从正态分布,并且还具有杠杆效应。本文应用APARCH模型在三种分布假设下对上证综合指数通过事后模拟和条件单步预测来计算上证综合指数的VaR风险值,然后把它与应用GARCH模型的估计结果进行比较分析。通过返回检验,我们发现,APARCH应用于VaR估计是统计有效的,并且明显优于GARHC模型。     

发达国家大学城的发展模式

20世纪中叶以后,伴随着西方高等教育的大规模发展,一批以大学为主体、以城市为依托、产学研一体化的特殊区域相继而起,并逐步演绎为"自然发展型"和"规划建设型"两种典型现代意义上的大学城。其中,"自然发展型"大学城主要涵指"多校区大学"和"多元化大学"两种模式,"规划建设型"大学城主要涵括"大学科技园"和"现代大学城"两种类型;前者以英国剑桥大学城和美国加州大学城等而著名,后者以日本筑波大学城和美国密苏里大学城而闻世。     

全球化与东亚金融危机

全球化是当今世界不可阻挡的潮流和趋势 ,也是国际学术界关注的热点题域。从全球化的视野出发来观照东亚金融危机 ,可以看出东亚金融危机实质上既是全球化所产生的负面影响的危机、全球化带来的国际分工体系的危机、是全球化过程中世界经济潜在危机的大爆发 ;也是东亚模式本身缺陷的危机、有关国家政策失误的危机、是一种发展危机。东亚金融危机使东亚国家遭受沉重打击 ,但不能借此否定“东亚发展模式”和“东亚奇迹”的存在     

传统资产定价理论和资产交易理论研究

传统的资产定价理论和资产交易理论都有一个基本假设:人是理性的。然而,金融市场中大量存在的种种"异常",对基于理性假设之上的经典金融理论提出了挑战。通过回顾传统的资产定价理论和资产交易理论,可以看到建立一种标准的行为模型,应该是金融理论的下一个主要方面所在,该标准行为模型应该既能表达有限理性,又能兼容理性行为。     

Estimation of a Change Point in a Hazard Function Based on Censored Data

The hazard function plays an important role in reliability or survival studies since it describes the instantaneous risk of failure of items at a time point, given that they have not failed before. In some real life applications, abrupt changes in the hazard function are observed due to overhauls, major operations or specific maintenance activities. In such situations it is of interest to detect the location where such a change occurs and estimate the size of the change. In this paper we consider the problem of estimating a single change point in a piecewise constant hazard function when the observed variables are subject to random censoring. We suggest an estimation procedure that is based on certain structural properties and on least squares ideas. A simulation study is carried out to compare the performance of this estimator with two estimators available in the literature: an estimator based on a functional of the Nelson-Aalen estimator and a maximum likelihood estimator. The proposed least squares estimator tums out to be less biased than the other two estimators, but has a larger variance. We illustrate the estimation method on some real data sets.     

Marginal Regression of Gaps Between Recurrent Events

Recurrent event data typically exhibit the phenomenon of intra-individual correlation, owing to not only observed covariates but also random effects. In many applications, the population may be reasonably postulated as a heterogeneous mixture of individual renewal processes, and the inference of interest is the effect of individual-level covariates. In this article, we suggest and investigate a marginal proportional hazards model for gaps between recurrent events. A connection is established between observed gap times and clustered survival data with informative cluster size. We subsequently construct a novel and general inference procedure for the latter, based on a functional formulation of standard Cox regression. Large-sample theory is established for the proposed estimators. Numerical studies demonstrate that the procedure performs well with practical sample sizes. Application to the well-known bladder tumor data is given as an illustration.     

Information preserving statistical obfuscation

The problem of limiting the disclosure of information gathered on a set of companies or individuals (the respondents) is considered, the aim being to provide useful information while preserving confidentiality of sensitive information. The paper proposes a method which explicitly preserves certain information contained in the data. The data are assumed to consist of two sets of information on each respondent: public data and specific survey data. It is assumed in this paper that both sets of data are liable to be released for a subset of respondents. However, the public data will be altered in some way to preserve confidentiality whereas the specific survey data is to be disclosed without alteration. The paper proposes a model based approach to this problem by utilizing the information contained in the sufficient statistics obtained from fitting a model to the public data by conditioning on the survey data. Deterministic and stochastic variants of the method are considered.     

时距估计干扰效应的研究与思考

已有的研究从不同作业类型下的干扰效应和相关的理论解释两个方面对时距估计干扰效应进行了剖析 ,未来的研究应以分段 /综合模型为基础进行探讨 ,时距加工的认知神经研究促进了人们对时间信息加工实质的理解。     

美国"新经济"的"旧经济"解析及其启示

"新经济"概念首先在美国兴起,随后迅即在世界范围内广泛传播与使用.究竟什么是"新经济"?"新经济"究竟"新"在哪里?采用总需求-总供给模型,对美国"新经济"现象进行理论分析需求的拉动和供给的推进是美国出现"新经济"的原因;技术创新和外需主导型战略的实施拉动了总需求;信息技术(产业)、全球化以及"里根经济学"的长期效应使AS得以持续扩张.其成功之处对我国经济发展同样具有重要的借鉴价值.     

湖南澧水中下游流域资源经济评价与开发模式探讨

澧水中下游流域区位优势比较明显 ,城镇比较密集 ,水力、矿产、旅游和生物资源都很丰富 ,实施流域开发条件优越 ,但也受到地区经济发展水平较低、产业结构趋同、城市规模偏小、流域经济运作不够协调、整体投资环境比较封闭、资源开发手段原始等因素的制约。战略上宜采取“点 -轴 -网 -片”开发模式 ,以资源开发为主导 ,把本区建成能源、建材、化工、轻工等工业发达 ,城镇密集的区域性经济走廊和农业商品生产基地