A Bias–Reduced Log–Periodogram Regression Estimator for the Long–Memory Parameter

In this paper, we propose a simple bias–reduced log–periodogram regression estimator, ^d_r, of the long–memory parameter, d, that eliminates the first– and higher–order biases of the Geweke and Porter–Hudak (1983) (GPH) estimator. The bias–reduced estimator is the same as the GPH estimator except that one includes frequencies to the power 2k for k=1,…,r, for some positive integer r, as additional regressors in the pseudo–regression model that yields the GPH estimator. The reduction in bias is obtained using assumptions on the spectrum only in a neighborhood of the zero frequency. Following the work of Robinson (1995b) and Hurvich, Deo, and Brodsky (1998), we establish the asymptotic bias, variance, and mean–squared error (MSE) of ^d_r, determine the asymptotic MSE optimal choice of the number of frequencies, m, to include in the regression, and establish the asymptotic normality of ^d_r. These results show that the bias of ^d_r goes to zero at a faster rate than that of the GPH estimator when the normalized spectrum at zero is sufficiently smooth, but that its variance only is increased by a multiplicative constant. We show that the bias–reduced estimator ^d_r attains the optimal rate of convergence for a class of spectral densities that includes those that are smooth of order s≥1 at zero when r≥(s−2)/2 and m is chosen appropriately. For s>2, the GPH estimator does not attain this rate. The proof uses results of Giraitis, Robinson, and Samarov (1997). We specify a data–dependent plug–in method for selecting the number of frequencies m to minimize asymptotic MSE for a given value of r. Some Monte Carlo simulation results for stationary Gaussian ARFIMA (1, d, 1) and (2, d, 0) models show that the bias–reduced estimators perform well relative to the standard log–periodogram regression estimator.     

网络环境版权相关法律问题

版权保护制度受技术发展的影响极大。数字传播技术和因特网的广泛使用,打破了版权法的利益平衡,对版权法的主要概念以及版权人的相关经济权利造成了一定的影响。在网络环境中,作品具有更大的开放性,因而具有极强的、难以克服的外部经济效果,版权人排除他人对作品进行使用的成本极高。在网络环境中,网络作品的私有将变得非常困难,网络环境中版权制度的走向是,版权将变为一种公共权利,作品由政府提供将是惟一的选择。     

论上市公司的不公平关联交易

上市公司利用不公平关联交易达到利润操纵,以实现配股、保牌等目的,受到国家相关制度的处罚。本文就不公平关联交易的方式、危害进行了分析,并对防止不公平关联交易的发生提出了建议。     

Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks

In this article, we consider a discrete-time risk model with insurance and financial risks. We derive some refinements of a general asymptotic formula for the finite-time ruin probability under the assumptions that the net losses follow a common distribution in the intersection between the subexponential class and the Gumbel maximum domain of attraction, and the stochastic discount factors of the risky asset have a common distribution with extended regular variation. The obtained asymptotic upper and lower bounds are transparent and computable.     

Some Theoretical and Simulation Results on the Frequency Domain Causality Test

Breitung and Candelon (2006 Breitung , J. , Candelon , B. ( 2006 ). Testing for short- and long-run causality: A frequency-domain approach . Journal of Econometrics 132 : 363 – 378 .[Crossref], [Web of Science ®] , [Google Scholar]) in Journal of Econometrics proposed a simple statistical testing procedure for the noncausality hypothesis at a given frequency. In their paper, however, they reported some theoretical results indicating that their test severely suffers from quite low power when the noncausality hypothesis is tested at a frequency close to 0 or pi. This paper examines whether or not these results indicate their procedure is useless at such frequencies.     

Moment-Implied Densities: Properties and Applications

Suppose one uses a parametric density function based on the first four (conditional) moments to model risk. There are quite a few densities to choose from and depending on which is selected, one implicitly assumes very different tail behavior and very different feasible skewness/kurtosis combinations. Surprisingly, there is no systematic analysis of the tradeoff one faces. It is the purpose of the article to address this. We focus on the tail behavior and the range of skewness and kurtosis as these are key for common applications such as risk management.     

资本转型：仫佬族文化传承的困境与突破

仫佬族文化在学校、家庭、社会场域中的传承效果存在显著差异。不同场域中的文化传承行动者掌握的资本类型、数量、结构不同,获取利益分配的机会有失公正,并受各自场域中固有惯习的束缚。仫佬族文化传承困境的突破,重在仫佬族文化资源向文化资本、经济资本、社会资本、象征性资本成功转型,构建具有生产性、公益性、可持续性特征的文化再生产机制,秉承符合组织制度、社会网络与资本建构协调发展的合法性逻辑。     

关于网络公共领域中新闻建构者的探讨——以“新浪微博”为例

在后现代社会中传统公共领域逐渐瓦解之时,新媒体技术的运用却使网络形成了新的公共领域。与此同时,媒介的建构也发生着巨大改变,原本的新闻受众也可能成为新闻建构者。因此,受众对于新闻建构的作用更为凸显。在新闻传播过程不同环节的建构行为中,网络使得受众加入建构行列,并对建构结果带来终极意义的影响。但传统新闻产制过程中传播者大多为新闻专业人士,新闻建构问题也主要从其角度讨论。因而以新媒体时代拥有双重身份的受众为研究角度也便有了特殊的价值。     

基于不平顺谱的轨道不平顺状态评价与识别探讨

线路不同区段轨道质量参差不齐,但其幅频差异能很好地在各区段轨道不平顺功率谱密度（PSD）曲线上得到表征。基于此,结合沪宁客运专线轨检数据,从识别和评价两个方面对轨道平顺状态进行了研究。基于不同区段轨道谱存在幅频特性差异,提出以200 m为一研究单元,通过分频段离散各单元轨道谱幅频信息,以三维图的形式进行不平顺的时频域识别分析。借鉴轨道谱分级管理的方法,同时综合波段整体不平顺和波段内各波长幅值波动程度两项指标,研究并给出了评价各里程单元平顺性的方法,将综合评价后各区段所属不平顺状态等级划分为优秀、良好、合格、失格。     

法律领域客观性的挑战与拯救——一个知识社会学的梳理与启示

在后现代法学大行其道的背景下,法律领域的客观性、普遍性、确定性等现代理性主义价值观念遭遇了空前的冲击。不断强调法律领域的主观性、禾确定性、差异性、不可预测性等等。在法律解释领域,由于不断地引介哲学解释学的观念,法律界人士开始利用哲学解释学的资源。哲学解释学不承认客观重构的可能,强调作者独立于文本和自我立法,造成法律解释的任意。站在维护法治的立场上,国内外诸多学者在质疑声中从不同的角度论证了法律领域的客观性问题,然而,从知识社会学的角度对法律领域客观性问题进行梳理,对于反思当下中国的法治具有知识性的贡献。