Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics

Non-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability theory for applications in statistical analysis. Their power is illustrated by a sustained application of OU processes within the context of finance and econometrics. We construct continuous time stochastic volatility models for financial assets where the volatility processes are superpositions of positive OU processes, and we study these models in relation to financial data and theory.     

我国猪肉国际竞争力及出口影响因素实证分析

通过贸易竞争力指数和显示比较优势指数对我国1984-2006年猪肉的国际竞争力进行了测算,结果表明,我国猪肉的国际竞争力普遍不强,且存在一种下降的趋势。对出口影响因素的实证分析结果表明:世界猪肉市场规模与RCA对我国猪肉出口影响显著为正,而SPS协议显著降低了我国猪肉的出口,价格不是影响我国猪肉出口的主要因素。     

中国企业出口与生产率关系实证研究——对制造业企业自我选择效应和出口中学效应的分析

运用2005—2008年中国14个制造业企业面板数据,分析企业出口的自我选择效应和出口中学效应,结果表明:中国制造业企业出口与生产率的关系违背异质性企业贸易模型,自我选择效应不显著,并且存在"生产率悖论";出口中学效应也不显著。虽然出口企业的生产率与出口规模正相关,但在控制其他影响出口规模的变量后,生产率与出口规模则呈现负相关;在控制其他影响生产率的变量后,出口规模与生产率同样也会呈现负相关。中国企业出口的自我选择效应不显著的原因在于其加工贸易等现实条件与经典理论假设的背离;而中国企业出口中学效应不明显的重要原因则在于其自我选择效应的不显著和规模报酬递减。     

Testing Target-Zone Models Using Efficient Method of Moments

The objectives of this article are threefold—(1) to test target-zone models using more efficient and direct econometric methodology than previous research, (2) to identify an implicit band, if it exists, from observed data and to test target-zone models based on the estimated implicit band rather than the stated official band, and (3) to examine whether the exchange rate can be modeled as a managed float system with a central parity that lacks a band. We find strong evidence that a model with intramarginal intervention and a narrower implicit (unofficial) band can describe the dynamics of the French franc/Deutsche mark exchange rate from January 1, 1987–July 30, 1993.     

Estimation of Correlation for Continuous Semimartingales

Abstract. In this study we are concerned with inference on the correlation parameter ρ of two Brownian motions, when only high‐frequency observations from two one‐dimensional continuous Itô semimartingales, driven by these particular Brownian motions, are available. Estimators for ρ are constructed in two situations: either when both components are observed (at the same time), or when only one component is observed and the other one represents its volatility process and thus has to be estimated from the data as well. In the first case it is shown that our estimator has the same asymptotic behaviour as the standard one for i.i.d. normal observations, whereas a feasible estimator can still be defined in the second framework, but with a slower rate of convergence.     

Tests for Cointegration Breakdown Over a Short Time Period

We derive a speculative trading model with endogenous informed trading that yields a conditionally heteroscedastic time series for trading volume and the squared price changes. We use half-hourly price-change and volume data for IBM during 1988 to test the model and estimate the structural parameters using the simulated method-of-moments estimation procedure. Although the model seems to do a reasonable job fitting the unconditional moments of the volume and the squared price change processes, it fares less well in fitting the relation between current trading volume and lags of trading volume and squared volume's (and its lag's) relation to squared price changes.     

新疆霍尔果斯口岸贸易史研究（1983～2OOO年）

1993年,霍尔果斯口岸恢复贸易通商,并且有了快速发展,1992-1996年,霍尔果斯口岸贸易发展发展进入了鼎盛期,但在1996年以后,其发展则进入了低谷期。     

我国农产品出口市场的贸易壁垒及对策

本文针对我国农产品出口贸易的现状、存在问题,具体分析了发达国家对中国农产品所构建贸易壁垒的表现形式,以及对我国农产品出口贸易的影响。立足我国农业国际化发展的新趋势与发达国家在构建贸易壁垒方面的比较差距,从宏观和战略角度,提出了我国突破贸易壁垒、扩大农产品出口、加快农业国际化的应对策略和政策建议。     

闽台农产品出口品种结构比较研究

通过对闽台农产品出口品种结构进行比较研究和对闽台农产品出口品种的相似性进行量化分析,得出了闽台农产品出口品种结构相似性强的结论,并据此提出了闽台农业加强合作的建议。