LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS

Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies.     

T.S艾略特之"阿尔佛雷特的爱之歌"与新批评主义

Ｔ .Ｓ .Ｅｌｉｏｔ -ａＣｅｌｅｂｒａｔｅｄＡｍｅｒｉｅａｎＰｏ ｅｔ,ＤｒａｍａｔｉｓｔａｎｄｃｒｉｔｉｃＴ .Ｓ .Ｅｌｉｏｔ (1 888— 1 965 ) ,ａｃｅｌｅｂｒａｔｅｄＡｍｅｒｉ ｃａｎｐｏｅｔ,ｄｒａｍａｔｉｓｔａｎｄｃｒｉｔｉｃ,ｒｅｃｅｉｖｅｄａｎｅｘｃｅｌｌｅｎｔｅｄｕｃａｔｉｏｎｏｆｃｌａｓｓｉｃａｌｌｉｔｅｒａｔｕｒｅｗｈｅｎｈｅｗａｓｙｏｕｎｇ .ＨｅｆｉｎｉｓｈｅｄｈｉｓｓｔｕｄｉｅｓｉｎＨａｒｖａｒｄｕｎｄｅｒｔｈｅｇｕｉｄａｎｃｅｏｆｔｈｅｗｅｌｌ-ｋｎｏｗｎｓｃｈｏｌａｒｓＩｒｖｉｎ…     

斯·茨威格的教育思想

茨威格在其回忆录和一些小说中，对奥地利当时的教育制度、教学计划、学校、教育者、学生等都是有颇多微词的。今天再来审视茨威格对他的中小学生活的回忆，可以看出他对旧教育制度的愤懑，也不难发现其中蕴含着具有远见卓识的教育理念，这在２１世纪我们大兴创新教育之际仍有借鉴作用。     

迷茫中的选择 现实中的妥协——对我国刑诉案中证人出庭困境的理性批判

《刑事诉讼法》经过系统修改在我国颁布实行后,我国的刑事司法制度日益完善,更趋向于合理。但在具体考量刑事司法制度变革是否深入的问题时,证人怠于出庭逐渐成为衡量其成功与否的重要因素。对此问题的探究,不能仅站在国家管理者的高度凭惯性思考,需要研究者超越历史的局限,从证人对自身重大利益的关切,以及社会强势群体的示范导向和人情社会的惰性阻碍着眼,加以理性地批判。     

英语写作中有效反馈信息的探讨

文章简要阐述了反馈信息,论述了作文工作研究的意义及在作文写作中有效的信息反馈形式,提出了增强写作能力的可行措施。     

农民工社会保障现状分析与政策建议

通过调查发现,农民工存在较为严重的社会保障问题,而这种状况又隐藏着严重的社会隐患,造成农民工社会保障缺失有社会地位方面的、认识方面的、资金方面和操作方面的原因。为解决农民工社会保障问题必须建立有利于城乡衔接的农民工社会保障制度和实施积极的促进农民工就业的政策。     

论奥斯古德对昆明高峣社区的人类学研究

1938年夏天,美国年轻学者科尼利尔斯·奥斯古德为了履行与燕京大学的合作计划,不远万里来到滇池西岸一个名不见经传的小村庄调查.1961年,他开启尘封的笔记本,整理旧资料,补充新文献,完成了<旧中国的农村生活:对云南高峣的社区研究>.70年过去,重温科尼利尔斯·奥斯古德的研究历程,我们仍会从中获得许多有益的启示.     

Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix

Approximation formulae are developed for the bias of ordinary and generalized Least Squares Dummy Variable (LSDV) estimators in dynamic panel data models. Results from Kiviet [Kiviet, J. F. (1995), on bias, inconsistency, and efficiency of various estimators in dynamic panel data models, J. Econometrics68:53-78; Kiviet, J. F. (1999), Expectations of expansions for estimators in a dynamic panel data model: some results for weakly exogenous regressors, In: Hsiao, C., Lahiri, K., Lee, L-F., Pesaran, M. H., eds., Analysis of Panels and Limited Dependent Variables, Cambridge: Cambridge University Press, pp. 199-225] are extended to higher-order dynamic panel data models with general covariance structure. The focus is on estimation of both short- and long-run coefficients. The results show that proper modelling of the disturbance covariance structure is indispensable. The bias approximations are used to construct bias corrected estimators which are then applied to quarterly data from 14 European Union countries. Money demand functions for M1, M2 and M3 are estimated for the EU area as a whole for the period 1991: I-1995: IV. Significant spillovers between countries are found reflecting the dependence of domestic money demand on foreign developments. The empirical results show that in general plausible long-run effects are obtained by the bias corrected estimators. Moreover, finite sample bias, although of moderate magnitude, is present underlining the importance of more refined estimation techniques. Also the efficiency gains by exploiting the heteroscedasticity and cross-correlation patterns between countries are sometimes considerable.     

被遮蔽的"文革"叙事--从《玫瑰门》评论小史谈起

<玫瑰门>是铁凝20世纪80年代后期一部以"文革"为背景的重要作品,但从<玫瑰门>的评论小史可以看到,80年代后半期以来,评论界对"文革"主题的忽略与遮蔽是普遍的.其中对抽象人性的偏爱,导致评论界对铁凝等一些小说家揭开"文革"政治对人性阴暗面的催生和放大,与人性固有之丑陋的合谋真相这一努力,大多视而不见.这一情形与80年代中期开始形成的当代文学观密不可分,也与"瞻前"而非"顾后"的社会文化心理有着内在的联系.     

从国际法看巴勒斯坦建国

巴勒斯坦建国问题是巴以冲突中悬而未决的棘手问题，在当前巴以和平进程受挫情况下，它渐渐成为巴以和谈的重要议题，且有可能成为和谈的突破口．本文从国际法角度，结合历史，分析了巴建国问题在法理上具备了哪些条件，缺哪些条件，据此对巴建国前景作个预测．