Stationary bootstrapping for realized covariations of high frequency financial data

This paper studies the stationary bootstrap applicability for realized covariations of high frequency asynchronous financial data. The stationary bootstrap method, which is characterized by a block-bootstrap with random block length, is applied to estimate the integrated covariations. The bootstrap realized covariance, bootstrap realized regression coefficient and bootstrap realized correlation coefficient are proposed, and the validity of the stationary bootstrapping for them is established both for large sample and for finite sample. Consistencies of bootstrap distributions are established, which provide us valid stationary bootstrap confidence intervals. The bootstrap confidence intervals do not require a consistent estimator of a nuisance parameter arising from nonsynchronous unequally spaced sampling while those based on a normal asymptotic theory require a consistent estimator. A Monte-Carlo comparison reveals that the proposed stationary bootstrap confidence intervals have better coverage probabilities than those based on normal approximation.     

Decomposition of Variance for Spatial Cox Processes

Abstract. Spatial Cox point processes is a natural framework for quantifying the various sources of variation governing the spatial distribution of rain forest trees. We introduce a general criterion for variance decomposition for spatial Cox processes and apply it to specific Cox process models with additive or log linear random intensity functions. We moreover consider a new and flexible class of pair correlation function models given in terms of normal variance mixture covariance functions. The proposed methodology is applied to point pattern data sets of locations of tropical rain forest trees.     

On prediction from the location-scale model with equi correlated response

The location-scale model with equi-correlated responses is discussed. The structure of the location-scale model is utilised to genera-te the prediction distribution of a future response and that of a set of future responses. The method avoids the integration procedures usually involved in derivation of prediction distributions and yields results same as those obtained by the Bayes method with the vague prior distribution* Finally the re-suits have been specialised to cover the case of the normal intra-class model.     

“烘云托月”与“说不可说”冯友兰新理学“负方法”的关学阐释

在冯友兰新理学关于方法论的论述中，其用“负方法”对形而上学的“讲述”对美学有着深刻的启示意义，甚至可以说它本身就涵蕴着丰富的关学意味。道家的方法、禅宗的方法和诗的言说，是“负方法”的三种典型言说方式，这三种言说形式具有美学阐释的可能性，表现在直觉性、神秘性、超越性和浑整性4个方面。     

Discrete Linnik Weibull distribution

Abstract

We introduce a new family of distributions using truncated discrete Linnik distribution. This family is a rich family of distributions which includes many important families of distributions such as Marshall–Olkin family of distributions, family of distributions generated through truncated negative binomial distribution, family of distributions generated through truncated discrete Mittag–Leffler distribution etc. Some properties of the new family of distributions are derived. A particular case of the family, a five parameter generalization of Weibull distribution, namely discrete Linnik Weibull distribution is given special attention. This distribution is a generalization of many distributions, such as extended exponentiated Weibull, exponentiated Weibull, Weibull truncated negative binomial, generalized exponential truncated negative binomial, Marshall-Olkin extended Weibull, Marshall–Olkin generalized exponential, exponential truncated negative binomial, Marshall–Olkin exponential and generalized exponential. The shape properties, moments, median, distribution of order statistics, stochastic ordering and stress–strength properties of the new generalized Weibull distribution are derived. The unknown parameters of the distribution are estimated using maximum likelihood method. The discrete Linnik Weibull distribution is fitted to a survival time data set and it is shown that the distribution is more appropriate than other competitive models.     

Female Labor Supply,Human Capital,and Welfare Reform

We estimate a dynamic model of employment, human capital accumulation—including education, and savings for women in the United Kingdom, exploiting tax and benefit reforms, and use it to analyze the effects of welfare policy. We find substantial elasticities for labor supply and particularly for lone mothers. Returns to experience, which are important in determining the longer‐term effects of policy, increase with education, but experience mainly accumulates when in full‐time employment. Tax credits are welfare improving in the U.K., increase lone‐mother labor supply and marginally reduce educational attainment, but the employment effects do not extend beyond the period of eligibility. Marginal increases in tax credits improve welfare more than equally costly increases in income support or tax cuts.     

Cautious Expected Utility and the Certainty Effect

Many violations of the independence axiom of expected utility can be traced to subjects' attraction to risk‐free prospects. The key axiom in this paper, negative certainty independence ([Dillenberger, 2010]), formalizes this tendency. Our main result is a utility representation of all preferences over monetary lotteries that satisfy negative certainty independence together with basic rationality postulates. Such preferences can be represented as if the agent were unsure of how to evaluate a given lottery p; instead, she has in mind a set of possible utility functions over outcomes and displays a cautious behavior: she computes the certainty equivalent of p with respect to each possible function in the set and picks the smallest one. The set of utilities is unique in a well defined sense. We show that our representation can also be derived from a “cautious” completion of an incomplete preference relation.     

Independence test in high-dimension using distance correlation and power enhancement technique

Abstract

This paper is concerned with independence test in high-dimension. A new test statistic is proposed with two terms: one is based on the modified distance correlation statistic, the other is constructed to enhance the power under sparse alternatives. Asymptotic properties of the test statistic are discussed under some regular conditions. The finite-sample simulations exhibit its superiority over some existing procedures. Finally, a real data example illustrates the proposed test.     

项目制研究的现状与新路径

项目制作为一种新的国家治理体制,在中国经济与社会发展中发挥着日益深广的影响力。文献考察发现,国内研究围绕五个主要议题展开,研究成果较集中于近六年内;国外研究也有一定基础。既有研究尚存在两方面突出问题：一是研究视角有缺失,偏重宏观层面和政府视角而忽视了基层村庄社会的回应;二是研究议题失均衡,对项目制负面效应发生机理和防范机制研究还很薄弱。“村庄回应”是项目制研究值得重视的一条新路径,以此路径切入,可探寻“项目进村”的实践逻辑与问题成因,是有利于找到优化基层治理格局、提升项目制实践成效并防范“项目进村”负面效应的有效方法。     

FDI 对安徽省装备制造业发展的影响分析

外商直接投资（FDI）在拓宽国内资金需求渠道的同时,具有较强的技术溢出效应,迎合了装备制造业资本和技术密集的双重特征。当前,安徽省装备制造业处在资本密集型占主导的发展阶段,对 FDI的偏好性较强。研究表明,安徽省装备制造业与FDI间具有较强的相关性,FDI能够有效促进安徽省装备制造业发展,但安徽省装备制造业对FDI的吸引力较弱,且各具体行业对 FDI依赖程度存在较大差异。据此提出相应的建议,一方面,安徽省应注重装备制造业转型升级,提升行业整体竞争力;另一方面,要优化投资环境,增强安徽省装备制造业对FDI的引致能力。