单指标非参数期权定价——改进的非参数定价方法

本文建立一种改进的非参数期权定价模型,称为单指标非参数期权定价模型。相比现有非参数回归期权定价模型是期权价格关于各个因素的多元回归函数,本模型通过变量变换把期权价格多个因素指标转换为一个综合变量——单指标,得到期权价格关于单指标的一元非参数回归方程。改进的模型实现了多元非参数期权定价模型的降维和简化了模型计算;还通过多个期限期权的单指标组合解决了非参数估计的样本数量问题;以及通过期限平滑解决了现有非参数定价模型中的日历效应问题。选取上证50ETF期权数据实证分析表明,无论是样本内的估计结果还是样本外的预测结果都比传统的Black-Scholes模型、半参数Black-Scholes模型和多元非参数回归期权定价模型估计效果有提高。     

与实验紧密结合的工科大学物理小班化探索

针对工科大学物理在小班化进程中的师生角色转换和课时不足等问题,分析了教师角色、教学内容和模式,并结合高校培养目标,从物理理论和实验的关系着手,提出一种将两者融为一体的课程模式,经由多角色教师团队、“全”和“精”的教学内容和开放的教学模式,搭建起理论和实验“承上启下”的桥梁。学生在实验平台上的具体实践表明,这种小班化教学效果明显。     

金融发展影响我国中小企业出口规模的实证研究

基于2001—2013年我国30个省市面板数据,从金融规模、金融结构和金融效率3个角度,详细探究了金融发展与我国中小企业出口规模的关系以及影响效应。结果表明：金融规模对中小企业出口规模扩张存在显著的负向影响,金融结构对中小企业出口规模扩张产生促进作用,而金融效率指标对中小企业出口的影响不显著;政府财政支出和外商直接投资显著促进中小企业出口活动,基础设施水平一定程度上抑制了中小企业出口活动。     

西南山区小城市城镇文化建设SWOT分析——以重庆市城口县为例

文化建设带动区域发展对西南山区小城镇具有一定参考,是实现新形势下的特色城镇化发展的有益尝试。文章选择重庆市城口县为研究对象,运用SWOT研究方法,系统分析城口县在建设城镇文化进程中的优势、局限、机遇和挑战,归纳西南山区小城镇发展城镇文化的内外部环境,研究结果显示,城口县发展城镇文化总体上具有资源丰富的优势和空间受限等局限,国内政策、地方发展机遇等略大于区域竞争的挑战,且个别挑战和局限可以转化为发展机遇和优势。因此,以文化建设带动西南山区小城镇新型城镇化发展的思路具有一定可行性,但要结合小城市当地实际,打造有特色的文化空间格局和构建地方文化体系。     

The k-factor GARMA Process with Infinite Variance Innovations

In this article, we develop the theory of k-factor Gegenbauer Autoregressive Moving Average (GARMA) process with infinite variance innovations which is a generalization of the stable seasonal fractional Autoregressive Integrated Moving Average (ARIMA) model introduced by Diongue et al. (2008 Diongue, A.K., Guégan, D. (2008). Estimation of k-Factor GIGARCH Process: A Monte Carlo Study. Communications in Statistics-Simulation and Computation 37:2037–2049.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]). Stationarity and invertibility conditions of this new model are derived. Conditional Sum of Squares (CSS) and Markov Chains Monte Carlo (MCMC) Whittle methods are investigated for parameter estimation. Monte Carlo simulations are also used to evaluate the finite sample performance of these estimation techniques. Finally, the usefulness of the model is corroborated with the application to streamflow data for Senegal River at Bakel.     

In-Sample Inference and Forecasting in Misspecified Factor Models

This article considers in-sample prediction and out-of-sample forecasting in regressions with many exogenous predictors. We consider four dimension-reduction devices: principal components, ridge, Landweber Fridman, and partial least squares. We derive rates of convergence for two representative models: an ill-posed model and an approximate factor model. The theory is developed for a large cross-section and a large time-series. As all these methods depend on a tuning parameter to be selected, we also propose data-driven selection methods based on cross-validation and establish their optimality. Monte Carlo simulations and an empirical application to forecasting inflation and output growth in the U.S. show that data-reduction methods outperform conventional methods in several relevant settings, and might effectively guard against instabilities in predictors’ forecasting ability.     

Diagnostics in elliptical regression models with stochastic restrictions applied to econometrics

We propose an influence diagnostic methodology for linear regression models with stochastic restrictions and errors following elliptically contoured distributions. We study how a perturbation may impact on the mixed estimation procedure of parameters in the model. Normal curvatures and slopes for assessing influence under usual schemes are derived, including perturbations of case-weight, response variable, and explanatory variable. Simulations are conducted to evaluate the performance of the proposed methodology. An example with real-world economy data is presented as an illustration.     

重大疫情下的农村封闭式治理：情境、过程与结果——基于桂中H村的调研分析

小农户分为纯小农户、农业兼业户、非农兼业户和非农农户四种类型,乡村振兴视角下探索分化小农户的差异化发展路径尤为重要。混合型发展基于高度分化和异质化的小农户群体特征,分别采用转型之路、多元之路、特色之路和选择之路,统筹推进四类小农户实现分型发展,综合推进小农户嵌入现代农业发展轨道,引导小农户积极融入业态培育和产业培育当中,助力农业农村新旧动能实现平稳转换。     

新型农业经营主体嵌入式培育及其带动作用——以石城为例

发挥新型农业经营主体对小农户的带动作用,是促进小农户与现代农业发展有机衔接的关键。江西石城县着眼于“培养农村致富带头人,打造一支不走的扶贫工作队”,立足县域脱贫与发展需要实施了“千人铸造计划”,该计划发挥县级行政动员优势并扎根乡土社会,从培育方案、产业选择、社会基础、组织设置与政策支持等多方面着手,推动了新型农业经营主体的嵌入式培育及其内生带动作用激发,形成了新型农业经营主体带动小农户发展的实践范例。石城经验体现了我国县域政府独特的行政动员机制及其嵌入乡土社会的本土创新,具有重要的推广价值,可为乡村振兴战略下培育扎根乡土致富带头人及实现小农户与现代农业发展有机衔接提供有益启示。     

Study of partial least squares and ridge regression methods

This article considers both Partial Least Squares (PLS) and Ridge Regression (RR) methods to combat multicollinearity problem. A simulation study has been conducted to compare their performances with respect to Ordinary Least Squares (OLS). With varying degrees of multicollinearity, it is found that both, PLS and RR, estimators produce significant reductions in the Mean Square Error (MSE) and Prediction Mean Square Error (PMSE) over OLS. However, from the simulation study it is evident that the RR performs better when the error variance is large and the PLS estimator achieves its best results when the model includes more variables. However, the advantage of the ridge regression method over PLS is that it can provide the 95% confidence interval for the regression coefficients while PLS cannot.