价差期权的合约设计、定价与实证分析——基于冶炼价差期权的应用

研究价差期权的合约设计及其定价方法,对于提高我国各类经济实体的风险管理水平以及我国衍生品市场的未来发展具有重要意义.依据我国螺纹钢与铁矿石等冶炼价差的统计特征,借鉴国外价差期权定价方法,对冶炼价差期权的实际价值、理论价格进行了测算,结果表明:在冶炼价差期权中,螺纹钢与铁矿石的价差、钢坯与铁矿石的价差的绝对变化幅度更大,对应的价差期权的实际价值更大,对应的套保需求会更大;与铁矿石有关的价差(螺纹钢与铁矿石、钢坯与铁矿石)期权的套保效果更好.建议先行推出螺纹钢与铁矿石、钢坯与铁矿石这两种冶炼价差期权.     

Social capital in Croatia: measurement and regional distribution

By using partial least squares path modeling, this paper develops a complex index of social capital, selects Croatia as the case for testing and validating the index, and investigates the regional distribution of social capital. The social capital index is defined as a complex hierarchical structured construct of third-order with social trust, participation, and civism as its core dimensions. The main results indicate that civism is the most important cause of social capital followed by active participation and social trust. As far as the regional distribution of social capital is concerned, there are statistically significant differences across the Croatian regions. Although the lowest or below the national average level of social capital and its dimensions can be mostly found in the least developed regions (with the exception of the capital), the highest level of social capital and its particular dimensions is not achieved in the most developed regions.     

Inference for quantile measures of kurtosis,peakedness, and tail weight

Insight into measures of peakedness, heavy-tailedness, and kurtosis can be gained by studying Ruppert’s ratios of interquantile ranges. They are not only monotone in Horn’s measure of peakedness when applied to the central portion of the population, but also monotone in the practical tail-index of Morgenthaler and Tukey, when applied to the tails. Non-parametric confidence intervals are found for Ruppert’s ratios, and sample sizes required to obtain such intervals for a pre-specified relative width and level are provided. In addition, the empirical power of distribution-free tests for peakedness and bimodality are found for some symmetric distributions.     

Robust block bootstrap panel predictability tests*

This article develops two block bootstrap-based panel predictability test procedures that are valid under very general conditions. Some of the allowable features include cross-sectional dependence, heterogeneous predictive slopes, persistent predictors, and complex error dynamics, including cross-unit endogeneity. While the first test procedure tests if there is any predictability at all, the second procedure determines the units for which predictability holds in case of a rejection by the first. A weak unit root framework is adopted to allow persistent predictors, and a novel theory is developed to establish asymptotic validity of the proposed bootstrap. Simulations are used to evaluate the performance of our tests in small samples, and their implementation is illustrated through an empirical application to stock returns.     

An Extended Single‐index Model with Missing Response at Random

An extended single‐index model is considered when responses are missing at random. A three‐step estimation procedure is developed to define an estimator for the single‐index parameter vector by a joint estimating equation. The proposed estimator is shown to be asymptotically normal. An algorithm for computing this estimator is proposed. This algorithm only involves one‐dimensional nonparametric smoothers, thereby avoiding the data sparsity problem caused by high model dimensionality. Some simulation studies are conducted to investigate the finite sample performances of the proposed estimators.     

城市管理导向的居民幸福指数测评研究——以安徽省为例

提高居民的幸福指数是新常态下城市管理的重点工作。在综述以往研究的基础上，以需要层次论作为理论依据，整合2015年度安徽省统计年鉴数据完整、准确的指标，构建了安徽省城市居民幸福指数体系，经过数据收集、统计、分析和综合，得出16个城市居民综合幸福指数、基本需求幸福指数、发展需求幸福指数、享受需求幸福指数分值，对结果及其应用价值进行了讨论。     

Stakeholder Performance Measurement in Nonprofit Organizations

According to recent findings, nonprofit organizations should address the relationships of nonprofit service quality, satisfaction, loyalty, and organizational identification when planning and evaluating donor surveys. This article presents a donor satisfaction barometer that can be used to gain insights into the strength of these key relationships and thereby establish a basis for calculated relevant indices. With such indices, nonprofit organizations can compare stakeholder performance over time and benchmark themselves against other organizations. Data from 2,599 blood donors to one section of the German Red Cross, collected through the proposed donor satisfaction barometer, show that service quality drives satisfaction, and donor satisfaction and organizational identification both exert significant positive effects on donor loyalty. Therefore, nonprofit organizations should use a combined strategic approach that improves both donor satisfaction and organizational identification to increase donor loyalty. The successful application of the donor satisfaction barometer also suggests its value for other nonprofit industries and offers important insights for managers.     

Construction of closed interval for process capability indices Cpu,Cpl, and Spk based on Boole’s inequality and de Morgan’s laws

ABSTRACT

Considerable effort has been spent on the development of confidence intervals for process capability indices (PCIs) based on the sampling distribution of the PCI or the transferred PCI. However, there is still no definitive way to construct a closed interval for a PCI. The aim of this study is to develop closed intervals for the PCIs C_pu, C_pl, and S_pk based on Boole's inequality and de Morgan's laws. The relationships between different sample sizes, the significance levels, and the confidence intervals of the PCIs C_pu, C_pl, and S_pk are investigated. Then, a testing model for interval estimation for the PCIs C_pu, C_pl, and S_pk is built as a powerful tool for measuring the quality performance of a product. Finally, an applied example is given to demonstrate the effectiveness and applicability of the proposed method and the testing model.     

Bayesian analysis of multivariate stochastic volatility with skew return distribution

Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew t-distributions are embedded to multivariate analysis with time-varying correlations. Bayesian modeling allows this approach to provide parsimonious skew structure and to easily scale up for high-dimensional problem. Analyses of daily stock returns are illustrated. Empirical results show that the time-varying correlations and the sparse skew structure contribute to improved prediction performance and Value-at-Risk forecasts.     

城市品牌研究的知识图谱分析

运用知识图谱这种可视化的文献分析工具,对城市品牌研究文献进行分析。研究表明:(1)2007~2011年,城市品牌研究文献数量迅速增加,城市品牌研究开始成为热点。(2)从关键词共现分析看,城市品牌研究主要建立在讨论城市品牌建构路径和城市品牌建设具体方法上。(3)从文献共被引关系看,城市品牌研究可以分为品牌本身的讨论、宜居城市的生活环境以及市民的身体健康与城市品牌的关系、城市品牌与城市营销之间的关系三个阶段。进而指出,城市品牌研究的重点方向应该是对城市品牌的影响因素及形成过程、城市品牌评价系统的研究。