改革开放以来中国服务业生产率实证分析

本文使用DEA-Malmquist生产率指数法测算了1978-2007年中国27个省份服务业全要素生产率(TFP)的变动。结果表明:中国服务业TFP总体呈下降态势,这主要源于技术进步率的倒退;与1978-1992年相比,1993-2007年服务业TFP的下降幅度增大;西部地区的下降幅度小于中、东部地区。服务业TFP不存在σ收敛,而存在绝对和条件β收敛,1992年后β收敛速度快于1992年之前的收敛速度。Tobit回归表明,城市化、消费需求和市场化对服务业TFP的提高有促进作用,而对外开放对其影响不显著。     

Commodity price shocks and the distribution of income in commodity-dependent least-developed countries

Many least developed countries (LDCs) face commodity dependence on the export and import side. This paper develops a structuralist computable general equilibrium model for commodity-dependent LDCs and simulates global commodity price shocks for Burkina Faso, Ethiopia and Mozambique. Results show important macroeconomic and distributional effects. Although increasing export commodity prices are beneficial, the high correlation with import commodity prices causes low or even negative combined effects. The magnitude of effects depends on the degree of import and export dependence, the production structure of the key commodity sectors and policies that determine the distribution of windfall profits.     

带有市场交易信息和随机微观噪声下的杠杆效应研究

在风险管理中杠杆效应的现象广泛存在，也是金融计量学中的重要议题。高频金融市场中蕴含着丰富的交易信息，而这些信息并不能都看作随机噪声，因此探讨利用市场交易信息并在带有随机噪声模型下研究杠杆效应具有重要意义。本文在带有市场交易信息和随机微观噪声相结合的模型下研究了杠杆效应，提出了新的杠杆效应估计，该估计具有n^1/8的收敛速度，同时给出了估计的方差和相关的定理。通过模拟分析得出利用广泛的市场微观信息可以更有效和更精确地对杠杆效应进行估计，模拟的结果表明本文提出的杠杆效应估计具有更好的渐近正态性和更小的偏差。最后将提出的估计应用到实证分析中，发现杠杆效应对未来一天波动率的预测具有显著性影响。     

Three optimal cut-point selection criteria based on sensitivity and specificity with user-defined weights

Methods: Based on the index S (S = SENSITIVITY (SEN) × SPECIFICITY (SPE)), the new weighted product index S_w is defined as S_w = (SEN)^2w × (SPE)^2(1-w), where (0≤w≤1). The S_w is developed to be a new tool to select the optimal cut point in ROC analysis and be compared with the other two commonly used criteria.

Results: Comparing the optimal cut point for the three criteria, the wave range of the optimal cut point for the maximized weighted Youden index criterion is the widest, the weighted closest-to-(0,1) criterion is the narrowest and the weighted product index S_w criterion lays between the ranges of the two criteria.     

On tail index estimation based on multivariate data

This article is devoted to the study of tail index estimation based on i.i.d. multivariate observations, drawn from a standard heavy-tailed distribution, that is, of which Pareto-like marginals share the same tail index. A multivariate central limit theorem for a random vector, whose components correspond to (possibly dependent) Hill estimators of the common tail index α, is established under mild conditions. We introduce the concept of (standard) heavy-tailed random vector of tail index α and show how this limit result can be used in order to build an estimator of α with small asymptotic mean squared error, through a proper convex linear combination of the coordinates. Beyond asymptotic results, simulation experiments illustrating the relevance of the approach promoted are also presented.     

Comparison of asymmetric stochastic volatility models under different correlation structures

This paper conducts simulation-based comparison of several stochastic volatility models with leverage effects. Two new variants of asymmetric stochastic volatility models, which are subject to a logarithmic transformation on the squared asset returns, are proposed. The leverage effect is introduced into the model through correlation either between the innovations of the observation equation and the latent process, or between the logarithm of squared asset returns and the latent process. Suitable Markov Chain Monte Carlo algorithms are developed for parameter estimation and model comparison. Simulation results show that our proposed formulation of the leverage effect and the accompanying inference methods give rise to reasonable parameter estimates. Applications to two data sets uncover a negative correlation (which can be interpreted as a leverage effect) between the observed returns and volatilities, and a negative correlation between the logarithm of squared returns and volatilities.     

Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes

This paper develops Bayesian inference of extreme value models with a flexible time-dependent latent structure. The generalized extreme value distribution is utilized to incorporate state variables that follow an autoregressive moving average (ARMA) process with Gumbel-distributed innovations. The time-dependent extreme value distribution is combined with heavy-tailed error terms. An efficient Markov chain Monte Carlo algorithm is proposed using a state-space representation with a finite mixture of normal distributions to approximate the Gumbel distribution. The methodology is illustrated by simulated data and two different sets of real data. Monthly minima of daily returns of stock price index, and monthly maxima of hourly electricity demand are fit to the proposed model and used for model comparison. Estimation results show the usefulness of the proposed model and methodology, and provide evidence that the latent autoregressive process and heavy-tailed errors play an important role to describe the monthly series of minimum stock returns and maximum electricity demand.     

随机跳跃强度与期权隐含风险溢酬

基于随机波动率随机跳跃强度(SVSJ)的期权定价模型,从时间序列性质与横截面期权定价两个角度对长达12年的S&P 500指数期权数据进行了研究.实证结果发现:只有短期虚值期权与短期平值期权中存在显著的跳跃风险溢酬,并且跳跃风险溢酬远超过波动率风险溢酬.不同模型不同跳跃强度的设定都可以估计出显著的跳跃风险溢酬,虽然跳跃风险的方差在总风险的方差中所占比例较低,但跳跃风险溢酬在总风险溢酬中所占的比例却大得多.各模型在高波动时期的表现都要优于低波动时期,其中SVSJ模型在所有模型中表现最好.     

共享经济系统风险评价指标体系研究

移动互联网和移动支付技术的快速崛起,引发了中国式共享经济的发展热潮。但由于这种创新商业模式缺乏有效的金融和法律监管,其背后所蕴含的巨大风险是不容忽视的。针对现有文献缺乏共享经济定量模型的不足之处,引入AHP模型建立我国共享经济系统风险的评价指标体系,计算出各类风险的权重系数,在所有指标通过一致性检验的基础上,给出共享经济风险指标的评价排名,并针对排名前三位的风险因素给出对策与建议。     

How to stop salami science: promotion of healthy trends in publishing behavior

The career of scientists often depends on the number of their published works. This fact leads to the overproduction of low-quality papers burying the important articles and making the knowledge less accessible. One of the methods to counteract these negative aspects might lie in the promotion of healthy trends in publishing behavior. In the present work, the theoretical analysis of a new bibliometric measure is presented, and its potential impact on the publishing strategies is carefully discussed.