混频投资者情绪与股票价格行为

采用混频数据抽样模型(MIDAS)研究了混频投资者情绪对中国股市收益率及其波动的影响.通过构建日度、周度及月度这三种不同频率的投资者情绪,实证结果发现,混频情绪对当期收益率及其波动都存在显著的正向影响,并且与传统回归模型相比,MIDAS模型具有更强的解释能力.本文进一步使用GARCH-MIDAS模型研究了混频情绪对收益率波动长期成分的影响,发现混频情绪能够显著影响收益的长期波动.     

Estimation of structural mean breaks for long-memory data sets

In long-memory data sets such as the realized volatilities of financial assets, a sequential test is developed for the detection of structural mean breaks. The long memory, if any, is adjusted by fitting an HAR (heterogeneous autoregressive) model to the data sets and taking the residuals. Our test consists of applying the sequential test of Bai and Perron [Estimating and testing linear models with multiple structural changes. Econometrica. 1998;66:47–78] to the residuals. The large-sample validity of the proposed test is investigated in terms of the consistency of the estimated number of breaks and the asymptotic null distribution of the proposed test. A finite-sample Monte-Carlo experiment reveals that the proposed test tends to produce an unbiased break time estimate, while the usual sequential test of Bai and Perron tends to produce biased break times in the case of long memory. The experiment also reveals that the proposed test has a more stable size than the Bai and Perron test. The proposed test is applied to two realized volatility data sets of the S&P index and the Korea won-US dollar exchange rate for the past 7 years and finds 2 or 3 breaks, while the Bai and Perron test finds 8 or more breaks.     

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.     

壮族伦理思想的和谐意蕴及其当代价值

壮族伦理思想中蕴藏着协调人与自然、人与人、人与社会和谐相处的意蕴和追求,与今天构建和谐社会有着共同的价值追求。弘扬壮族伦理思想中的和谐理念,有利于协调壮民族地区人与自然的现代冲突,为其构建社会主义和谐社会奠定良好的自然基础;有利于协调壮民族地区的人际关系和利益冲突,为其构建社会主义和谐社会提供和谐稳定的秩序保障;有利于增强壮民族地区的凝聚力和向心力,为其构建社会主义和谐社会提供精神动力和道德支持。因此,我们应充分彰显壮族伦理思想和谐意蕴的当代价值,为壮民族地区构建社会主义和谐社会服务。     

Modeling and forecasting realized covariance matrices with accounting for leverage

The existing dynamic models for realized covariance matrices do not account for an asymmetry with respect to price directions. We modify the recently proposed conditional autoregressive Wishart (CAW) model to allow for the leverage effect. In the conditional threshold autoregressive Wishart (CTAW) model and its variations the parameters governing each asset's volatility and covolatility dynamics are subject to switches that depend on signs of previous asset returns or previous market returns. We evaluate the predictive ability of the CTAW model and its restricted and extended specifications from both statistical and economic points of view. We find strong evidence that many CTAW specifications have a better in-sample fit and tend to have a better out-of-sample predictive ability than the original CAW model and its modifications.     

亚里士多德闲暇观解析及启示

对亚里士多德的闲暇观进行分析,指出其闲暇观与其幸福观紧密相连,从闲暇与幸福、闲暇与节制、闲暇与财富、闲暇与教育、闲暇与消遣等多重关系中凸显出来,表现为一种自足的、节制的、符合适度原则的沉思活动,认为亚里士多德的闲暇观对现代社会人们追求闲暇幸福的生活有诸多启示。     

高频数据驱动的连续时间模型估计

现代金融经济学中连续时间模型能够更方便地描述重要经济变量的动态过程如股价、汇率和利率等。为连续时间模型提出了一种高频数据驱动的二阶段估计方法,增强了连续时间扩展模型的弹性和可操作性。以Vasicek模型为例给出了该方法的应用实例,首先在第一阶段使用实现波动率方法估计出模型的扩散项参数,然后使用实际数据的稳态分布的前向方程估计漂移项参数。此方法对模型初始设定和优化算法依赖程度低,结果较为稳定可靠。     

Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance

The availability of high frequency financial data has generated a series of estimators based on intra‐day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that traditionally, standard errors rely on estimating a theoretically derived asymptotic variance, and often this asymptotic variance involves substantially more complex quantities than the original parameter to be estimated. Standard errors are important: they are used to assess the precision of estimators in the form of confidence intervals, to create “feasible statistics” for testing, to build forecasting models based on, say, daily estimates, and also to optimize the tuning parameters. The contribution of this paper is to provide an alternative and general solution to this problem, which we call Observed Asymptotic Variance. It is a general nonparametric method for assessing asymptotic variance (AVAR). It provides consistent estimators of AVAR for a broad class of integrated parameters Θ = ∫ θ_t dt, where the spot parameter process θ can be a general semimartingale, with continuous and jump components. The observed AVAR is implemented with the help of a two‐scales method. Its construction works well in the presence of microstructure noise, and when the observation times are irregular or asynchronous in the multivariate case. The methodology is valid for a wide variety of estimators, including the standard ones for variance and covariance, and also for more complex estimators, such as, of leverage effects, high frequency betas, and semivariance.     

论企业电子商务与生态位

本文借用生态位的观点,就企业电子商务与传统商务的关系,企业电子商务的潜在性生态位与实际性生态位进行分析,并就企业电子商务应注重实际生态位,发展优势生态位进行探讨,指出电子商务应与传统商务协同演化、共同发展.     

文本解读中的效果历史意识

效果历史意识是哲学解释学的核心概念之一。它是理解和解释得以展开的基础,驱动解释学循环的动力。效果历史意识涵盖文本阅读效果史、生活经验、传统以及读者与文本的对话关系。因此它既是相对固定的整体,又是不断运动、调整、开放的结构,同时蕴含着对解读的历史先在给定性的反思,这是读者必须恪守的“效果历史原则”。效果历史意识的本质是对存在时间的经验,只有真正实现了的时间才能被经验到,从而即便过去,也能收藏在效果历史意识中,在文本解读时重返当下与文本对话,参与文本意义建构。读者的效果历史意识通过与文本的平等交流才能得以自我检视,一部经典只有不断地与读者的效果历史意识对话,才能常新长生。