A misspecification test for the higher order co-moments of the factor model

The traditional estimation of higher order co-moments of non-normal random variables by the sample analog of the expectation faces a curse of dimensionality, as the number of parameters increases steeply when the dimension increases. Imposing a factor structure on the process solves this problem; however, it leads to the challenging task of selecting an appropriate factor model. This paper contributes by proposing a test that exploits the following feature: when the factor model is correctly specified, the higher order co-moments of the unexplained return variation are sparse. It recommends a general to specific approach for selecting the factor model by choosing the most parsimonious specification for which the sparsity assumption is satisfied. This approach uses a Wald or Gumbel test statistic for testing the joint statistical significance of the co-moments that are zero when the factor model is correctly specified. The asymptotic distribution of the test is derived. An extensive simulation study confirms the good finite sample properties of the approach. This paper illustrates the practical usefulness of factor selection on daily returns of random subsets of S&P 100 constituents.     

治理效能视角下公民参与公共服务的制度研究

公民参与公共服务的有序性和有效性并非直接相关,可以从有序性和有效性两个维度分析公民参与及其治理效能的关系.为提升治理效能,以程序性规则为核心的制度设计能更为充分地保障公民有序有效参与公共服务,实现公民与政府之间的良性互动与有序合作.基于全过程民主、程序性权利和共同体秩序等公民参与的程序性价值维度考量,再以环境保护领域中的公民参与为例,从公开公示机制、意见表达机制、回应吸纳机制、监督评价机制和责任追究机制等方面构建公民全过程参与制度,并探索公民参与的方法和策略.通过公民参与的程序性价值内化、方法创新与技术转型来推进治理体系和治理能力现代化.     

连续物料订单分拣完全-并行限定(k=1)轮询控制机理

中国是粮食生产大国和人口大国，粮食问题对于我国经济社会的发展具有举足轻重的影响。现有粮食供应链"层层批发"的流通体制不能满足消费者个性化需求。所以，本文基于客户的个性化需求，应用轮询系统理论来研究面粉、大米等粮食连续物料的订单分拣自动化控制机理。本文根据实际业务需求设定普通订单、优先订单，对优先订单的分拣实行完全服务控制策略，对普通订单分拣实行限定（k=1）服务控制策略，建立完全-并行限定（k=1）的二级优先级订单分拣轮询控制系统模型，确保优先业务订单顾客得到更优质服务，同时保证订单分拣系统的公平性。采用嵌入式Markov链、多维概率母函数和拉式变换求解理论模型，并通过数值计算分析，精确求解其一阶系统特性、二阶系统特性等关键性能参数，从而深入研究连续物料订单分拣的控制机理。     

基于协高阶矩视角的沪港股市风险传染分析

金融风险传染(financial risk contagion)不仅是资产配置和套期保值决策中应该考虑的一个重要因素,而且直接关系着一国乃至全球金融体系的安全与稳定.运用协高阶矩(协偏度、协波动率、协峰度等)风险传染判定方法,实证检验了沪港通实施前后上海和香港两地股票市场间的风险传染状况.研究结果表明,沪港通政策实施后,上海股市向香港股市的第一类协偏度(均值→波动率)、协波动率、经调整的相关系数、协峰度等的风险传染统计量值依次变大,同样依据风险传染统计量值的大小,香港股市对上海股市的风险传染途径依次为协四阶矩(协波动率、协峰度)、第一类协偏度和经调整的相关系数,协高阶矩成为沪港股市间双向风险传染的主要途径;因资本净流动数额和投资者教育等因素,上海股市对香港市场的风险传染效应更强.     

New evidence about effects of reproductive variables on child mortality in sub-Saharan Africa

There is still considerable uncertainty about how reproductive factors affect child mortality. This study, based on Demographic and Health Survey data from 28 countries in sub-Saharan Africa, shows that mortality is highest for firstborn children with very young mothers. Other children with young mothers, or of high birth order, also experience high mortality. Net of maternal age and birth order, a short preceding birth interval is associated with above average mortality. These patterns change, however, if time-invariant unobserved mother-level characteristics of importance for both mortality and fertility are controlled for in a multilevel–multiprocess model. Most importantly, there are smaller advantages associated with longer birth intervals and being older at first birth. The implications of alternative reproductive ‘strategies’ are discussed, taking into account that if the mother is older at birth, the child will also be born in a later calendar year, when mortality may be lower.     

考虑进口配额的跨国供应商选择与订单分配模糊多目标优化决策

针对跨国供应商选择与订单分配问题,在考虑进口配额限制和需求不确定的情境下,构建了一个实现核心制造商利润最大化和供应商交货质量最大化的模糊多目标混合整数规划模型。该模型考虑汇率、关税等多个全球因素,采用一种交互式模糊多目标规划方法对模型进行求解,并应用一个算例进行验证。研究表明:1.存在进口配额限制时,制造商会优先考虑低成本高质量的海外供应商,达到配额限制后再选择本土供应商补充剩余订单;2.人民币汇率正向影响制造商海外采购。当人民币汇率上升时,制造商进口成本降低,其会将更多订单分配给海外供应商;3.关税负向影响制造商海外采购。当关税上升时,制造商会减少关税高的供应商的进口数量,选择替代供应商来满足其需求。由此获得如下管理启示:1,制造商企业在选择跨国供应商时,应重点关注本国的进口配额政策,使供应商多样化以减少针对单一供应商配额政策剧烈波动对制造商采购成本和企业利润的不利影响。2.汇率时刻都在变动,制造商企业应关注本国和供应商所在国的长期汇率政策以及短期突发事件对汇率的影响,及时调整订单分配决策。3.制造商企业在选择供应商时,需要对供应商所在国的短期和中长期关税政策进行综合评估。     

Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima

Abstract

In this paper the second order asymptotics of the tail probabilities of randomly weighted sums and their maxima are established in the case that the underlying primary random variables are subexponential. No any assumption is made on the dependence structure between the random weights, but we assume these weights are bounded away from zero and infinity.     

罗兴亚问题对缅-孟关系和地区秩序的影响

罗兴亚问题是一个多世纪前英殖民者在亚洲埋下的诸多“民族问题”之一，也是孟加拉国与缅甸之间难解的“痼疾”。2017年8月以来，罗兴亚问题的再次爆发给相关国家造成巨大冲击。缅甸在打击罗兴亚暴力活动的同时，反对国际干涉，试图牢牢把握该问题解决进程中的主导权，而孟加拉国在政治、安全、经济和社会等不同层面基于自己的利益考量，寻求将罗兴亚人遣返缅甸，立场的对立使两国关系陷入僵局。而美国和印度介入罗兴亚问题则使地区秩序进一步复杂化，并在舆论和安全等领域影响中国的利益。2020年1月17日至18日，中国国家主席习近平应邀对缅甸进行国事访问，标志着中缅经济走廊从概念规划转入实质建设阶段，也给“罗兴亚问题”的解决带来新契机。     

Ordering properties of largest order statistics from independent and heterogeneous Dagum populations

Abstract

The Dagum distribution has been extensively used to model income data, and its features have been appreciated in economics and financial studies. In this article, we discuss ordering properties of largest order statistics from independent and heterogeneous Dagum populations. We present some sufficient conditions for stochastic comparisons between largest order statistics in terms of the reversed hazard rate order, the usual stochastic order, the convex order, the likelihood ratio order and the dispersive order. Several numerical examples are presented to illustrate the results established here.     

为情而造文与为文而造情之比较研究

为情而造文与为文而造情在《文心雕龙·情采》篇中以一组对立的概念出现，关于为情而造文历来受到研究者们的肯定与重视，但为文而造情一直遭到尖锐的批判，只有个别学者加以研究与肯定。关于两者的比较研究目前尚未开展，对二者进行比较研究，有助于探索文学本位，正确对待儒家传统文化。