基于经营杠杆和需求价格弹性的产品定价策略研究

在竞争的市场中，企业对应以何种价格将自己的产品推出，同时又不会加大其经营风险这一问题越发关注，本文通过将经营杠杆与需求价格弹性相结合，论述了比营杠杆及需求价格弹性对企业产品定价策略的指导作用。     

Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators

This article considers the issue of performing tests in linear heteroskedastic models when the test statistic employs a consistent variance estimator. Several different estimators are considered, namely: HC0, HC1, HC2, HC3, and their bias-adjusted versions. The numerical evaluation is performed using numerical integration methods; the Imhof algorithm is used to that end. The results show that bias-adjustment of variance estimators used to construct test statistics delivers more reliable tests when they are performed for the HC0 and HC1 estimators, but the same does not hold for the HC3 estimator. Overall, the most reliable test is the HC3-based one.     

Reflections on Changes in the Library and Serials Literature

Abstract

Johnson describes changes in library journal literature topics over the past one hundred years, with a focus on the period between her first Balance Point column in 2003 and this one, her last. She reminisces on her experience as a Balance Point column editor.     

Econometric Applications of the Forward Search in Regression: Robustness,Diagnostics, and Graphics

The article illustrates the use of the forward search to provide robust analyses of econometric data. The emphasis is on informative plots that reveal the inferential importance of each observation. The division of observations into “good” and “bad” leverage points is shown to be potentially misleading.     

中国杠杆率合理波动区间测度

针对当前去杠杆中亟需解决的阀值测度问题,通过搜集我国工业各个行业的相关数据,尝试测算其合理的波动区间。一方面,基于国民收入循环流,以货币流量理论和存款准备率上限为基础,对我国工业各行业杠杆率的下限进行测算;另一方面,根据企业利润的不确定性,以企业收益流能够覆盖成本流为基准,以银行信贷风险有效控制为目标,测算了工业各行业杠杆率的上限。得出三个结论：第一,我国目前以工业企业为代表的微观杠杆率仍然在相对合理的范围内;第二,各个行业的波动区间有所不同;第三,去杠杆政策制定应该根据不同行业,不能一刀切。     

基于分位点回归模型的条件VaR估计以及杠杆效应分析

 在文献中,分析杠杆效应时大多数都是基于ARCH类模型,本文应用分位点回归模型及其变点检测模型分析了“已实现”波动率条件下的CVaR,并尝试从CVaR的角度对杠杆效应进行分析。最后,对中国股票市场进行了实证研究,得到了“已实现”波动率条件下的CVaR估计,并对中国股市的杠杆效应进行了分析。     

大规模数据下基于充分降维的Leverage重要性抽样方法

随着信息技术的飞速发展，大规模数据在短时间内搜集并储存下来，为分析决策提供了巨大的信息量，也给统计建模带来了一定难度。对于样本容量大、变量个数少的数据，Leverage重要性抽样是一个简便可行的方法。本文发现，该方法中度量样本重要性的Leverage分数与因变量无关，而且在维度较大的情形下对样本没有区分程度，使得估计结果较差。为了同时考虑因变量和维度的影响，本文提出了基于充分降维的Leverage重要性抽样方法。该方法以不损失信息为前提，在充分降维的空间内重新计算Leverage分数，使得抽样更具有代表性。模拟数据分析显示，在样本容量较大的复杂数据中，相比于原始的Leverage重要性抽样方法，本文提出的方法可以降低估计的均方误差。三个实际数据也证实了该方法的可行性和有效性。     

Living with zombie companies: Do we know where the threat lies?

This paper shows the existence of extreme types of zombie firm, i.e. companies with negative equity that continue to do business despite having lost their entire equity. We explain how these firms are measured and how the riskier ones are defined with different determinants. Using a Spanish sample from 2010 to 2014 an index called the EZIndex is developed that includes four dimensions of the extreme zombie problem: extension, contagion, recovery signs and immediacy. The paper contributes to zombie theory on the one hand by developing a method for ranking zombie firms based on risks and changes over time, and on the other hand by using a log-linear model to detect the riskiest corporate profiles out of all these risky firms. It demonstrates significant implications that need to be considered by the competent authorities not only in terms of their impact as a whole but also in regard to the particular profile of extreme zombie firms: they are less regulated, large and located in regions with large business fabrics.     

Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns

A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state-space form. The method is extended to handle correlation between the two disturbances in the model and applied to data on stock returns