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引入稳定分布对沪深两市指数数据进行检验,结果表明两指数具有“尖峰厚尾”的分形特征,在此基础上建立了DaR类风险测度,实证研究表明两指数跌幅时间序列存在协同跌幅共线性效应.其次,给出了蒙特卡洛稳定分布和正态分布模拟下的两类风险测度估计值,建立了离差率模型,结果表明稳定分布下的风险度量适合投资者进行风险管理.最后,研究了不同跟踪时间窗口下的风险测度指标MDD.投资者和风险管理人员不仅要关注VaR类风险,更要警惕DaR类风险指标. 相似文献
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ABSTRACTThis Type 4 (emic-and-etic) indigenous cross-case/cross-nation comparative study compares the results of two Type 3 (emic-as-emic) indigenous replication studies of effective and ineffective managerial behaviour carried out within private companies in India and South Korea respectively. The method used was ‘realist qualitative content analysis’ involving inductive open and axial coding. Of the Indian findings 100% were found to be convergent in meaning with 94.43% of the equivalent South Korean findings. This has led to the identification of a two-factor emergent Asian behavioural model of perceived managerial and leadership effectiveness comprised of 16 positive (effective) and 6 negative (ineffective) generic behavioural criteria. These criteria could be used in both countries to critically review and improve extant, or develop new, competency-based management/leadership development programmes. The research findings lend no support to claims that national culture has a major impact on managerial and leadership practices, styles, and effectiveness. 相似文献
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通过梳理中西文化视角下两种不同人际关系理论的已有研究,明晰了人情关系和社会交换关系的概念内涵和外延,厘清了两者的异同点,指出人情关系与社会交换关系在交往原则和交往方式上存在很大差异,具体表现为人情关系的超规性、义务性、特殊主义、非对称性、互报性、高情感性、长期导向,分别对应社会交换关系的合规性、自愿性、普遍主义、对称性、互惠性、低情感性、短期导向.在此基础上,探讨了这两种人际关系对现代中国企业及其员工的交叉影响作用,构建了“员工关系偏好企业关系管理策略整合模型”.此外,对未来的有关研究进行了展望. 相似文献