Volatility,Momentum, and Time-Varying Skewness in Foreign Exchange Returns

This article tests a stochastic volatility model of exchange rates that links both the level of volatility and its instantaneous covariance with returns to pathwise properties of the currency. In particular, the model implies that the return–volatility covariance behaves like a weighted average of recent returns and hence switches signs according to the direction of trends in the data. This implies that the skewness of the finite-horizon return distribution likewise switches sign, leading to time-varying implied volatility “smiles” in options prices. The model is fit and assessed using Bayesian techniques. Some previously reported volatility results are accounted for by the fitted models. The predicted pattern of skewness dynamics accords well with that found in historical options prices.     

经济效益统计评价的方法论

加强经济效益统计,不仅要求合理制订各个领域经济效益指标体系,而且需要完善统计评价方法。本文拟就经济效益统计评价的若干方法上问题,提出一些看法。     

The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets

We propose a methodology to employ high frequency financial data to obtain estimates of volatility of log-prices which are not affected by microstructure noise and Lévy jumps. We introduce the “number of jumps” as a variable to explain and predict volatility and show that the number of jumps in SPY prices is an important variable to explain the daily volatility of the SPY log-returns, has more explanatory power than other variables (e.g., high and low, open and close), and has a similar explanatory power to that of the VIX. Finally, the number of jumps is very useful to forecast volatility and contains information that is not impounded in the VIX.     

生命周期中教育收益率变动轨迹分析

有很多使用长期面板数据的研究指出,当期收入与终身收入并不平行,表明教育收益率在生命中的不同时期可能是有差异的。认识教育收益率的异质性是有效制定相关政策的基础,也是研究领域非常关注的问题,但是很少有研究分析教育收益率在生命周期中的异质性。本研究使用中国家庭健康与营养调查面板数据以及多水平分析方法,探讨了教育收益率在生命周期中的变动轨迹,并进行了性别差异分析。研究发现：教育收益率在整个生命周期中呈现先上升后下降的倒U型分布,在初期为负值;在生命周期前期女性的教育收益率大于男性,后期是男性大于女性;教育水平越高,收入增长所持续的时期越长。     

The Distribution of Stock Returns When the Market Is Up

Abstract

For some investments, the relation between stock returns and the market proxy is conventionally described by a linear regression model with the normality assumption. This paper derives the distribution of stock returns for a security in an upgrade (or downgrade) market with the assumption that the log stock returns of the market proxy follow a mixture of normal distributions. We discuss MLE and the method of moment estimation for parameters involved in the model. An analysis of stock data in Johannesburg Stock Exchange is included to illustrate the model. This note explains the phenomenon in financial analysis regarding the shape of the distribution of long-run stock returns limited on an upgrade or downgrade market index.     

中国教育收益率的长期变动趋势分析

本研究采用中国健康与营养调查1989-2009年的追踪数据,使用多层线性交互分类模型估计了全国教育收益率的总体变化趋势,并通过引入宏观经济发展指标来考察教育收益率变化的影响因素.结果表明,21世纪以来全国教育收益率并没有延续以往快速稳定增长的势头,中国市场转型过程中的制度变革和经济结构变化对教育收益率的变动都有显著影响.由于我国城乡分割的二元经济结构,本研究还比较了城镇和农村地区教育收益率变动趋势的差异,农村地区教育收益率先高后低反映了我国先农村后城市的改革开放进程.     

Aggregate Consumption and the Predictability of Asset Returns

This article analyzes the predictability of asset returns that are discounted using a consumption-based discount factor. The main objective of the analysis is to investigate how ancillary statistical assumptions affect the performance of this model. It is shown that, unlike tests of constant-discountrate models, tests of consumption-based models do not critically depend on statistical assumptions; for sufficiently high discount rates, there exist intuitively plausible rates of risk aversion for which appropriately discounted returns are unpredictable, regardless of the statistical specification. Test results are determined by serial correlation properties of prices and dividends and not by serial-correlation properties of returns.     

The Distribution of Stock Returns: New Evidence Against the Stable Model

We present a simple but effective procedure for determining whether a reasonably large sample comes from a stable population against the alternative that it comes from a population with finite higher moments. The procedure uses the fact that a stable population sample has moments of the fourth and sixth order whose magnitudes increase very rapidly as the sample size increases. This procedure shows convincingly that stock returns, when taken as a group, do not come from stable populations. Even for individual stocks, our results show that the stable-population-model null hypothesis can be rejected for more than 95% of the stocks.     

第四次人口普查在业人口数据质量的评估

我国1990年第四次人口普查继1982年人口普查之后又一次提供了更为详细的分年龄、性别的在业人口数据,这对于研究我国30年代以来的在业人口状况及发展变化并预测未来趋势,无疑是极为宝贵的。当我们在对第四次人口普查有关在业人口数据进行分析前,最关心的还是普查资料的质量,即普查资料反映客观实际情况的准确程度。     

函数性数据的统计分析：思想、方法和应用

 摘　　要:实际中，越来越多的研究领域所收集到的样本观测数据具有函数性特征，这种函数性数据是融合时间序列和横截面两者的数据，有些甚是曲线或其他函数图像。虽然计量经济学近二十多年来发展的面板数据分析方法，具有很好的应用价值，但是面板数据只是函数性数据的一种特殊类型，且其分析方法太过于依赖模型的线性结构和假设条件等。本文基于函数性数据的普遍特征，介绍一种对其进行分析的全新方法，并率先使用该方法对经济函数性数据进行分析，拓展了函数性数据分析的应用范围。分析结果表明，函数性数据分析方法，较之计量经济学和其他统计方法具有更多的优越性，尤其能够揭示其他方法所不能揭示的数据特征     

“跳槽”科技人才个人收益测评指标体系的构建与测定

科技人才流动已得到社会各界的认同,为了测度“跳槽”科技人才个人收益程度,文章构建了一套系统的、多层次的测评指标体系;选择了综合指数法,且对传统的综合指数法进行了合理的改造,以此来测定“跳槽”科技人才个人在“跳槽”后的个人收益程度;同时阐述了“跳槽”科技人才个人收益综合测评指数的测定步骤及过程。     

Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment

This article estimates and tests the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji based on stock market data. We introduce a novel methodology to estimate the conditional expectation, which characterizes the impact of a decision maker’s ambiguity attitude on asset prices. Our point estimates of the ambiguity parameter are between 25 and 60, whereas our risk aversion estimates are considerably lower. The substantial difference indicates that market participants are ambiguity averse. Furthermore, we evaluate if ambiguity aversion helps explaining the cross-section of expected returns. Compared with Epstein and Zin preferences, we find that incorporating ambiguity into the decision model improves the fit to the data while keeping relative risk aversion at more reasonable levels. Supplementary materials for this article are available online.     

Asymptotic Inference for Performance Fees and the Predictability of Asset Returns

In this article, we provide analytical, simulation, and empirical evidence on a test of equal economic value from competing predictive models of asset returns. We define economic value using the concept of a performance fee—the amount an investor would be willing to pay to have access to an alternative predictive model used to make investment decisions. We establish that this fee can be asymptotically normal under modest assumptions. Monte Carlo evidence shows that our test can be accurately sized in reasonably large samples. We apply the proposed test to predictions of the U.S. equity premium.     

On the Nonlinear Predictability of Stock Returns Using Financial and Economic Variables

In a recent article by Qi, neural networks trained by Bayesian regularization were used to predict excess returns on the S&P 500. The article concluded that the switching portfolio based on the recursive neural-network forecasts generates higher accumulated wealth with lower risks than that based on linear regression. Unfortunately, attempts to replicate the results were unsuccessful. Replicated results using the same software, approach and data detailed by Qi indicate that, in fact, the switching portfolio based on the recursive neural-network forecasts generates lower accumulated wealth with higher risks than that based on linear regression.     

Checking Normality and Homoscedasticity in the General Linear Model Using Diagnostic Plots

Inference for the general linear model makes several assumptions, including independence of errors, normality, and homogeneity of variance. Departure from the latter two of these assumptions may indicate the need for data transformation or removal of outlying observations. Informal procedures such as diagnostic plots of residuals are frequently used to assess the validity of these assumptions or to identify possible outliers. A simulation-based approach is proposed, which facilitates the interpretation of various diagnostic plots by adding simultaneous tolerance bounds. Several tests exist for normality or homoscedasticity in simple random samples. These tests are often applied to residuals from a linear model fit. The resulting procedures are approximate in that correlation among residuals is ignored. The simulation-based approach accounts for the correlation structure of residuals in the linear model and allows simultaneously checking for possible outliers, non normality, and heteroscedasticity, and it does not rely on formal testing.

[Supplementary materials are available for this article. Go to the publisher's online edition of Communications in Statistics—Simulation and Computation® for the following three supplemental resource: a word file containing figures illustrating the mode of operation for the bisectional algorithm, QQ-plots, and a residual plot for the mussels data.]     

On Using Hellinger Distance in Checking the Validity of Dynamic Approximations

The purpose of this article is to provide validation for the approximate algebraic propagation algorithms to accommodate non-Gaussian dynamic processes. These algorithms have been developed to carry out Bayesian analysis based on conjugate forms and presented with detailed examples of response distributions such as Poisson and Lognormal. The validity of the approximation algorithms can be checked by introducing a metric (Hellinger divergence measure) over the distribution of the states (parameters) and use it to judge the approximation. Theoretical bounds for the efficacy of such procedure are discussed.