Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market

In this article, we investigate the relationships among intraday serial correlation, jump-robust volatility, positive and negative jumps based on Shanghai composite index high frequency data. We implement variance ratio test to quantify intraday serial correlation. We also measure the continuous part of realized volatility using jump-robust MedRV estimator and disentangle positive and negative jumps using Realized Downside Risk Measure and Realized Upside Potential Measure proposed by Bi et al., (2013 Bi, T., Zhang, B., Wu, H. (2013). Measuring downside risk using high frequency data–realized downside risk measure. Communications in Statistics–Simulation and Computation 42(4):741–754.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]). We find that intraday serial correlation are positively correlated with jump-robust volatility and negatively correlated with negative jumps which confirm the LeBaron effect.     

Symmetrical Design of Experiment in Global Sensitivity Analysis Based on ANOVA High-dimensional Model Representation

This article reviews symmetrical global sensitivity analysis based on the analysis of variance of high-dimensional model representation. To overcome the computational difficulties and explore the use of symmetrical design of experiment (SDOE), two methods are presented. If the form of the objective function f is known, we use SDOE to estimate the symmetrical global sensitivity indices instead of Monte Carlo or quasi-Monte Carlo simulation. Otherwise, we use the observed values of the experiment to do symmetrical global sensitivity analysis. These methods are easy to implement and can reduce the computational cost. An example is given by symmetrical design of experiment.     

A Proportional Hazards Regression Model for the Subdistribution with Covariates‐adjusted Censoring Weight for Competing Risks Data

With competing risks data, one often needs to assess the treatment and covariate effects on the cumulative incidence function. Fine and Gray proposed a proportional hazards regression model for the subdistribution of a competing risk with the assumption that the censoring distribution and the covariates are independent. Covariate‐dependent censoring sometimes occurs in medical studies. In this paper, we study the proportional hazards regression model for the subdistribution of a competing risk with proper adjustments for covariate‐dependent censoring. We consider a covariate‐adjusted weight function by fitting the Cox model for the censoring distribution and using the predictive probability for each individual. Our simulation study shows that the covariate‐adjusted weight estimator is basically unbiased when the censoring time depends on the covariates, and the covariate‐adjusted weight approach works well for the variance estimator as well. We illustrate our methods with bone marrow transplant data from the Center for International Blood and Marrow Transplant Research. Here, cancer relapse and death in complete remission are two competing risks.     

透视新时期我国区域规划的发展与变革

区域规划作为时代发展的产物,是国家和地区调控区域发展的手段.20世纪90年代以来,随着我国政治、经济转型的不断深入,传统计划经济体制和等级官僚管理体系正发生着深刻变化,并对我国区域规划研究产生显著影响.     

福州三坊七巷历史古街区产业化保护研究

全国重点文物保护单位三坊七巷历史古街区是历史文化名城福州的品牌,如何进行有效的保护、适当的开发和合理的利用,引起了福州市政府的高度重视和社会各界的关心.     

新闻的社会功能与建材产业发展——报道全国建材商品展销订货会的思考

建材工业是我国重要的材料工业.建材产品包括建筑材料及制品、非金属矿及制品、无机非金属新材料三大门类,广泛应用于建筑、军工、环保、高新技术产业和人民生活等领域.中国建材产业起步较晚,但速度发展很快,在产量、出口贸易、资源利用等方面都保持着较好的发展势头,目前在建材产量上雄踞世界榜首.     

首都青少年消费情况研究

笔者于2005年3～6月对1161名首都青少年的消费能力及具体的消费进行了问卷调查。分析了不同类型消费者的心理特征及在不同青少年群体中的构成状况,并指出追求享受型消费者并不是青少年的主流。青少年对品牌的认识与对高科技消费类电子产品的价值持积极的态度,对它们的使用与消费有助于维护自我的形象并在群体中得到认同。