Detecting parameter shift in garch models

This paper applies recent theories of testing for parameter constancy to the conditional variance in a GARCH model. The supremum Lagrange multiplier test for conditional Gaussian GARCH models and its robustified variants are discussed. The asymptotic null distribution of the test statistics are derived from the weak convergence of the scores, and the critical values from the hitting probability of squared Bessel process.

Monte Carlo studies on the finite sample size and power performance of the supremum LM tests are conducted. Applications of these tests to S&P 500 indicate that the hypothesis of stable conditional variance parameters can be rejected.     

贝都因人:阿拉伯世界的精神贵族

“贝都因”的阿拉伯文意思是“荒漠的游牧人”,中文名系由英语“Bedouin”音译而来,另有“贝都英”、“贝杜因”、“贝督因”等译法。贝都因人主要指在阿拉伯半岛、叙利亚、伊拉克以及北非的沙漠、荒原、丘陵和农业边缘地区从事游牧和半游牧的阿拉伯人。他们身材细颀,长有突出的鹰钩鼻,从生理特征上讲,属于欧罗巴人种地中海类型。千百年来,用驼毛绳缚着头帕、身着宽舒长衫、腰插阿拉伯弯刀的贝都因人和椰枣树、单峰驼一起,构成了阿拉伯半岛荒漠地区亘古不变的风景。贝都因人,这些闪族的游牧人,早在金字塔建成以前就在荒漠里放牧着他们的畜…     

关于外汇期货套期保值比率的实证研究

最佳套期保值比率(OHR)的估计方法一直是金融工程理论研究的核心问题,从最开始的幼稚法到JSE法 以及随后的很多其他改进方法,保值效率都有不同程度的提高。使用包含误差修正结构的GARCH模型估计外汇 (澳大利亚元)期货的套期保值比率。通过效率比较,证实该模型所得到的套期保值比率比起传统方法都具有更好 的降低风险能力。     

突出人才素质培养的教学模式改革

从高职教育的培养目标入手 ,就高等职业技术教育中机械类和近机类专业的技术基础课《机械设计基础》如何改革教学模式 ,培养新型人才 ,提出了以下设想 :建立具有“双师型”的教师队伍 ;装备机械设计专用教室 ;针对不同问题做小设计 ;改革考核方式     

现代社会中个人与组织如何联结:理性的行动关联

本文主要通过梳理个人理性和组织理性的理论认识来分析个人与组织的联结方式,这一梳理包括四个方面:关于个人和组织关联的一般共识;个人理性对组织理性的建构意义;组织理性对个人理性的嵌入;个人理性和组织理性行动关联一致和不一致的两种状态及其与组织创新和扩张的关系。     

论刑罚个别化原则的根基和属性——一种多视角的分析与考察

近年我国刑法学界,刑罚个别化原则正日益引起学者的广泛关注和深入研究.刑罚个别化原则有其内在的合理根基它在方法论基础上得益于近代犯罪学对刑法学的推动;在伦理内涵方面体现了人性关怀;在价值追求中实现了公正圆满.刑罚个别化原则不仅仅是一个量刑原则或刑法原则,而且是一个重要的刑事政策原则.     

Institutional Voids,Economic Adversity and Inter‐firm Cooperation in an Emerging Market: The Mediating Role of Government R&D Support

This paper examines the mediating mechanism of the relationship between institutional voids (IVs) and inter‐firm cooperation and the moderating role of economic adversity in the context of small and medium‐sized enterprises (SMEs) based in emerging markets. The hypotheses are tested using time‐lagged survey data from 214 SMEs in Ghana. The findings provide support for the hypotheses by showing that: (1) IVs positively influence the use of government research and development (R&D) support; (2) the use of government R&D support mediates the relationship between IVs and inter‐firm cooperation; and (3) economic adversity positively moderates the relationship between IVs and the use of government R&D support. The findings contribute to understanding the role of IVs in inter‐firm cooperation. The wider implications for theory and practice are examined.     

CAI——信息时代的教育手段

计算机辅助教学是信息时代的教育手段之一。本文介绍了CAI系统及其应用,并探讨了目前CAI在学校应用中存在的问题、发展策略,说明CAI在学校教育中的重要性和作用。     

Chinese version of the OSI: A validation study

This article examines the construct validity of the Occupational Stress Indicator (OSI) in its Chinese version as well as its criterion-oriented validity against self-reported data on absenteeism and accidents, using a final sample of 1054 workers in the Chinese manufacturing and power industries. The divergent and convergent validities of five of the OSI scales—Job satisfaction, Physical ill-health, Mental ill-health, Type A behaviour and Control—were examined by a multimethod-multitrait matrix technique. Results indicated that the Chinese OSI had fairly good validity in relation to other well-established measures as well as relevant organizational behaviours.