HIGH DIMENSIONAL COVARIANCE MATRIX ESTIMATION IN APPROXIMATE FACTOR MODELS

The variance covariance matrix plays a central role in the inferential theories of high dimensional factor models in finance and economics. Popular regularization methods of directly exploiting sparsity are not directly applicable to many financial problems. Classical methods of estimating the covariance matrices are based on the strict factor models, assuming independent idiosyncratic components. This assumption, however, is restrictive in practical applications. By assuming sparse error covariance matrix, we allow the presence of the cross-sectional correlation even after taking out common factors, and it enables us to combine the merits of both methods. We estimate the sparse covariance using the adaptive thresholding technique as in Cai and Liu (2011), taking into account the fact that direct observations of the idiosyncratic components are unavailable. The impact of high dimensionality on the covariance matrix estimation based on the factor structure is then studied.     

均值和方差双重变点的贝叶斯侦测

 本文应用贝叶斯方法研究了股价时序的均值和方差双重变点问题。基于后验概率比,我们提出一个类似ICSS算法的快速侦测算法。通过对上证指数时序的实证分析,我们总共发现5处方差突变。其中,3处是均值和方差双重变点,它们都对应中国股市的重大结构变化。     

Simultaneous Determination of Joint Product Cost Allocations and Cost-Plus Prices*

Use of the net realizable value approach for joint manufacturing cost allocations requires knowledge of selling prices of joint products. However, joint product selling prices themselves are functions of the allocated costs under a cost-plus pricing policy. In this case, it is necessary to determine joint cost allocations and joint product prices simultaneously. This paper applies a nonlinear programming (NLP) approach to simultaneously determine the optimal joint production decision, joint product cost-plus prices, and joint cost allocations using the net realizable value method. The NLP solution provides not only the optimal joint production and pricing decisions, but also the necessary conditions for such optimal decisions.     

利用网聚力量维护和促进广西民族团结

壮族在线是一个向广西各族人民乃至全国各兄弟民族普及、推广壮学知识,展示壮民族悠久历史与灿烂文化以及进行族际文化交流、学术探讨的网络平台.本文拟就如何利用新的平台,新的科技,新的方法,更好地展示和弘扬壮族优秀的传统文化,促进广西以及全国各兄弟民族的团结互信、互利,维护和构建党中央提出的"多元一体"中华各民族和睦相处、共同繁荣的大好局面.     

“民族-宗教问题”:概念、类型和实质

作为社会总问题之一的民族-宗教问题广泛存在于当今世界,且有凸显之势。目前,学术界、理论界和有关部门经常使用的民族问题、宗教问题以及民族宗教问题概念,其基本内涵、类型划分和实质等尚未完全明晰。文章认为,应从相应概念入手,根据其内涵和外延进行分类;民族的宗教性和宗教的民族性,决定了民族问题的宗教性和宗教问题的民族性,亦决定了民族宗教问题是民族问题与宗教问题的交织部分;理性经济与非理性文化的不断冲突与调适,构成了民族问题、宗教问题和民族宗教问题的本质要求,亦即利益或权益的分配、冲突和调适构成了民族问题、宗教问题和民族宗教问题的实质。     

二阶段投入产出分析及应用研究

 为了使投入产出研究进一步深化,实现凯恩斯投资乘数的结构化,中国人民大学经济学院刘起运教授提出了“二阶段投入产出分析技术”。本文根据这一技术,提出了编制二阶段投入产出表的具体方法,同时利用我国2002年数据,实际编制了用于构建结构式凯恩斯投资乘数模型的二阶段投入产出表,并给出了分析与建议。     

康区藏族的历史源流回眸

康区藏族历史源流十分漫长,影响深远。本文对康区自有文字记载以来作了回顾和梳理。重点剖析了清末以来的改土归流、西康建省的历程以及期间发生的重大历史事件。     

论习近平总体国家安全观的中国特色

习近平总体国家安全观,正确运用唯物辩证法科学方法论和底线思维,积极防控安全风险发生和扩大。继承、发展毛泽东奠基,邓小平创立,江泽民、胡锦涛加以充实、完善的中国特色国家安全观的成果,将其推进到新阶段。以古鉴今,批判地继承中华民族优秀传统文化中治国安邦的智慧,用之于治国理政维护国家安全实践中。超越了冷战结束以来,美国安全观在安全思维模式、安全目标、维护安全的手段诸方面的利己、排他的局限性,提出了与美国截然不同的安全观。     

侵权法上信赖原则初探

社会分工的细化以及协作的必要性催生了信赖原则。该原则以社会相当性理论为基础,并与被容许的危险以及危险分配理论互为表里。在具备相应的主客观要件的前提下,信赖原则应在交通事故、医疗过失和专家责任等领域广泛应用。     

Consistency and dynamic approach of indexes

The purpose of this article is to study two indexes, the marginal index and the Banzhaf–Coleman index. For each of these two indexes, there is a corresponding reduced game that can be used to characterize it. In addition, we consider the efficient extensions of two indexes. In comparison to each characterization of two indexes, we establish a similar characterization for each extension of two indexes through an identical approach. Finally, for each of two efficient indexes, we propose a dynamic process leading to that corresponding efficient index, starting from an arbitrary efficient payoff vector.