The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation,Value at Risk Calculation,and Portfolio Selection

A multivariate generalized autoregressive conditional heteroscedasticity model with dynamic conditional correlations is proposed, in which the individual conditional volatilities follow exponential generalized autoregressive conditional heteroscedasticity models and the standardized innovations follow a mixture of Gaussian distributions. Inference on the model parameters and prediction of future volatilities are addressed by both maximum likelihood and Bayesian estimation methods. Estimation of the Value at Risk of a given portfolio and selection of optimal portfolios under the proposed specification are addressed. The good performance of the proposed methodology is illustrated via Monte Carlo experiments and the analysis of the daily closing prices of the Dow Jones and NASDAQ indexes.     

Nationalism versus civilisations: an assessment of alternate theories on the future of ethnic identity and conflict

The end of the Cold War has caused a reassessment of the future basis for conflict and identity. While Samuel Huntington predicts that super-national ‘civilisations’ are becoming the basis for identity and conflict, many dispute this arguing that either past ethnic and national bases for identity and conflict will remain the norm or that world integration and interdependence will cause the world to unite. This article examines an aspect of this debate using data on ethnic conflict from the Minorities at Risk data set, as well as data collected independently. Specifically, it assesses whether post-Cold War ethnic conflict, and by inference ethnic identity, is more influenced by civilisational or ethnic variables. The analysis shows that separatism, a nationalist variable, is considerably more strongly associated with ethnic rebellion than are civilisational differences. Furthermore, in the multi-variate analysis civilisational differences are, if anything, associated with less ethnic rebellion. Also, separatism and various political variables more strongly influence ethnic rebellion than do civilisational differences. Thus, this study strongly supports the contention that, at least as of the late 1990s, identity continues to be based on national end ethnic factors rather than civilisational ones.     

Quantifying the Distribution of Inhalation Exposure in Human Populations: 2. Distributions of Time Spent by Adults, Adolescents, and Children at Home, at Work, and at School

Using distributions of time spent at various ventilation levels, ranges of inhalation exposure in the population can be established. Distributions of exposure time were determined using results of a study by the California Air Resources Board (CARB) which focused on time spent by humans participating in various activities and the locations where the activities occurred. The daily at-home activities from the CARB study were assigned to one of three ventilation levels, generating aggregate time periods. Distinct age and gender populations were identified, and distributions for aggregate time were established for these populations at each of the ventilation levels. In addition to aggregate time spent at home, distributions for various ages and genders were established for aggregate time spent at school and work. By combining distributions of aggregate time with corresponding ventilation rates, the distribution of inhalation rates can be established for at home, at work, and at school exposures.     

Methodological Approaches to Assessing Risk Perceptions Associated with Food-Related Hazards

The psychometric approach developed by Slovic and his co-workers has been effectively used to assess risk perceptions associated with different food-related hazards. However, further examination (using questionnaire data and partial correlation techniques) has indicated that technological hazards are highly differentiated from lifestyle hazards, in terms of both hazard control and knowledge about the hazard. Optimistic bias was also seen to vary between hazards. Further research has focused on a particular hazard, genetic engineering. Risk perceptions associated with genetic engineering are underpinned by ethical concern and questions relating to perceived need for the technology, as well as perceptions of risk or harm. However, increasing the specificity of hazard stimuli was found to alter the factor structure of underlying risk perceptions. The utility of preference mapping procedures in determining individual differences in trust in risk regulators is also discussed.     

论风险社会中过失理论之选择

风险社会中科学技术高速发展,产生了大量的过失犯罪。过失犯罪理论主要包括旧过失论、新过失论、新新过失论。新过失论更契合于风险社会预防犯罪的需要。在责任事故犯罪中,不应放纵监督者的刑事责任,应大力提倡监督过失理论。     

直播电商用户使用影响因素研究

作为数字经济的新兴业态,直播电商已成为助力经济社会发展的新动能。如何更好地捕捉公众需求、认知用户行为、提升发展质量、推动行业升级成为直播电商领域的重点研究内容。本文以技术接受与使用整合理论为基础框架,结合感知风险与路径依赖理论,建立直播电商用户使用影响因素模型,研究绩效期望、努力期望、社会影响、便利条件对用户行为意愿和使用行为的影响作用,以及感知风险、路径依赖与上述因素之间的相关关系,并对加快推进直播电商发展提出对策建议。     

列宁的青年教育思想及其当代价值——重温《青年团的任务》有感

列宁在《青年团的任务》里系统地阐述了他的青年教育思想,主要包括:建设共产主义是时代赋予广大青年的历史使命;鼓励青年批判地继承人类文化遗产;坚持共产主义道德教育的斗争性;将教育与社会现实结合起来。列宁的青年教育思想对于教育我国当代青年努力学习中国特色社会主义理论、掌握社会急需的本领和技能、积极参与中国社会主义现代化建设有着极为重要的理论价值和现实意义。     

坚持哲学社会科学与自然科学并举并重推进“重要职责”与"第一要务”全面落实

作为人类历史发展最终决定力量的生产力,本身就是自然力与社会力的有机统一.它所客观固有的这一内在本质,既决定了解放、发展社会生产力,尤其是推动先进生产力,必须实行哲学社会科学技术与自然科学技术的并举、并重,又决定了培育、提高先进主体生产力,必须实行哲学社会科学素质和才能与自然科学素质和才能的并举、并重.只有同时坚持这两个并举、并重,我们党代表中国先进生产力发展要求必须始终履行的“重要职责”和"第一要务”,才能得到全面落实.     

投资银行市场风险管理的VaR方法研究

风险价值方法(V alue at R isk)是近几年发展起来的用以度量和控制金融风险的计量模型。文章使用V aR模型度量了投资银行证券投资业务中的市场风险,应用上海证券交易所的实际数据,具体计算出上证指数的V aR时间序列,论证了应用该时间序列来评估风险大小的方法,为风险价值法在我国投资银行市场风险管理中的推广应用提供参考。