LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS

Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies.     

Detecting Randomness: A Review of Existing Tests with New Comparisons

In this article we review and compare a number of existing tests for detecting randomness in time series data, with emphasis on stock market index data. By comparing variance ratio tests with traditional statistical tests, we have the most extensive simulation comparison of such procedures. The investigated tests are compared over a diverse group of distributions, models, and stock market applications. In our stock market data analysis, the choice of data transformation can have a noticeable effect on test results. This study provides the reader with a guide as to which test and transformation is most appropriate for their use.     

对完善股份合作制的认识

股份合作制是现代市场经济的必然产物 ,是历史的必然选择。但作为我国经济生活中不容忽视的一种企业组织形式 ,也存在着诸多问题。认清几个发展趋势 ,进一步规范和完善股份合作制在当前尤为重要     

股票期权制度在我国的实践研究

随着企业制度改革的推进 ,股票期权制度逐渐成为我国理论界和实务界关注的热点问题 ,出现了大量的关于股票期权理论及其制度设计的研究成果 ,但实证分析其在我国实践效果的却比较少见。本文以上市公司为样本 ,通过对公司经营业绩的实证比较 ,对股票期权的实践效应进行分析 ,并对造成股票期权激励无效的原因进行了一些探讨     

西夏《天盛律令》厩牧律考

厩牧律其立法渊源可直追秦汉。西夏《天盛律令》中有关厩牧的律条 ,已相当完备 ,且已形成了较完备的体系 ,无论是对厩牧的管理、治罪、奖励、检验等都有相当明确的规定。对这部份的内容加以认真地考证 ,我们会发现西夏的厩牧制度不同于其他民族 ,这对研究西夏的畜牧法律制度 ,乃至研究中国的畜牧管理变革来说 ,都无疑具有一定的价值     

日本在伪蒙疆政权时期的家畜防疫政策论析 ———以蒙疆家畜防疫处的活动为中心

1937年末日本树立伪蒙疆政权后,为掠夺该地区丰富的畜产资源,实行畜产统制政策,制定了《蒙疆畜产政策要纲》,计划实施马、绵羊等牲畜的改良增殖及家畜防疫,欲为其对外侵略战争提供畜产资源。为加强牲畜防疫,培养兽医及畜产技术人员,设立了蒙疆家畜防疫处及其派出机构,进行防疫研究、防疫用各种血清类的制造和兽疫预防工作。目的是保障顺利掠夺该地区丰富的畜产资源,为日本的战争经济服务。     

人力资本股份化探讨

本文通过对人力资本及其确认、人力资本的价值与价值计量的研究,按“人力资本的价值取决于它所创造的超额利润（经济增加值）”的原则,设计人力资本价值计量模型,进而探索不同类型人力资本股份化的实现方式,并建议利用期权股份激励创新型人力资本所有者。     

鲇鱼(Silurus asotus)产卵类型的研究

本文侧重研究了站鱼个体生殖力及产卵类型。结果表明：雌性个体1冬龄达性成熟,性腺一次成熟,卵子分批产出,产卵期是6—8月份,性成熟系数在7月份达高峰,8月份是产卵盛期,在产卵前的卵巢切片只发现有第4时相和第5时相卵母细胞,确定产卵类型为一次产卵。