考虑成分股联跳与宏观信息发布的沪深300指数已实现波动率模型研究

利用日内高频数据计算的已实现波动率较好度量了金融资产的风险,因此对其预测模型的研究具有重要意义。考虑到指数成分股的联跳可能蕴含指数跳跃所未能反映的信息,提出运用非参数方法识别指数成分股的联跳,采用自回归条件风险模型估计成分股联跳强度,并将其引入指数的已实现波动率异质自回归（HAR-RV-CJ）模型中,分析模型预测性能的改进。进一步的,考虑到宏观信息公告的发布可能对股市产生整体性影响,相应影响成分股联跳的几率;因此,在成分股联跳的自回归条件风险模型中引入居民消费价格指数、国内生产总值、贸易差额等宏观信息公告变量,并分析对联跳强度估计以及指数已实现波动率预测的影响。采用2011年1月4日至2013年7月11日沪深300指数及其成分股高频数据的实证表明,指数成分股联跳与指数跳跃具有不同的特征;用成分股联跳强度代替HAR-RV-CJ模型中的跳跃构建的HAR-RV-CI模型,较原始的HAR-RV-CJ模型,以及同时考虑指数跳跃与成分股联跳强度的HAR-RV-CJI模型,具有明显较优的样本内拟合与样本外预测性能。引入宏观信息公告变量可以改进联跳强度自回归条件风险模型的拟合效果,并提高指数已实现波动率模型的样本内拟合能力,但对于指数已实现波动率的样本外预测性能并无明显的帮助。     

Ethnosemiotics: Some personal and theoretical reflections

The question of how individual memory fits, or more accurately, does not fit with history is at the heart of this paper on Maryse Condé’s novel Heremakhonon about Veronica Mercier, a character who was born in Guadeloupe, lived in Paris and travels to West Africa in search of an ancestry that was interrupted by slavery. Suggesting that readings that focus on Mercier as a character are limited in approach, it reads the novel as a staging of time and is attentive to the gaps between thought and speech, between memory and history, between Guadeloupe and Africa, and between women’s personal sexual pleasure and the impersonal reproductive body that interrupt the narrative. The central character’s personal quest for her African roots – for ‘niggers with ancestors’, for Africa as a singular lost object, which necessarily involves ignoring the subaltern – is nuanced by the novel’s deployment of heterogeneous time.     

硅胶基吸附材料的合成方法

硅胶基吸附材料是以硅胶为基质合成的一种对金属离子具有良好吸附性能的材料．本文从改性机理和合成路径两方面综述了硅胶基吸附材料的合成方法,并讨论了不同合成路径（异相法、均相法、共聚法）的优缺点．     

同乡的力量：同乡聚集对农民工工资收入的影响

中国的城乡流动中存在同一籍贯或同一来源地的农村流动人口的就业聚集现象--“同乡聚集”。本研究使用2010年珠三角和长三角外来务工者调查的数据,采用倾向分数匹配和异质性干预模型等方法,考察了以籍贯为族群基础的同乡聚集对城市农民工经济收入的影响。研究发现,尽管同乡聚集者的收入优势受到异质性和自我选择机制的影响,但同乡聚集仍有助于提高农民工的工资收入。越倾向于同乡聚集的农民工,从同乡聚集中获得的收入回报越高。     

Reputation Work in Selling Film and Television: Life in the Hollywood Talent Industry

Reputation is an important feature in the interactional contexts of work in “culture industries” such as film and television production. But few accounts have examined how reputations are produced in the everyday worlds in which cultural producers live and work. This paper introduces the concept of “reputation work” to describe the front stage and back stage interactional processes through which cultural producers continuously strive to produce their reputations. Drawing on participant observation data gathered at a Hollywood talent management company and a business school course on the talent industry, this paper shows how Hollywood agents and managers perform four types of reputation work. These include how Hollywood talent representatives work to adhere to institutionalized conventions for reputable physical settings, group contexts, giftgiving practices, and selfhoods. Such reputation work performances are done for the sake of “impression management,” but show how this strategic interaction is governed by industry-wide institutions that govern legitimacy.

Supply Disruptions,Heterogeneous Beliefs,and Production Efficiencies

Recent years have witnessed the pervasive supply disruptions and their impacts on supply chain performance. In this study, we investigate the optimal procurement design with supply disruptions and heterogeneous beliefs between the buyer and the supplier. We examine the impact of information asymmetry on the supplier's belief, the control right of the backup production, and the verifiability of supply disruption. The belief heterogeneity creates speculative gains and losses because the buyer and the supplier hold different estimates of the disruption probability. We demonstrate that the buyer's incentive to exploit this belief heterogeneity leads to real production inefficiencies in different scenarios. The production efficiency is not necessarily improved with more transparent information. Moreover, a very pessimistic supplier may have no incentive to invest in improving the reliability even if this is costless, and the supplier may produce more when the expected production cost becomes higher. When the buyer sees some value in using the supplier's estimate to update his own belief, we find that the main results hold unless the buyer completely abandons his belief.     

A simple evolutionary model of dormancy and dispersal in heterogeneous patches with special reference to phytophagous lady beetles: I. Stable environments

Summary A simple evolutionary model of dormancy and dispersal is presented with special reference to phytophagous lady beetles. In order to investigate spatially heterogeneous environments, we assume the simplest patch structure, that is, there are only two patches, main and sub. Environments are also assumed to be temporally constant. The main patch is superior to the sub patch, but density effect at the main patch is higher than at the sub patch. Optimal dormancy and dispersal are obtained at the same time by the method of evolutionarily stable strategy (ESS). In the univoltine life cycle, dormancy strategy vanishes because dormant individuals do not reproduce at all but suffer from a certain mortality rate during winter hibernation. In the bivoltine life cycle, the dormancy and dispersal rates constitute a trade-off: the rates change together with a negative correlation when the mortality rate during dispersal or during winter hibernation changes. When suitability of the main patch gradually deteriorates, the optimal strategy changes as follows: neither dormancy nor dispersal is adopted at the most suitable condition, the dispersal rate is increased without dormancy in the intermediate condition, and then the dormancy rate is increased with a constant dispersal rate. We discuss the field observation data of lady beetles in the light of results of our model.     

T寿险公司银行保险代理人薪酬模式设计

我国保险行业中银行保险业务市场潜力巨大,T寿险公司为了更好地激励银行保险代理人,对公司原先采用的银行保险代理人的薪酬模式进行了重新设计。在设计新的薪酬模式中,T公司通过提高客户经理的底薪,降低首年业务提成比率,取消学历津贴,增加培训津贴,调整基本工资与业务提成所占比例以及设计适合代理人的福利项目等方法较好地实现了公司薪酬管理的目的。     

偏好市场下制造 /再制造系统最优生产决策

从消费者对再制造产品和新产品有着不同的需求偏好入手, 引入市场需求偏好函数, 构建单一垄断生产商利润最大化的带约束生产决策模型, 探讨偏好市场下的两期和无限期的最优产量 -价格决策策略.此外, 通过对再制造经济优化模型的数据模拟, 分析消费者偏好系数对生产商利润、成本节约、产品价格的影响, 为生产商的生产决策, 以及政府如何影响消费者偏好决策提供指导建议     

食品系统理论研究综述

随着经济的发展和社会分工的细化,围绕着饮食的供需环境日趋复杂化。因此有必要站在国家粮食和食物供给安全的战略高度从整体的视角对食物的供需变化进行系统的研究。食品系统理论以其独特的研究视角在国际学术界日益受到广泛的关注。本文将食品系统理论的相关文献进行了系统的研究,追溯了食品系统研究的起源,明晰了其理论框架和思想背景,探讨了研究热点和研究现状,并指出研究中存在的不足及今后的研究重点。