跳过程下的公司证券定价和最优资本结构

由于几何布朗运动不能反映复杂经济背景下的资产价值动态,本文以双指数跳扩散过程作为资产价值过程来研究公司证券定价和最优资本结构问题。本文主要结果是：运用均衡定价的方法给出了公司证券的定价并获得了公司资本价值的解析解。通过比较静态分析揭示了跳风险对企业资本价值、最优资本结构、收益率差价等都具有显著的影响。与几何布朗运动相比,跳风险降低了公司价值和债券价值以及公司最优杠杆率,同时增加了债券的收益率差价和股权价值。     

沪深300股指期货上市对现货市场连续波动和跳跃波动的影响

本文采用跳-扩散随机波动率模型研究沪深300股指期货上市对现货市场波动的影响。通过MCMC方法估计模型参数,对股指期货上市前后指数连续波动和跳跃特征进行比较分析,并与股指期货各指标作比较。研究发现,股指期货的上市确实起到了稳定现货市场的作用,上市短期内现货市场波动增大,随着时间增加现货市场波动逐渐降低,但是这一稳定效果主要体现在指数波动率的连续部分。股指期货上市后,指数连续波动向均值回归速度加快,并呈现出逐渐降低的趋势;“杠杆效应”在经历短暂的消失后逐渐显现;指数跳跃波动在总波动中所占比重较高,但随着交易时间增加,指数平均跳跃次数和跳跃波动所占比重逐渐降低。     

The estimation for Lévy processes in high frequency data

In this article, a generalized Lévy model is proposed and its parameters are estimated in high-frequency data settings. An infinitesimal generator of Lévy processes is used to study the asymptotic properties of the drift and volatility estimators. They are consistent asymptotically and are independent of other parameters making them better than those in Chen et al. (2010 Chen, S. X., Delaigle, A., Hall, P. (2010). Nonparametric estimation for a class of Lévy processes. Journal of Econometrics 157:257–271.[Crossref], [Web of Science ®] , [Google Scholar]). The estimators proposed here also have fast convergence rates and are simple to implement.     

The Effect of Timing on Jump Bidding in Ascending Auctions

We investigate the role of timing in ascending auctions under the premise that time is a valuable resource. Traditional models of the English auction ignore timing issues by assuming that the auction occurs instantaneously. However, when auctions are slow, as Internet auctions used for procurement often are, there are significant opportunity or monitoring costs to bidders, and the choice of the size of the jump bid becomes a strategic decision. We study the choice in the experimental laboratory by systematically varying the opportunity costs associated with fast bidding. When time is more valuable bidders respond by choosing larger jump bids. Surprisingly, the economic performance of the auction is not significantly affected. We develop a simple model of ascending auctions with impatient bidders that provides insights into the effect jump bids have on auction performance.     

背越式跳高运动员训练过程中恐惧心理的产生原因与克服方法

从跳高运动员的主观状态、客观因素、教练员的焦虑问题三个方面对背越式跳高训练过程中运动员恐惧心理的产生原因进行了分析,并提出了相应的克服方法和建议,为背越式跳高理论和训练提供参考。     

我国银行间同业拆借利率的动态研究———基于跳跃 扩散 机制转换模型的实证分析

针对我国短期利率易受政策影响,波动较大并存在结构变化等特点,构建了跳跃 扩散 机制转换模型,同时考察了银行间 7 天同业拆借利率的波动、跳跃和结构变化三种效应,发现我国同业拆借利率不仅具有均值回归特性而且还存在明显的跳跃与机制转换,并且该模型 比其嵌套的受限模型表现更佳． 在高波动状态下利率波动的水平效应和 ARCH 效应可以忽略; 低波动状态下,水平效应可以忽略． 另外,跳跃具有聚类效应,高( 低) 的跳跃概率和高( 低)状态概率对应着高( 低) 利率和较高( 低) 的波动率,跳跃主要发生在高状态机制下,低状态机 制下发生跳跃的可能性很小．     

我国银行间同业拆借利率的动态研究——基于跳跃-扩散-机制转换模型的实证分析

针对我国短期利率易受政策影响,波动较大并存在结构变化等特点,构建了跳跃-扩散-机制转换模型,同时考察了银行间7天同业拆借利率的波动、跳跃和结构变化三种效应,发现我国同业拆借利率不仅具有均值回归特性而且还存在明显的跳跃与机制转换,并且该模型比其嵌套的受限模型表现更佳.在高波动状态下利率波动的水平效应和ARCH效应可以忽略...     

基于不同风险特征的跳跃成分识别及其在波动率预测中的应用

跳跃因子的引入能够准确解释波动的非对称特征,同时跳跃中还含有关于波动率的未知信息.为了更有效地改进波动率的预测,利用基于高频数据的非参数波动估计和跳跃检测方法,在波动的非对称性基础上对跳跃作进一步分解,考察具有不同风险特征的跳跃成分对未来波动率的影响,并对2009-2014年上证综指及其行业指数的面板数据进行实证分析.实证研究发现:周期性行业指数的系统性跳跃对其波动率有显著的预测效力,大盘指数与行业指数之间存在高度相关性;而非周期性行业指数几乎没有表现出明显的杠杆效应,与大盘指数的相关性也较低.     

LEVY-LIBOR市场模型的蒙特卡罗模拟参数校准与估计

基于远期LIBOR利率的随机波动与无限跳跃特征，针对标准化LIBOR市场模型（LMM）和随机波动率LIBOR市场模型（SV-LMM）应用局限，进一步引入Levy无限跳跃过程，建立多因子非标准化Levy 跳跃随机波动率LIBOR市场模型（SVLEVY-LMM）。在此基础上，基于非参数化相关矩阵假设，运用互换期权（Swaption）、利率上限（Cap）等主要市场校准工具和蒙特卡罗模拟技术，对模型局部波动率和瞬间相关系数等参数进行有效市场校准；应用自适应马尔科夫链蒙特卡罗模拟方法（A-MCMC）对Levy跳跃与随机波动参数进行有效理论估计。实证认为，对远期利率波动率校准，分段固定波动率结构较为符合市场实际情况；对远期利率相关系数矩阵校准，非参数化相关系数矩阵具有最小估计误差和最佳的市场适应性；SVLEVY-LMM能够最好拟合远期LIBOR利率。     

A distance-based diagnostic for trans-dimensional Markov chains

Over the last decade the use of trans-dimensional sampling algorithms has become endemic in the statistical literature. In spite of their application however, there are few reliable methods to assess whether the underlying Markov chains have reached their stationary distribution. In this article we present a distance-based method for the comparison of trans-dimensional Markov chain sample output for a broad class of models. This diagnostic will simultaneously assess deviations between and within chains. Illustration of the analysis of Markov chain sample-paths is presented in simulated examples and in two common modelling situations: a finite mixture analysis and a change-point problem.