基于协高阶矩视角的沪港股市风险传染分析

金融风险传染(financial risk contagion)不仅是资产配置和套期保值决策中应该考虑的一个重要因素,而且直接关系着一国乃至全球金融体系的安全与稳定.运用协高阶矩(协偏度、协波动率、协峰度等)风险传染判定方法,实证检验了沪港通实施前后上海和香港两地股票市场间的风险传染状况.研究结果表明,沪港通政策实施后,上海股市向香港股市的第一类协偏度(均值→波动率)、协波动率、经调整的相关系数、协峰度等的风险传染统计量值依次变大,同样依据风险传染统计量值的大小,香港股市对上海股市的风险传染途径依次为协四阶矩(协波动率、协峰度)、第一类协偏度和经调整的相关系数,协高阶矩成为沪港股市间双向风险传染的主要途径;因资本净流动数额和投资者教育等因素,上海股市对香港市场的风险传染效应更强.     

Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations

Summary.  Structured additive regression models are perhaps the most commonly used class of models in statistical applications. It includes, among others, (generalized) linear models, (generalized) additive models, smoothing spline models, state space models, semiparametric regression, spatial and spatiotemporal models, log-Gaussian Cox processes and geostatistical and geoadditive models. We consider approximate Bayesian inference in a popular subset of structured additive regression models, latent Gaussian models , where the latent field is Gaussian, controlled by a few hyperparameters and with non-Gaussian response variables. The posterior marginals are not available in closed form owing to the non-Gaussian response variables. For such models, Markov chain Monte Carlo methods can be implemented, but they are not without problems, in terms of both convergence and computational time. In some practical applications, the extent of these problems is such that Markov chain Monte Carlo sampling is simply not an appropriate tool for routine analysis. We show that, by using an integrated nested Laplace approximation and its simplified version, we can directly compute very accurate approximations to the posterior marginals. The main benefit of these approximations is computational: where Markov chain Monte Carlo algorithms need hours or days to run, our approximations provide more precise estimates in seconds or minutes. Another advantage with our approach is its generality, which makes it possible to perform Bayesian analysis in an automatic, streamlined way, and to compute model comparison criteria and various predictive measures so that models can be compared and the model under study can be challenged.     

SEMIPARAMETRIC REGRESSION AND GRAPHICAL MODELS

Semiparametric regression models that use spline basis functions with penalization have graphical model representations. This link is more powerful than previously established mixed model representations of semiparametric regression, as a larger class of models can be accommodated. Complications such as missingness and measurement error are more naturally handled within the graphical model architecture. Directed acyclic graphs, also known as Bayesian networks, play a prominent role. Graphical model-based Bayesian 'inference engines', such as bugs and vibes , facilitate fitting and inference. Underlying these are Markov chain Monte Carlo schemes and recent developments in variational approximation theory and methodology.     

美国学校休闲体育计划及其启示

从美国学校休闲体育计划的目标与价值、管理机构、活动方式以及特点等方面作了介绍,以期对我国学校休闲体育计划的发展有所启示。     

A counterexample to Beder's conjectures about Hadamard matrices

In this note we provide a counterexample which resolves conjectures about Hadamard matrices made in this journal. Beder [1998. Conjectures about Hadamard matrices. Journal of Statistical Planning and Inference 72, 7–14] conjectured that if H$\mathit{H}$ is a maximal m×n$m\times n$ row-Hadamard matrix then m is a multiple of 4; and that if n   is a power of 2 then every row-Hadamard matrix can be extended to a Hadamard matrix. Using binary integer programming we obtain a maximal 13×32$13\times 32$ row-Hadamard matrix, which disproves both conjectures. Additionally for n being a multiple of 4 up to 64, we tabulate values of m   for which we have found a maximal row-Hadamard matrix. Based on the tabulated results we conjecture that a m×n$m\times n$ row-Hadamard matrix with m?n-7$m?n-7$ can be extended to a Hadamard matrix.     

反思与重构:对结合犯概念的再思考

对结合犯概念的揭示应注意以下几个方面:不能脱离结合犯的初始意义,应反映结合犯的本质内涵和立法目的,不能脱离法律的实证规定,不能混淆规范刑法学与本体刑法学的界限,不能脱离犯罪成立的理论体系.所谓结合犯是指立法者基于特定立法目的的考虑,将两个具有内在联系性的犯罪(构成要件)规定为独立犯罪(构成要件)的情况.     

汉英混用的成因及语用价值探析

论文分析了汉英混用的成因：方便交流,更具权威性;形式简洁、通用性强;追求流行,标新立异。以及汉英混用的娱乐性、简洁性、委婉性、广泛性等语用价值。     

高拱改革纲领述论——以《挽颓习以崇圣治疏》为中心

明代政治家高拱于嘉靖末年提出的《挽颓习以崇圣治疏》,是其主持隆庆改革的纲领性文献。这一纲领全面揭露了嘉靖时期的“八弊”积习,提出了破除“八弊”的改革对策,指明了“修内攘外,足食足兵”的改革目标。高拱的这一纲领性文献,对其执政后的整顿改革具有重要的指导作用。     

管理是企业永恒的主题

在我国社会主义市场经济条件下,确立管理对经济效益的决定作用,大刀阔斧地改革落后的管理模式是企业改革最迫切、最重要的任务,也是实行现代企业制度的重点.     

Chinatown 2.0: the difficult flowering of an ethnically themed shopping area

Right in Amsterdam’s picturesque Canal Zone, on and around Zeedijk, Chinese entrepreneurs have carved out a presence in what seems like the local Chinatown. The businessmen have been targeting Asian and non-Asian customers by offering products that – to an extent – can be associated with Asia, China in particular. Since the early 1990s, individual entrepreneurs and their business organisations have campaigned for official acknowledgement of Zeedijk as an ethnic-only district and for governmental support of the enhancement of Chineseness. Following Hackworth and Rekers. [(2005). “Ethnic Packaging and Gentrification. The Case of Four Neighborhoods in Toronto.” Urban Affairs Review 41 (2): 211–236], we argue that this case challenges traditional understandings of ethnic commercial landscapes. In sharp contrast to the current orthodoxy, which would conceive the proliferation of such an ‘ethnic enclave’ as part of a larger process of assimilation, we have approached Amsterdam’s Chinatown first and foremost as a themed economic space: Chinese and other entrepreneurs compete for a share of the market and in doing also for the right to claim the identity of the area. What is the historical development of the Zeedijk area, how did Chinese entrepreneurs and their associations try to boost Chinatown and negotiate public Chineseness, and how did governmental and non-governmental institutional actors respond to those attempts?