基于马尔可夫转换模型的违约风险溢价预测研究

针对违约风险溢价变化依赖于经济波动状态以及市场、宏观经济变量依赖于经济周期时变因素的阶段,基于马尔可夫转换阶段的具体特征,构建马尔可夫违约风险溢价预测转换模型,并以香港恒生指数信用违约互换波动为例,测算因时变系数波动的指数息差、宏观经济变量等概率,通过实证算例剖析股市、宏观经济变量与违约风险溢价之间的内在联动关系和信用违约风险溢价变化的转换机制,以期实现对违约风险溢价能够进行有效预测,实证仿真结果说明了模型的有效性。     

威廉·格纳齐诺小说中叙事视角的变化特点

德国作家威廉·格纳齐诺早期的作品多采用零聚焦叙事视角,而1989年后的小说则多采用固定式内聚焦叙事视角。这种转变使叙述者在文本中的聚焦位置﹑聚焦范围和叙事方式随之发生了变化。作品也由早期的按时间顺序展开﹑直线式的叙述结构转向了以人物心理为线索﹑不连贯性和随意性的叙述结构。格纳齐诺前后期作品叙事视角的变化以及随之所带来的作品结构的变化与作家的创作意图﹑文本所突出的内容有着密切的联系。     

论《伤逝》人物原型的变形艺术

<伤逝>承载着鲁迅内心世界丰富的情感信息,既是对朱安命运的直接预言,也是对旧式婚姻生活的回顾与告别.据此,鲁迅对人物原型进行了艺术变形,以"杂取种种"、"合成一个"的方式塑造出了"子君"的形象,又以自己为基本原型塑造了"涓生"的形象.鲁迅与"涓生"之间的"镜像效应",使<伤逝>的主题具有自我审视与批判的深刻意蕴.     

Testing Linear Regression Models in Non Regular Case

We propose a new statistic for testing linear hypotheses in the non parametric regression model in the case of a homoscedastic error structure and fixed design. In contrast to most models suggested in the literature, our procedure is applicable in the non parametric model case without regularity condition, and also under either the null or the alternative hypotheses. We show the asymptotic normality of the test statistic under the null hypothesis and the alternative one. A simulation study is conducted to investigate the finite sample properties of the test with application to regime switching.     

A transitional Markov switching autoregressive model

ABSTRACT

This paper is concerned with properties of a transitional Markov switching autoregressive (TMSAR) model, together with its maximum-likelihood estimation and inference. We extend existing MSAR models by allowing dependence of AR parameters on hidden states at time points prior to the current time t. A stationary solution is given and expressions for the theoretical autocovariance function are derived. Two time series are analyzed and the new model outperforms two existing MSAR models in terms of maximized log-likelihood, residual correlations, and one-step-ahead forecasting performance. The new model also gives more regime changes in agreement with real events.     

A modification to some proposed tests in relation to the problem of switching regression models

Several tests proposed to deal with the problem that a switch occurs in a regression model are discussed and an attempt Is made to improve them through a very natural modification, The modified tests are Illustrated using data given by Quandt where a switch is present     

The Structural Break in the Equity Premium

This article uses Bayesian marginal likelihood analysis to compare univariate models of the stock return behavior and test for structural breaks in the equity premium. The analysis favors a model that relates the equity premium to Markov-switching changes in the level of market volatility and accommodates volatility feedback. For this model, there is evidence of a one-time structural break in the equity premium in the 1940s, with no evidence of additional breaks in the postwar period. The break in the 1940s corresponds to a permanent reduction in the general level of stock market volatility. Meanwhile, there appears to be no change in the underlying risk preferences relating the equity premium to market volatility. The estimated unconditional equity premium drops from an annualized 12% before to the break to 9% after the break.     

论"艺术审美经验"的涵义

近代以来的美学转向使得"艺术审美经验"一词越来越引起人们的关注,而当前国内学术界热烈展开的关于"日常生活审美化"艺术的边界"等问题的讨论也无不涉及到对"艺术审美经验"这一概念的理解.因此总结历史的经验、综合各派的观点,从理论上澄清"艺术审美经验"这一概念的基本内涵,应该是很有现实针对性."艺术审美经验"这一概念包括外延和内涵两方面的意义.从外延方面看,艺术审美经验的能指范围是不断拓展的,但不能突破"艺术"和"审美"所界定的底线.从内涵方面看,艺术审美经验的所指意义不只是它固有的美学内涵,还应该包括哲学内涵、心理内涵和人文内涵等多重内容.     

Testing for intercept‐scale switch in linear autoregression

Autoregressive models with switching regime are a frequently used class of nonlinear time series models, which are popular in finance, engineering, and other fields. We consider linear switching autoregressions in which the intercept and variance possibly switch simultaneously, while the autoregressive parameters are structural and hence the same in all states, and we propose quasi‐likelihood‐based tests for a regime switch in this class of models. Our motivation is from financial time series, where one expects states with high volatility and low mean together with states with low volatility and higher mean. We investigate the performance of our tests in a simulation study, and give an application to a series of IBM monthly stock returns. The Canadian Journal of Statistics 40: 427–446; 2012 © 2012 Statistical Society of Canada     

Heterogeneous credit union production technologies with endogenous switching and correlated effects

Credit unions differ in the types of financial services they offer to their members. This article explicitly models this observed heterogeneity using a generalized model of endogenous ordered switching. Our approach captures the endogenous choice that credit unions make when adding new products to their financial services mix. The model that we consider also allows for the dependence between unobserved effects and regressors in both the selection and outcome equations and can accommodate the presence of predetermined covariates in the model. We use this model to estimate returns to scale for U.S. retail credit unions from 1996 to 2011. We document strong evidence of persistent technological heterogeneity among credit unions offering different financial service mixes, which, if ignored, can produce quite misleading results. Employing our model, we find that credit unions of all types exhibit substantial economies of scale.