A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test

We are occupied with an example concerning the limit theory of the ordinary least squares estimator (OLSE) when the innovation process of the regression has the form of a martingale transform the iid part of which lies in the domain of attraction of an α-stable distribution, the scaling sequence has a potentially diverging truncated α-moment, and the regressor process has a potentially divergent truncated second moment. We obtain matrix rates that reflect the stability parameter as well as the slow variations present in the aforementioned sequences, and stable limits. We also derive asymptotic exactness, consistency, and local asymptotic unbiasedness under appropriate local alternatives for a heteroskedasticity robust Wald test based on subsampling. The results could be useful for inference on the factor loadings in an instance of the APT model.     

Generalized method of moments for an extended gamma process

In reliability theory, a widely used process to model the phenomena of the cumulative deterioration of a system over time is the standard gamma process (SGP). Based on several restrictions, such as a constant variance-to-mean ratio, this process is not always a suitable choice to describe the deterioration. A way to overcome these restrictions is to use an extended version of the gamma process introduced by Cinlar (1980), which is characterized by shape and scale functions. In this article, the aim is to propose statistical methods to estimate the unknown parameters of parametric forms of the shape and scale functions. We here develop two generalized methods of moments (Hansen 1982 Hansen, L. P. 1982. Large sample properties of generalized method of moments estimators. Econometrica 50 (4):1029–54.[Crossref], [Web of Science ®] , [Google Scholar]), based either on the moments or on the Laplace transform of an extended gamma process. Asymptotic properties are provided and a Wald-type test is derived, which allows to test SGPs against extended ones with a specific parametric shape function. Also, the performance of the proposed estimation methods is illustrated on simulated and real data.     

Exchange option pricing in jump-diffusion models based on esscher transform

In the real world, we introduce a dynamic model about the risky asset which is governed by Brownian motion, stationary compound Poisson process and its compensation process. By choosing Esscher transform parameters, we obtain a risk-neural measure Q under which the discounted value of the risky underlying asset is a martingale. Then, we give the pricing formulas of Exchange option by change of numeraire. At last, we analyze the option pricing formula and provide numerical illustrations by introducing BBY stock and SBUX stock.     

Valuing equity-indexed annuities with icicled barrier options

Inspired by the recent popularity of autocallable structured products, this paper intends to enhance equity-indexed annuities (EIAs) by introducing a new class of barrier options, termed icicled barrier options. The new class of options has a vertical (icicled) barrier along with the horizontal one of the ordinary barrier options, which may act as an additional knock-in or knock-out trigger. To improve the crediting method of EIAs, we propose a new EIA design, termed autocallable EIA, with payoff structure similar to the autocallable products except for the minimum guarantee, and further investigate the possibility of embedding various icicled barrier options into the plain point-to-point or the ratchet EIAs. Explicit pricing formulas for the proposed EIAs and the icicled barrier options are obtained under the Black–Scholes model. To the purpose, we derive the joint distribution of the logarithmic returns at the icicled time and the maturity, and their running maximum. As an application of the well-known reflection principle, the derivation itself is an interesting probability problem and the joint distribution plays a key role in the subsequent pricing stage. Our option pricing result can be easily transferred to EIAs or other equity-linked products. The pricing formulas for the EIAs and the options are illustrated through numerical examples.     

Estimating the error distribution function in semiparametric additive regression models

We consider semiparametric additive regression models with a linear parametric part and a nonparametric part, both involving multivariate covariates. For the nonparametric part we assume two models. In the first, the regression function is unspecified and smooth; in the second, the regression function is additive with smooth components. Depending on the model, the regression curve is estimated by suitable least squares methods. The resulting residual-based empirical distribution function is shown to differ from the error-based empirical distribution function by an additive expression, up to a uniformly negligible remainder term. This result implies a functional central limit theorem for the residual-based empirical distribution function. It is used to test for normal errors.     

科技先导驱动是调结构、转方式的战略抉择——厦门科技先导产业发展路径分析

本文阐述了发展科技先导产业的战略意义,总结国内部分先进城市的发展特点,应用SWOT方法分析了科技先导产业的发展形势;从产业发展规律和先导产业的特征出发,以厦门为例提出了科技先导产业重点领域的选择及其发展路径;最后给出了推进先导产业发展的对策建议,为政府制定科技先导产业发展战略提供了决策参考。     

社会转型与农村留守妇女角色地位的转变

城市化造成大量农村男性劳动力外出务工,加上城乡"二元结构"所形成的城乡分割状况,由此形成了农村"留守妇女"这一新的群体。她们在政治生活、农业生产、社会生活和家庭生活中的角色地位从以前次要地位转变成现在的主要地位。角色地位的转变给留守妇女带来了生活、精神的巨大压力。针对留守妇女存在诸如角色转变所带来的新问题,应该加大对留守妇女生活的帮助和扶持,加强农村社区安全建设,排遣其生活压力,丰富其文化生活,提高其致富能力。     

新形势下对《复变函数与积分变换》教学改革的思考

针对当前工科专业《复变函数与积分变换》课程教学存在的问题,对新形势下该课程教学改革提出了一些建议.     

The Realized Laplace Transform of Volatility

We introduce and derive the asymptotic behavior of a new measure constructed from high‐frequency data which we call the realized Laplace transform of volatility. The statistic provides a nonparametric estimate for the empirical Laplace transform function of the latent stochastic volatility process over a given interval of time and is robust to the presence of jumps in the price process. With a long span of data, that is, under joint long‐span and infill asymptotics, the statistic can be used to construct a nonparametric estimate of the volatility Laplace transform as well as of the integrated joint Laplace transform of volatility over different points of time. We derive feasible functional limit theorems for our statistic both under fixed‐span and infill asymptotics as well as under joint long‐span and infill asymptotics which allow us to quantify the precision in estimation under both sampling schemes.     

低碳模式转型中经济伦理的构建

针对在低碳模式转型中存在着悖离经济伦理的现象,采用理论分析的方法进行研究,阐述了经济伦理的构建是推动低碳模式转型的重要保证和内在动力,得到了坚持生产伦理,发展低碳经济;坚持消费伦理,倡导低碳生活的结论。经济伦理的构建能引导、规范低碳经济的发展,推动低碳经济转型升级,既能抓住转变发展模式,获得可持续发展的难得机遇,也能促进经济与社会、人与自然和谐发展。