我国内地公司ADR与原股的外溢效应研究

本文以14家同时发行H股与ADR,6家同时发行B股与ADR的上市公司为样本,利用GARCH(1,1)-MA(1)模型,探讨ADR与原股报酬波动的外溢效应,以了解我国证券市场与美国证券市场的整合程度。结果发现,我国H股与ADR之间存在报酬波动性的双向相关性,B股与ADR之间存在报酬波动性的单向相关性。本文认为,投资主体差异、市场发展程度不同以及汇率制度是三个影响我国市场和美国市场整合程度的主要因素。     

The Economic Efficiency of Sampling Size: The Case of Beef Trim

The economically optimal sample size in a food safety test balances the marginal costs and marginal benefits of increasing the sample size. We provide a method for selecting the sample size when testing beef trim for Escherichia coli O157:H7 that equates the averted costs of recalls and health damages from contaminated meats sold to consumers with the increased costs of testing while allowing for uncertainty about the underlying prevalence rates of contamination. Using simulations, we show that, in most cases, the optimal sample size is larger than the current sample size of 60 and, in some cases, it exceeds 120. Moreover, lots with a lower prevalence rate have a higher expected damage because contamination is more difficult to detect. Our simulations indicate that these lots have a higher optimal sampling rate.     

Occupancy numbers for dynamic heterogeneous populations: Estimate of particles lifetimes

A dynamic model of a heterogeneous population is studied. Particles belonging to a population are divided, at every time t, into a finite number of classes according to their types and the partition changes over time. The role of the occupancy numbers, namely the cardinality of each class, is highlighted. The relationship between the stochastic process of occupancy numbers and the process of particle types is analyzed. The main goal of this paper is the estimation of the lifetime of each particle at a given time t, when the observed data are the history of the process of the number of dead particles up to t. Furthermore, a discrete time approximation of the filter is given.     

On a multiple endpoints testing problem

In a clinical trial comparing drug with placebo, where there are multiple primary endpoints, we consider testing problems where an efficacious drug effect can be claimed only if statistical significance is demonstrated at the nominal level for all endpoints. Under the assumption that the data are multivariate normal, the multiple endpoint-testing problem is formulated. The usual testing procedure involves testing each endpoint separately at the same significance level using two-sample t-tests, and claiming drug efficacy only if each t-statistic is significant. In this paper we investigate properties of this procedure. We show that it is identical to both an intersection union test and the likelihood ratio test. A simple expression for the p-value is given. The level and power function are studied; it is shown that the test may be conservative and that it is biased. Computable bounds for the power function are established.     

Sanctioning as a social norm: Expectations of non-strategic sanctioning in a public goods game experiment

Sanctioning increases cooperation in public goods games, but not indiscriminately under all conditions and in all societies, and the mechanisms by which sanctioning exercises its impact on behavior are yet to be studied in detail. We show experimentally that in the presence of sanctioning, our experimental subjects adjust their behavior in order to avoid being a free rider. They do this not only in the STANDARD sanctions treatment, where they directly experience any sanctions assigned to them, but also in our main treatment, the SECRET sanctions treatment, where no information on sanctions received is available until the end of the experiment. We observe no such free riding avoidance in the treatment without sanctioning. The mere knowledge that sanctions might be assigned increases cooperation among the members of our subject pool; subjects expect that non-strategic sanctioning occurs against the free riders. Moreover, these expectations are correct as we observe a similar pattern and extent of sanctioning in both treatments. We propose that sanctioning in itself is a social norm and may be culturally dependent, as suggested in the literature.     

光纤通信系统中的帧同步捕捉时间

对帧同步系统的捕捉过程进行了分析,推导了在随机起始条件下捕捉时间的概率分布函数.对采用 mB1H 码的光纤三次群通信系统中两种帧同步方案捕捉时间的概率分布进行了计算与比较.     

On Christensen's conjecture

In this paper we give solution to a conjecture appearing in Christensen (1997, p. 360) in relation to the definitions of standardized residuals in loglinear models. Work done when he was visiting as the Distinguished Lukacs Professor on leave from the Complutense University of Madrid. An erratum to this article is available at .     

A multivariate version of Gini's rank association coefficient

In this paper, we introduce a multivariate generalization of the population version of Gini's rank association coefficient, giving a response to this open question posed in [4]. We also study some properties of this version, present the corresponding results for the sample statistic, and provide several examples.     

Considerations on group-wise identical designs for linear mixed models

We consider a general class of mixed models, where the individual parameter vector is composed of a linear function of the population parameter vector plus an individual random effects vector. The linear function can vary for the different individuals. We show that the search for optimal designs for the estimation of the population parameter vector can be restricted to the class of group-wise identical designs, i.e., for each of the groups defined by the different linear functions only one individual elementary design has to be optimized. A way to apply the result to non-linear mixed models is described.     

制革铬鞣废水中铬(Ⅲ)的治理和回收利用

采用沉淀－双氧水氧化法，对制革铬鞣废水中铬（Ⅲ）的治理和回收利用进行了研究．该法对铬（Ⅲ）的回收率可达９２％，处理后废水澄清，无色，无味，稳定，ｐＨ值８～８．５．