Differences and similarities in monetary benefits for informal care in old and new EU member states

This article presents an overview of the monetary benefits available in the context of long‐term care provided by family or other informal carers in 11 old and 10 new EU member states. All but one country in our sample offer at least some monetary benefits that can be used to help finance informal care. Old EU member states tend to direct benefits to individuals in need of care, whereas new EU member states place more emphasis on benefits for carers. Among new EU member states, monetary benefits are less often means‐tested and tend to be lower compared with benefits in old EU member states. Because social policies in many countries increasingly rely on monetary benefits rather than on benefits in kind and because the share of informal care in the overall provision of elderly care will scarcely decline, monetary benefit incentives for labour market participation need to be carefully monitored.     

Nonparametric beta kernel estimator for long and short memory time series

In this article we introduce a nonparametric estimator of the spectral density by smoothing the periodogram using beta kernel density. The estimator is proved to be bounded for short memory data and diverges at the origin for long memory data. The convergence in probability of the relative error and Monte Carlo simulations show that the proposed estimator automatically adapts to the long- and the short-range dependency of the process. A cross-validation procedure is studied in order to select the nuisance parameter of the estimator. Illustrations on historical as well as most recent returns and absolute returns of the S&P500 index show the performance of the beta kernel estimator. The Canadian Journal of Statistics 48: 582–595; 2020 © 2020 Statistical Society of Canada     

长期冲击、价格调整与股票组合收益的互相关关系

本文研究了以流通规模为基础的大、小股票组合之间的互相关关系。小股票组合对大股票组合显著为负的滞后引导关系表明基于价格调整速度差异的信息扩散机制在我国股市并不存在,这需要结合我国证券市场特定的投资者构成和投资行为才能给予可能的解释。组合收益率的长记忆性对互相关关系检验的有效性有着不可忽略的影响,在剔除长期因素的影响之后,组合之间的互相关关系有所减弱或消失。     

Statistical properties of detrended fluctuation analysis

The main goal of this work is to consider the detrended fluctuation analysis (DFA), proposed by Peng et al. [Mosaic organization of DNA nucleotides, Phys. Rev. E. 49(5) (1994), 1685–1689]. This is a well-known method for analysing the long-range dependence in non-stationary time series. Here we describe the DFA method and we prove its consistency and its exact distribution, based on the usual i.i.d. assumption, as an estimator for the fractional parameter d. In the literature it is well established that the nucleotide sequences present long-range dependence property. In this work, we analyse the long dependence property in view of the autoregressive moving average fractionally integrated ARFIMA(p, d, q) processes through the analysis of four nucleotide sequences. For estimating the fractional parameter d we consider the semiparametric regression method based on the periodogram function, in both classical and robust versions; the semiparametric R/S(n) method, proposed by Hurst [Long term storage in reservoirs, Trans. Am. Soc. Civil Eng. 116 (1986), 770–779] and the maximum likelihood method (see [R. Fox and M.S. Taqqu, Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series, Ann. Statist. 14 (1986), 517–532]), by considering the approximation suggested by Whittle [Hypothesis Testing in Time Series Analysis (1953), Hafner, New York].     

Piecewise FARIMA models for long-memory time series

We consider the problem of modelling a long-memory time series using piecewise fractional autoregressive integrated moving average processes. The number as well as the locations of structural break points (BPs) and the parameters of each regime are assumed to be unknown. A four-step procedure is proposed to find out the BPs and to estimate the parameters of each regime. Its effectiveness is shown by Monte Carlo simulations and an application to real traffic data modelling is considered.     

Obtaining prediction intervals for FARIMA processes using the sieve bootstrap

The sieve bootstrap (SB) prediction intervals for invertible autoregressive moving average (ARMA) processes are constructed using resamples of residuals obtained by fitting a finite degree autoregressive approximation to the time series. The advantage of this approach is that it does not require the knowledge of the orders, p and q, associated with the ARMA(p, q) model. Up until recently, the application of this method has been limited to ARMA processes whose autoregressive polynomials do not have fractional unit roots. The authors, in a 2012 publication, introduced a version of the SB suitable for fractionally integrated autoregressive moving average (FARIMA (p,d,q)) processes with 0<d<0.5 and established its asymptotic validity. Herein, we study the finite sample properties this new method and compare its performance against an older method introduced by Bisaglia and Grigoletto in 2001. The sieve bootstrap (SB) method is a numerically simpler alternative to the older method which requires the estimation of p, d, and q at every bootstrap step. Monte-Carlo simulation studies, carried out under the assumption of normal, mixture of normals, and exponential distributions for the innovations, show near nominal coverages for short-term and long-term SB prediction intervals under most situations. In addition, the sieve bootstrap method yields better coverage and narrower intervals compared to the Bisaglia–Grigoletto method in some situations, especially when the error distribution is a mixture of normals.     

引入持仓量的沪铜指数长记忆波动性研究

通过协整关系检验、误差修正模型、向量自回归模型、格兰杰因果关系检验、脉冲响应函数证明了在建立模型时引入持仓量序列的必要性。运用修正R/S分析,建立了沪铜指数收益率波动的ARFIMA、FI-GARCH、ARFIMA-FIGARCH模型,并运用此种模型对沪铜指数的收益率序列rt、收益率波动序列｜rt｜及残差序列｜εt｜进行相关研究和分析,结果表明：ARFIMA（0,d1,0）-FIGARCH（1,d2,1）模型的预测效果比较好。     

职技高师中长期发展策略探索

发展战略与策略是辨证的统一,职技高师中长期发展战略的实施离不开策略的策应与支撑。其中最为关键的是在科学发展观的指导下,遵循高等教育发展规律,紧紧围绕职技高师中长期发展战略目标,重点实施“理念引领、推进学科建设、深化教学改革、加强科技创新、进行师资建设和先进文化建设”六大发展策略。     

执政党与宗教——兼论中国化马克思主义宗教观

中国化马克思主义宗教观,特别是"适应观"的重要思想是中国共产党对马列主义宗教观发展创新的科学界定,是中国共产党三代领导集体智慧的结晶.对宗教二重性的科学剖析是马克思主义者在长期的实践过程中得出的真理.正确认识宗教、妥善处理宗教问题是加强党的执政能力建设所面临的重要课题.     

基于LW估计的中国证券市场长记忆性实证研究

针对国内研究证券市场长记忆性主要采用的是时域方法,文章采用基于频域的半参数Local Whittle估计方法研究了中国证券市场的长记忆特性,并且和对数周期图回归(GPH)方法进行了比较。结果表明,LW方法具有不受时间频率的影响,能够有效消除时间序列中短期记忆和周期性对估计结果的影响等优点,明显优于GPH方法。实证结果表明,中国证券市场存在明显的长记忆性,并且长记忆行为在重大突发事件发生期间更加明显。文章还从长记忆的角度探讨了“政策市”的存在性和相关特点。