Splines for financial volatility

Summary.  We propose a flexible generalized auto-regressive conditional heteroscedasticity type of model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B -splines of lagged observations and volatilities. Estimation of such a B -spline basis expansion is constructed within the likelihood framework for non-Gaussian observations. As the dimension of the B -spline basis is large, i.e. many parameters, we use regularized and sparse model fitting with a boosting algorithm. Our method is computationally attractive and feasible for large dimensions. We demonstrate its strong predictive potential for financial volatility on simulated and real data, and also in comparison with other approaches, and we present some supporting asymptotic arguments.     

关于中国画创作的理性思考

中国画是民族精神和气格的象征,当代中国画的创作在传统理念与创新意识、形式的多样性与情感的诸多矛盾中发展。而提高创作主体的修养关乎作品格调的高低,以现代意识和民族精神为契机,把握时代给于中国画的要求,真诚的面对自然,面对心灵,努力创作出具有时代气息的艺术作品,为中国画在21世纪的艺术之林争得有话语权的一席之地。     

浅析高校负债办学

负债办学是目前高校实现跨越式发展的必由之路。负债在给高校带来快速发展的同时 ,也给高校带来了财务风险。因此 ,高校负债办学既要根据学校的发展规划和对资金的需求 ,适度负债 ,又要加强负债的管理 ,提高资金使用效益     

晋商与徽商企业制度创新模式的比较及启示

明清时期的晋商与徽商,由于地域文化及其宗族关系上的差异,形成了不同的企业运营机制。在实践中,他们各自形成了一整套有效率的具有历史适应性的企业制度,但是,二者均没有形成企业制度创新的内在利益冲动,使企业以一种自增强机制蜕变为现代企业制度,最终走向了衰落。通过对其不同企业制度形成的机理及其兴衰的分析,总结出晋商与徽商兴衰的经验教训,对我国正在进行的企业制度建设有启迪作用。     

Extremes of Markov chains with tail switching potential

Summary.  A recent advance in the utility of extreme value techniques has been the characteri- zation of the extremal behaviour of Markov chains. This has enabled the application of extreme value models to series whose temporal dependence is Markovian, subject to a limitation that prevents switching between extremely high and extremely low levels. For many applications this is sufficient, but for others, most notably in the field of finance, it is common to find series in which successive values switch between high and low levels. We term such series Markov chains with tail switching potential, and the scope of this paper is to generalize the previous theory to enable the characterization of the extremal properties of series displaying this type of behaviour. In addition to theoretical developments, a modelling procedure is proposed. A simulation study is made to assess the utility of the model in inferring the extremal dependence structure of autoregressive conditional heteroscedastic processes, which fall within the tail switching Markov family, and generalized autoregressive conditional heteroscedastic processes which do not, being non-Markov in general. Finally, the procedure is applied to model extremal aspects of a financial index extracted from the New York Stock Exchange compendium.     

标杆管理法在企业物流组织结构变革中的应用实践

合理的物流组织结构有利于企业物流的畅通,降低成本,提高效率。世界先进企业物流组织已由注重功能型发展到注重过程型。相比之下,我国企业物流组织模式还处于发展的初级阶段。在介绍企业物流组织变革过程的基础上,以丹麦嘉士伯啤酒企业物流组织模式为标杆,运用标杆管理法对湖南华狮啤酒物流组织结构进行了变革实践,以期为准备建立和改善物流管理组织的企业提供借鉴。     

中国加入WTO后金融创新问题探讨

中国加入WTO ,将对我国的金融业带来机遇和挑战。国有商业银行不仅在体制上面临着激烈的竞争 ,而且在金融创新上必将受到巨大的冲击 ,因此 ,高度重视国有商业银行推进金融创新问题 ,在新的竞争平台上 ,构建新的运作模式 ,突出自身经营特色 ,开拓出有发展空间 ,尽快提高金融创新的能力 ,应付WTO带来的诸多挑战 ,对中国银行未来的发展举足轻重 ,本文就中国加入WTO后的金融创新面临的挑战 ,目前金融创新存在的问题进行了有益的探讨。提出了应对策略和今后发展的方向     

试论企业管理的规范与创新

管理规范化是提高企业管理水平的基础环节,是管理科学化的必然要求。管理创新是企业创新的组织保证,是管理实现个性化的主要手段。管理规范化与管理创新既有对立性,又有统一性。不同类型的企业及企业的不同时期对管理规范和管理创新应有所侧重,企业组织设计时,应寻求管理规范与管理创新的有机融合。     

Research in family financial counseling

Domains of family financial counseling research are proposed in order to establish criteria for assessing research needs in this relatively new field. Identification of the research domains implies progress for an emerging profession. A survey of the family financial counseling research to date is reported. Results of research in several domains are shown to demonstrate how results from empirical studies can contribute to the theory and practice of family financial counseling.Research conducted under the auspices of Agricultural Experiment Station Research Project 01803, Family Economic Problems and Resource Management.Dr. Williams is an Associate Professor in the Department of Consumer Sciences and Retailing, Purdue University, West Lafayette, Indiana 47907. Her Ph.D. was received from Purdue. Current research interests include income adequacy, economic security, financial problems, and financial counseling.     

Customer satisfaction: Cost driver or value driver? Empirical evidence from the financial services industry

We investigate the relation between customer satisfaction, customer servicing costs, and customer value in a financial services firm. We find that customer satisfaction is positively associated with future customer servicing costs, as well as with customer value. The relation between customer satisfaction and customer value appears non-linear; higher customer satisfaction appears to have a higher return for the most profitable customer segments. Our findings indicate that customer satisfaction is a value driver; however, customer satisfaction is not cost-free and managers have to consider the costs, as well as the benefits, of increasing customer satisfaction.