基于Hawkes因子模型的股价共同跳跃研究

本文首先比较了三种目前主流的共跳检验方法：基于LM检验的共跳检验、BLT共跳检验和FHLL共跳检验,结果表明,三种方法在识别共跳数量上差距明显,但三者结果的重合部分基本属于市场暴涨暴跌行情,说明共跳识别对市场剧烈波动的聚集性较为敏感。基于跳跃、共跳存在的聚集性问题,本文将Hawkes过程引入跳跃和共跳的研究,构建了基于Hawkes过程的因子模型,结果显示,基于Hawkes因子模型的MJ统计量、CJ统计量和实证数据的拟合程度较好,表明因子模型能够更好地描述跳跃和共跳的聚集性。     

CO-OFDM系统中基于线性预处理的新相位噪声抑制算法

针对相干光正交频分复用（coherent optical orthogonal frequency division multiplexing,CO-OFDM）系统中相位噪声引起的载波间干扰（inter-carrier interference,ICI）问题,提出了一种基于线性预处理的新判决反馈相位噪声抑制算法。该新算法改进了线性预处理部分,利用循环前缀与OFDM符号固有的相关性,在时域进行简单的线性组合运算,充分利用了OFDM符号中冗余信息。仿真分析表明,在激光器线宽为200 kHz且误码率（bit error rate, BER）为10－4时,与判决反馈相位噪声抑制算法和一次迭代的判决反馈相位噪声抑制算法相比,该新算法BER曲线的信噪比（signal to noise ratio,SNR）分别改善了3 dB和1 dB,有效地降低由ICI引起的错误平层。     

我国邮政普遍服务范围研究

分析了目前具有代表性的邮政普遍服务范围界定的观点,探讨了邮政普遍服务界定存在的认识误区,指出应从保护人权的完整、保护公民的通信权、扶助弱势群体和促进经济、文化与社会的发展四方面来界定邮政普遍服务范围。在总结国际经验后提出:通信服务是邮政普遍服务最基本的内容;为充分发挥邮政对经济、文化和社会的促进作用,可适当扩大邮政普遍服务范围;邮政普遍服务范围应随着环境的变化而变化;确认简便、易操作是邮政普遍服务范围界定具有可行性的基础。     

中日史前拔牙年龄和次数比较研究

探讨史前拔牙个体的年龄和次数,对了解史前社会生活和社会意识、宗教信仰具有重要意义。认为中国和日本新石器时代的原生拔牙应该是青春期或成年期拔牙。中国新石器时代只存在一次拔牙现象,而日本新石器时代存在多次拔牙现象。这说明虽然同处新石器时代,但社会结构和社会意识有所不同。     

Estimation of flood frequencies from data sets with outliers using mixed distribution functions

In this paper the estimation of high return period quantiles of the flood peak and volume in the Kolubara River basin are carried out. Estimation of flood frequencies is carried out on a data set containing high outliers which are identified by the Rosner’s test. Simultaneously, low outliers are determined by the multiple Grubbs–Beck. The next step involved the usage of the mixed distribution functions applied to a data set from three populations: floods with low outliers, normal floods and floods with high outliers. The contribution of the data set with low outliers is neglected, since it should underestimate the flood quantiles with large return periods. Consequently, the best fitted mixed distribution from the applied types (EV1, GEV, P3 and LP3) was determined by using the minimum standard error of fit.     

Letter to the editor comments on Groparu-Cojocaru and Doray (2013)

Although estimating the five parameters of an unknown Generalized Normal Laplace (GNL) density by minimizing the distance between the empirical and true characteristic functions seems appealing, the approach cannot be advocated in practice. This conclusion is based on extensive numerical simulations in which a fast minimization procedure delivers deceiving estimators with values that are quite far away from the truth. These findings can be predicted by the very large values obtained for the true asymptotic variances of the estimators of the five parameters of the true GNL density.     

Mixture inverse Gaussian for unobserved heterogeneity in the autoregressive conditional duration model

In this paper, we assume that the duration of a process has two different intrinsic components or phases which are independent. The first is the time it takes for a trade to be initiated in the market (for example, the time during which agents obtain knowledge about the market in which they are operating and accumulate information, which is coherent with Brownian motion) and the second is the subsequent time required for the trade to develop into a complete duration. Of course, if the first time is zero then the trade is initiated immediately and no initial knowledge is required. If we assume a specific compound Bernoulli distribution for the first time and an inverse Gaussian distribution for the second, the resulting convolution model has a mixture of an inverse Gaussian distribution with its reciprocal, which allows us to specify and test the unobserved heterogeneity in the autoregressive conditional duration (ACD) model.

Our proposals make it possible not only to capture various density shapes of the durations but also easily to accommodate the behaviour of the tail of the distribution and the non monotonic hazard function. The proposed model is easy to fit and characterizes the behaviour of the conditional durations reasonably well in terms of statistical criteria based on point and density forecasts.     

The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility

It is well known that in finance variances and covariances of asset returns move together over time. Recently, much interest has been aroused by an approach involving the use of the realized covariance (RCOV) matrix constructed from high-frequency returns as the ex-post realization of the covariance matrix of low-frequency returns. For the analysis of dynamics of RCOV matrices, we propose the generalized conditional autoregressive Wishart (GCAW) model. Both the noncentrality matrix and scale matrix of the Wishart distribution are driven by the lagged values of RCOV matrices, and represent two different sources of dynamics, respectively. The GCAW is a generalization of the existing models, and accounts for symmetry and positive definiteness of RCOV matrices without imposing any parametric restriction. Some important properties such as conditional moments, unconditional moments, and stationarity are discussed. Empirical examples including sequences of daily RCOV matrices from the New York Stock Exchange illustrate that our model outperforms the existing models in terms of model fitting and forecasting.     

抽象行政行为听证程序之适用

目前我国听证制度的适用范围较狭窄 ,特别是在中国加入 WTO后 ,更进一步暴露出其狭窄的听证范围与世贸规则的不协调。因此 ,有必要将听证程序的适用扩展至抽象行政行为 ,并对其适用的原则和范围予以具体规定。文章对抽象行政行为之听证程序的立法原则及其听证范围应包含的内容作出分析与论证 ,试图通过初步的探讨提出有参考价值的建议。     

经济法调整范围的反思

经济法的调整范围是学界多年来最为关注的基本理论问题之一.文章指出划分法律部门的实质标准是利益,而不是调整对象和方法.正是不同历史时期的不同利益需求,才造就了不同的法律部门.社会整体经济利益是经济法的立身之本.一个法律部门出于对某种利益保护的需要,往往调整不同性质的社会关系.同一性质的社会关系由于承载了不同的利益,也往往需要不同的法律部门共同调整,经济法与民法、行政法的关系正是如此,它们共同促进社会经济的协调发展.