Time series models with asymmetric Laplace innovations

We propose autoregressive moving average (ARMA) and generalized autoregressive conditional heteroscedastic (GARCH) models driven by asymmetric Laplace (AL) noise. The AL distribution plays, in the geometric-stable class, the analogous role played by the normal in the alpha-stable class, and has shown promise in the modelling of certain types of financial and engineering data. In the case of an ARMA model we derive the marginal distribution of the process, as well as its bivariate distribution when separated by a finite number of lags. The calculation of exact confidence bands for minimum mean-squared error linear predictors is shown to be straightforward. Conditional maximum likelihood-based inference is advocated, and corresponding asymptotic results are discussed. The models are particularly suited for processes that are skewed, peaked, and leptokurtic, but which appear to have some higher order moments. A case study of a fund of real estate returns reveals that AL noise models tend to deliver a superior fit with substantially less parameters than normal noise counterparts, and provide both a competitive fit and a greater degree of numerical stability with respect to other skewed distributions.     

Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation

Bridge penalized regression has many desirable statistical properties such as unbiasedness, sparseness as well as ‘oracle’. In Bayesian framework, bridge regularized penalty can be implemented based on generalized Gaussian distribution (GGD) prior. In this paper, we incorporate Bayesian bridge-randomized penalty and its adaptive version into the quantile regression (QR) models with autoregressive perturbations to conduct Bayesian penalization estimation. Employing the working likelihood of the asymmetric Laplace distribution (ALD) perturbations, the Bayesian joint hierarchical models are established. Based on the mixture representations of the ALD and generalized Gaussian distribution (GGD) priors of coefficients, the hybrid algorithms based on Gibbs sampler and Metropolis-Hasting sampler are provided to conduct fully Bayesian posterior estimation. Finally, the proposed Bayesian procedures are illustrated by some simulation examples and applied to a real data application of the electricity consumption.     

Institutional voids,international learning effort and internationalization of emerging market new ventures

Much of the existing scholarly works portray institutional voids (IVs) in emerging economies as impeding forces against the development of new ventures. However, little attention has been paid to how such voids generate positive outcomes in emerging market new ventures. Drawing on the institutional theory, we propose IVs as crucial enablers of new venture internationalization. In addition, we investigate both how and when IVs enhance the degree to which new ventures internationalize by examining international learning effort (ILE) as a mediator and two domestic market environmental factors (i.e., environmental dynamism and competitive intensity) as important contingencies. We test our moderated mediation model using primary data gathered from 211 new ventures from Ghana. We found that ILE mediates the relationship between IVs and new venture internationalization and that both environmental dynamism and competitive intensity moderate the indirect relationship between home-country IVs and new venture internationalization. We discuss the theoretical and practical implications of this study.     

在华外资法人银行经营发展动因研究——基于Orbis数据库的实证分析

利用从BVD公司的Orbis数据库获得的29家外资法人银行的资产资料，通过非平衡面板数据模型，对外资银行在我国经营发展的背后动因进行计量检验和分析。结果表明，中国的经济增长和外资银行母国对华非金融直接投资是促进在华外资法人银行资产规模扩大的主要因素，而母国和中国的双边贸易对外资银行资产规模的影响并不显著。     

谈校园音乐剧活动对大学生成长所起的作用

具有多元化特征的音乐剧，对培养创新人才及培养大学生完美的人格有着积极的教育作用．     

基于EaR的上市商业银行财务风险评价研究

商业银行在我国经济发展和转型中起着重要作用,近年来随着经济增速放缓、利率市场化和同业竞争加剧的影响,商业银行面临的财务风险也不断加大。为了科学合理地评价商业银行的财务风险,本文从在险价值(VaR)的概念出发引入了在险值的财务风险评价方法对上市商业银行的在险盈余和在险现金流进行测度,实证结果表明目前商业银行总体具有良好的盈利水平,但部分商业银行存在现金流风险。     

基于一种半开式滑槽球副的3-PSP并联平台设计

提出在并联机构中应用一种1移动3转动半开式滑槽球副结构,该运动副将1个移动副和1个球副集成为一个复合的运动副,可以缩短并联机构中支链的尺寸链,有助于提高并联机构精度。基于半开式滑槽球副设计了一种3自由度(3-DOF)PSP三轴并联平台,通过对此机构进行的运动分析和支链的精度分析,导出各个支链的逆解方程,同时根据影响支链运动精度的各个因素给出支链系统误差的线性补偿方程,证明此并联机构具有易于控制、运动精度高的优势。     

Comparison of hazard rates for dependent random variables

In this paper, we define and study a new notion for the comparison of the hazard rates of two random variables taking into account their mutual dependence. Properties, applications and the comparison for a data set are given.     

结构性货币政策工具对农商银行风险承担的影响

基于2014—2018年21家农商银行的微观数据构建动态面板模型,采用系统广义矩估计方法分析结构性货币政策工具对农商银行风险承担的影响。研究发现:结构性货币政策工具对农商银行风险承担的影响差异显著,银行层面变量对农商银行风险承担的影响差异显著,宏观经济层面变量对农商银行风险承担的影响差异显著。据此,提出优化货币政策工具、健全宏观监管体系、提升风险监管能力等对策,以有效控制结构性货币政策工具对农村商业银行风险承担的影响,维护宏观金融市场的稳定。     

论中美合资企业管理的跨文化整合

全球化所推动的中外经济合作已成为中国经济发展的重要动力.然而,文化冲突却日益构成中美合资企业发展的重要障碍,如何规避冲突、促进异质文化的融通,就成为跨文化管理的首要任务.文章从中美文化特质出发,分析比较了中美文化的差异,以及由此派生出的不同的管理理念和特点,并在考察了在华中美合资企业跨文化管理案例经验基础上,提出了中美合资企业管理的跨文化整合对策.