Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

This article introduces a new model for transaction prices in the presence of market microstructure noise in order to study the properties of the price process on two different time scales, namely, transaction time where prices are sampled with every transaction and tick time where prices are sampled with every price change. Both sampling schemes have been used in the literature on realized variance, but a formal investigation into their properties has been lacking. Our empirical and theoretical results indicate that the return dynamics in transaction time are very different from those in tick time and the choice of sampling scheme can therefore have an important impact on the properties of realized variance. For RV we find that tick time sampling is superior to transaction time sampling in terms of mean-squared-error, especially when the level of noise, number of ticks, or the arrival frequency of efficient price moves is low. Importantly, we show that while the microstructure noise may appear close to IID in transaction time, in tick time it is highly dependent. As a result, bias correction procedures that rely on the noise being independent, can fail in tick time and are better implemented in transaction time.     

A qualitative comparative analysis of strategies for an ageing society, with special reference to pension and employment policies

The primary purpose of this study is to typify the respondent strategies of the OECD countries based on the interconnected structure of income and employment guarantees. More specifically, this article seeks to typify welfare policies into four types (welfare-to-work, welfare emphasis, labour emphasis, market emphasis) based on the leniency of the pension system and active state intervention in employment security. With the resultant four types, this article then places them as the dependent variable while incorporating per capita GDP, aged dependency ratio, pension maturity level, union density, constitutional structure index and degree of decommodification as causal variables. Through this process, this article aims to derive the decisive variable for each type through qualitative comparative analysis.     

Bayesian analysis of elapsed times in continuous‐time Markov chains

The authors consider Bayesian analysis for continuous‐time Markov chain models based on a conditional reference prior. For such models, inference of the elapsed time between chain observations depends heavily on the rate of decay of the prior as the elapsed time increases. Moreover, improper priors on the elapsed time may lead to improper posterior distributions. In addition, an infinitesimal rate matrix also characterizes this class of models. Experts often have good prior knowledge about the parameters of this matrix. The authors show that the use of a proper prior for the rate matrix parameters together with the conditional reference prior for the elapsed time yields a proper posterior distribution. The authors also demonstrate that, when compared to analyses based on priors previously proposed in the literature, a Bayesian analysis on the elapsed time based on the conditional reference prior possesses better frequentist properties. The type of prior thus represents a better default prior choice for estimation software.     

《竹山词》常用语研究——兼论其艺术风格与师承

在蒋捷词的研究中,其词派归属和艺术风格历来是众说纷纭的焦点.从语言层面对蒋捷词进行深入具体的分析后,不难发现蒋捷坚持的是"本色当行"的词法,抒发的是泛着冷光的寂寞情怀,追求的是幽深婉曲的艺术效果.他与姜夔和吴文英有着较深的艺术渊源关系,所以其词从总体上讲并非所谓"豪放词"之余韵.     

全球化大学经营人必需的修养——艺术眼光——对韩国水原大学李仁洙校长的访谈

大学经营的“真教育”，是以学生为中心的教育、基础知识的培育、素质教育、责任感教育；“善教育”是对地区及国家社会的贡献教育；“美教育”是对国际社会及人类的义务教育。音乐和美术对于全球化大学的经营人来说，是智慧的源泉和知识的统摄。相互承认、关怀、尊重差异的音乐的和解精神，打破固有观念、培养创新力的美术的创造精神，才是全球化大学经营人必须具备的素养。     

上市公司综合评价研究

客观合理地评价上市公司,是投资者、上市公司以及监管机构都非常关注的问题,也是规范发展证券市场的一个重要方面。基于平衡记分卡的原理,提出了我国上市公司的评价指标体系。财务层面的评价采用因子分析法;客户层面、内部层面、学习与创新层面以及综合评价,则是根据模糊三角数的概念构造判断矩阵,利用模糊三角数比较大小的原理进行排序。     

想象与夸张修辞文本的建构和接受

想象是人们在头脑里改造记忆中的表象从而创造新形象的过程。想象分为创造性想象和再造性想象,它们是建构和接受夸张修辞文本的心理基础。探讨创造性想象的本质和特点,有利于更深刻地理解夸张修辞文本的生成缘由;研究再造性想象的本质和特点,有助于更好地了解夸张修辞文本的接受规律。     

红学研究需要平常心

对《红楼梦》研究的评价需要平常心态 ,在《红楼梦》研究中“索隐派”与“自传说”的出现是有传统思维及研究者心理作为依据的 ;今后的“红学”研究应以文本为主 ,同样需要平常心态 ,藉以感悟人生、增长才智     

经济预测中的Monte Carlo模拟及方差控制——以国际石油价格预测为例

从MDnte Carlo模拟的实现过程入手，首先通过对Monte Carlo方法原理的阐述来介绍该种方法。进一步结合具体的实例通过计算机进行模拟来解释Monte Carlo方法的具体实现过程。重点讨论在选择合理的数据生成过程的前提下，如何在Monte Carlo方法中减少模拟方差，从而提高估计精度，更好地应用这种方法来进行经济预测。     

从韩国人学汉语看对零起点学生的对外汉语教学

在来华学习汉语的留学生中,有一部分是处于零起点阶段的韩国留学生。在教学过程中不仅要利用各种形象化的技巧跨越因语言不通而形成的学习障碍,还要注重基础内容的学习,要使其认识到汉韩文化和语言的相通及差异。