同种商品不同月份期货组合风险评价模型研究及应用

以期货合约的每一交易日的对数涨跌率来反映市场风险,借助VaR风险价值法,运用加权核估计技术(WKDE)和指数加权滑动模型(EWMA),建立了基于期货组合中持有头寸不同且可以进行风险对冲的期货组合市场风险非线性叠加评价模型,解决了同种商品、不同月份期货组合每一交易日最大损失的确定问题,并通过实证研究验证了模型的实用性.该模型的特点一是借助WKDE法预测组合中单个合约每一交易日涨跌率最大日亏损值,充分体现了期货合约涨跌率的实际走势,使VaR估计更加精确.二是通过动态迁移相关系数矩阵的计算保证了模型的精确性.采用EWMA模型预测动态变化的方差-协方差矩阵,从实证的角度得到更精准的动态迁移相关系数矩阵.三是考虑了组合中多头和空头不同头寸之间的风险对冲,避免了实际中期货组合风险的线性相加而造成放大风险或减少风险的不准确性,从而能较好地保证了模型的预测精度及准确性.四是通过基于风险非线性叠加建立的期货组合风险评价模型解决了SPAN系统中期货组合风险的线性叠加问题,从而得到更合理的组合风险预测值.     

北朝《李骞墓志》考释

李骞是北朝赵郡李氏代表人物之一。近年来《李骞墓志》的发现,为研究其生平以及赵郡李氏的有关问题提供了新史料。结合墓志和相关史料可知,李骞原名希义,字景让,后改名骞,再改字希义;李骞家族原来聚居平棘,后来迁居柏仁;李骞庶长兄长钧未被记入《李骞墓志》,李骞长女宝信当为高延宗妃;李骞生于北魏宣武帝永平元年(公元508年),卒于东魏孝静帝武定七年(公元549年),曾在北魏和东魏担任多种官职;《李骞墓志》出土于河北省赞皇县。     

论夜间搜查——从两则案例谈起

由于我国《刑事诉讼法》对搜查的时间未作规定,导致司法实践中夜间搜查频繁出现。夜间搜查很容易侵犯被搜查人和与其同住的人的隐私权和生活安宁权,给其造成伤害,司法实践中也确实发生了因夜间搜查而把人吓病的案例。因此,我国在再次修改《刑事诉讼法》时应规定禁止夜间搜查。当然,在保护公民隐私权和生活安宁权的同时,也要兼顾打击犯罪的需要,法律可以设置一些禁止夜间搜查的例外。     

Bayesian analysis of multivariate stochastic volatility with skew return distribution

Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew t-distributions are embedded to multivariate analysis with time-varying correlations. Bayesian modeling allows this approach to provide parsimonious skew structure and to easily scale up for high-dimensional problem. Analyses of daily stock returns are illustrated. Empirical results show that the time-varying correlations and the sparse skew structure contribute to improved prediction performance and Value-at-Risk forecasts.     

Guerrilla selfhood: imagining young people's entrepreneurial futures

In this paper, we argue that complex forms of selfhood emerge in relation to rapid economic and social changes unfolding in the early stages of the twenty-first century. We draw on literature that explores youth at risk, entrepreneurial selfhood and neoliberalism to argue that young people are developing modes of transition that allow them to acclimatise to economic and social insecurity. It is an insecurity borne of a paradoxical reliance on, and failure of, neoliberal forms of economics and society. In the context of a post-Global Financial Crisis (post-GFC) world, we explore how young people take responsibility for their uncertain futures. Via our critique of how young people are supposed to manage their lives from education to employment, we argue that a form of selfhood emerges as they are challenged by limited education and employment opportunities. We call this selfhood the guerrilla self. We use this term to designate types of identity that require participation through resistance, institutionalisation through the appearance of not being institutionalised, and individualism in the midst of a failure of individualism. In making this case, we draw on stories told by young people in the USA planning for a future in a post-GFC world.     

Is prenatal sex selection associated with lower female child mortality?

I examine whether prenatal sex selection has substituted postnatal excess female mortality by analysing the dynamics of child sex ratios between 1980 and 2015 using country-level life table data. I decompose changes in child sex ratios into a ‘fertility’ component attributable to prenatal sex selection and a ‘mortality’ component attributable to sex differentials in postnatal survival. Although reductions in numbers of excess female deaths have accompanied increases in missing female births in all countries experiencing the emergence of prenatal sex selection, relative excess female mortality has persisted in some countries but not others. In South Korea, Armenia, and Azerbaijan, mortality reductions favouring girls accompanied increases in prenatal sex selection. In India, excess female mortality was much higher and largely stable as prenatal sex selection emerged, but slight reductions were seen in the 2000s. In China, although absolute measures showed reductions, relative excess female mortality persisted as prenatal sex selection increased.     

Business reform outcomes: Why so different?

Post-crisis policy making increasingly focuses on doing business reforms. We argue that the effects of those reforms will be different across countries. To understand the reasons for the reform outcome divergence, we advance a novel firm-size distribution (FSDs) argument. At the center of the argument is the fact that FSDs are different across countries and stable over time. Then, if a given doing business reform induces firms of different size to grow differently, this will produce a variety of reform outcomes across countries. To advance the argument, we set up a tractable general equilibrium (GE) model and study how firms of different size grow after a doing business reform. The model predicts that larger firms will grow faster than smaller firms after the reform. The model predictions are tested on the Enterprise Surveys (ES) data, merged with the Doing Business indicators. We confirm that firms of different size grow differently after a Doing Business reform. Thus, based on the notable differences of firm size distributions across countries, identical reforms to start, operate and close a business will produce a variety of reform outcomes across countries.     

中国雇员群体状况分析

随着社会经济的发展及人口老龄化程度的不断加深，劳动力状况作为影响经济增长的重要因素引起社会各界的关注。然而，基于劳动力就业身份的雇员群体的描述性分析非常少。因此，本文利用2012年中国劳动力态调查（CLDS）数据，详细描述了他们受雇条件、受雇情况、劳动收益、工作状况及劳动侵权状况、工作评价及工作价值观；同时，分析了不同性别、年龄层及不同地区雇员群体在上述方面存在的差异，并对这些差异进行了一定的讨论，希望对相关劳动政策的制定有所启发。     

清代登陆海南岛台风对西南地区的影响

台风导致的暴雨，是中国东部地区最重要的天气灾害之一，对西南地区也有一定的影响。本文利用文献资料中的相关记载，利用台风登陆地点与路径的相关信息，重建了若干次影响到西南地区的强台风事件，并进一步研究了清代登陆海南台风的时间特征，发现登陆海南的台风序列在１７世纪后半期与１９世纪后半期都有一个明显的高峰期。而这两个高峰期与小冰期气温的两个谷值完全吻合，说明气温变化与台风系统活动的关系，需要进一步探索。