Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models

We provide a comprehensive analysis of the out-of-sample performance of a wide variety of spot rate models in forecasting the probability density of future interest rates. Although the most parsimonious models perform best in forecasting the conditional mean of many financial time series, we find that the spot rate models that incorporate conditional heteroscedasticity and excess kurtosis or heavy tails have better density forecasts. Generalized autoregressive conditional heteroscedasticity significantly improves the modeling of the conditional variance and kurtosis, whereas regime switching and jumps improve the modeling of the marginal density of interest rates. Our analysis shows that the sophisticated spot rate models in the existing literature are important for applications involving density forecasts of interest rates.     

On a bayesian approach for the shiftpoint problem

Using a direct resampling process, a Bayesian approach is developed for the analysis of the shiftpoint problem. In many problems it is straight forward to isolate the marginal posterior distribution of the shift-point parameter and the conditional distribution of some of the parameters given the shift point and the other remaining parameters. When this is possible, a direct sampling approach is easily implemented whereby standard random number generators can be used to generate samples from the joint posterior distribution of aii the parameters in the model. This technique is illustrated with examples involving one shift for Poisson processes and regression models.     

Out-of-sample forecast errors in misspecific perturbed long memory processes

In this paper we examine the relative increase in mean square forecast error fro fitting a weakly stationary process to the series of interest when in fact the true model is a so-called perturbed long-memory process recently introduced by Granger and Marmol (1997). This model has the property of being unidentifiable from a white noise process on the basis of the correlogram and the usual rule-of-thumbs in the Box-Jenkins methodology. We prove that this kind of missspecification can lead to serious errors in terms of forecasting. We also show that corrections based on the AR(1) model can in some cases partially solve the problem. Received: March 15, 1999; revised version: February 14, 2000     

黔东南性别失衡人口规模的判断与预测

黔东南州作为西部欠发达省份的民族自治地区,出生性别比长期、普遍、高度的失衡已经对经济发展、社会安定造成一定影响。虽然出生性别比失衡问题得到政府和社会的广泛关注和重视,并自2004年起开展了系列治理活动,但出生性别比升高的势头并未因之而有所遏制。本文希望通过对出生性别比失衡人口规模的计算,以及预测失衡导致该州未来男女人口规模和适龄结婚人口规模差异,使人们对失衡状况与未来影响有更清晰的认识,并为进一步治理提供参考素材。     

IPOs上市定位预测模型研究

影响IPOs上市定位的因素包括市场环境、发行价、财务指标、股票供求关系、可操纵性、成长性预期等几个方面。根据经济计量学有关原理和方法,以2000年1月～2002年6月在上海证券交易所上市的184家IPOs为样本,借助于SPSS11.0统计软件包,采用逐步回归法(STEPWISE),研究了IPOs的上市定位问题,建立了一个IPOs上市定位的预测模型,并对模型进行了异方差、自相关、共线性和正态性检验,对回归系数进行了显著性检验,对回归直线进行了拟合度分析,对回归方程进行了方差分析,最后对模型进行了经济学检验和实际运用。     

The Impact of Product Returns and Retailer's Service Investment on Manufacturer's Channel Strategies*

We study the distribution channel decision of a manufacturer who considers whether to add an online channel (direct channel) to its brick‐and‐mortar retailer (indirect channel). The retailer faces the opportunity to invest in store assistance to help consumers choose products and thus reduce product returns. Special attention is given to the impact of product returns and retailer's store assistance investment on manufacturer's dual channel decision. We examine conditions under which the manufacturer uses dual channels and how various relevant factors affect its channel decision under two settings, depending on whether the retailer has its own online store or not. When the retailer does not have its online store, we find that (i) the addition of the direct channel raises the wholesale price; (ii) the direct channel addition hurts the retailer if the nonreplacement rate is low; (iii) the manufacturer has a lower incentive to add the direct channel when the retailer's service cost is lower or its returns reduction rate from service investment is higher; and (iv) the manufacturer should treat its own returns handling cost as a key factor in its channel structure decision. In addition, when the retailer operates an online store, we find that the manufacturer may have an incentive to add a direct channel such that both firms own direct channels.     

邓小平对马克思主义全球化理论的创新及其实践的发展前瞻

对外开放是时代潮流和我们必须坚持的基本国策 ,也是邓小平理论的重要组成部分。从马克思主义哲学方法论、三大社会形态学说、世界历史理论、人类社会发展的两种趋势思想、交往活动相加效应规律和封闭行为重复效应与衰退规律等方面对其作一学理分析 ,对理论和实践都是不无裨益的。     

高等教育人才供求总量的预测研究

规划高等教育人才发展需要考虑到人才需求水平与人才供给能力两个方面 ,本文以浙江省为分析对象 ,选用非线性模型法预测了人才总需求 ,采用时间序列分析法 (自回归模型 )预测了其人才总供给 .在此基础上揭示高等教育人才供给与需求存在的矛盾 ,并实证性地分析了至 2 0 2 0年高等教育发展模式的选择 .最后 ,提出了几个的政策建议 .     

欧洲主要林产品生产、贸易分析及预测

欧洲林产品贸易在世界林产品贸易中占有很重要的地位。该文首先对当前欧洲一些林业比较发达国家的林产品生产和贸易状况做了分析，并以1961—2002年欧洲7种主要林产品的年产量、年进出口量的基本数据为依据，在对其进行加工、整理的基础上，将这些数据分别按照产量、进出口量和净进口量进行比较分析，以便更加明确地观察其生产、贸易的变化状况从而发现一些规律，并且对产生这些变化的原因进行了简要的归纳。最后利用线性回归方程对欧洲一些主要林产品未来的产量和贸易量做出了预测。     

工程项目现金流动态预测管理

在分析承包商项目现金流的构成及特点后,指出影响承包商项目现金流的因素,将承包商的成本支出按照支付延期长短进行分类。在考虑业主支付延期的基础上建立工程建设项目动态现金流预测模型。并通过实例进行说明、检验,指出施工承包企业项目现金流预测应该采用循环滚动的方式进行。