Volatility clustering in the presence of time-varying model parameters

The volatility pattern of financial time series is often characterized by several peaks and abrupt changes, consistent with the time-varying coefficients of the underlying data-generating process. As a consequence, the model-based classification of the volatility of a set of assets could vary over a period of time. We propose a procedure to classify the unconditional volatility obtained from an extended family of Multiplicative Error Models with time-varying coefficients to verify if it changes in correspondence with different regimes or particular dates. The proposed procedure is experimented on 15 stock indices.     

Are Self‐Service Customers Satisfied or Stuck?

This paper investigates the impact of self‐service technology (SST) usage on customer satisfaction and retention. Specifically, we disentangle the distinct effects of satisfaction and switching costs as drivers of retention among self‐service customers. Our empirical analysis examines 26,924 multi‐channel customers of a nationwide retail bank. We track each customer's channel usage, overall satisfaction, and retention over a 1‐year period. We find that, relative to face‐to‐face service, customers who use self‐service channels for a greater proportion of their transactions are either no more satisfied, or less satisfied with the service they receive, depending on the channel. However, we also find that these same customers are predictably less likely to defect to a competitor if they are heavily reliant on self‐service channels characterized by high switching costs. Through a mediation model, we demonstrate that, when self‐service usage promotes retention, it does so in a way that is consistent with switching costs. As a robustness check, we examine the behavior of channel enthusiasts, who concentrate transactions among specific channels. Relative to more diversified customers, we find that self‐service enthusiasts in low switching cost channels defect with greater frequency, while self‐service enthusiasts in high switching cost channels are retained with greater frequency.     

党的历史方位变化与现代化推进方式的转换

中国共产党诞生以来的历史方位发生了两大转变,能否科学准确地判断党所处的历史方位并自觉实现角色转换,关系到党能否采取恰当的方式推进现代化进程.新民主主义革命时期中国共产党以革命方式推动了现代化的发展,历史方位的第二个重大转变则实现了现代化推进方式由革命到改革的转换.     

Framing,Switching and Preference Reversals

An explicitly frame related interpretation of a very general more for less result is used to establish a correspondingly general class of frame related switching results. These are used in turn to show how preference reversals of kinds found by Allais and others may not only be essentially non-paradoxical in character, but can be expected to be frequently observed, even under conditions of certainty and of complete information.     

财政政策与货币政策对国民收入的影响分析

 内容提要：财政政策和货币政策同属政府干预宏观经济最重要、使用最频繁的两大工具,可依宏观经济调控要求进行合理搭配。本文在人民币一篮子货币汇率制度框架下,用修正的M-F模型深入分析我国财政与货币政策对国民经济的综合影响。结果显示扩张的财政政策辅以扩张的货币政策是目前较理想的操作方式。用2005年7月至2010年6月的月度数据进行的实证研究结果佐证了上述理论。最后提出相关政策建议。     

GDP数据修正对经济周期测定的影响

 本文在收集和建立季度GDP实时数据的基础上,利用区制转移模型对我国经济周期测定展开了实时数据分析,并深入讨论了GDP数据修正对经济周期阶段性的影响。研究结果表明GDP数据修正引致我国经济周期阶段性发生了深刻的变化,使我国经济周期在2005Q2至2006Q4间从低速增长改变为高速增长。而且,我们发现GDP数据修正对经济周期平均增长率的影响方向,与其是否影响经济周期阶段性具有相反关系,即当GDP数据修正不影响 (影响) 经济周期阶段性时,它对高、低平均增长率都具有同向 (反向) 影响。     

非洲集体安全机制的创新与困境

作为冷战后区域集体安全的典型案例,旨在通过集体行动预防、管理和解决内部冲突的非洲集体安全机制建设具有重要的创新之处,主要包括:它突破联合国框架内的"中心化的集体安全"而形成一种"非中心化的集体安全";它将以和平强制行动为核心,使人道主义干预法律化、规范化;它通过启用早期预警与反应系统和非洲待命部队构建起冲突预防的运行机制等.但非洲集体安全机制在运行中亦面临合法性不足及组织能力和资源能力受限等现实困境.这些困境可以通过强化区域一体化培育更大的自主性和完善已有的"合作维和"机制予以破解.     

The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier

In this paper, we investigate the price for the zero-coupon defaultable bond under a structural form credit risk with regime switching. We model the value of a firm and the default threshold by two dependent regime-switching jump-diffusion processes, in which the Markov chain represents the states of an economy. The price is associated with the Laplace transform of the first passage time and the expected discounted ratio of the firm value to the default threshold at default. Closed-form results used for calculating the price are derived when the jump sizes follow a regime-switching double exponential distribution. We present some numerical results for the price of the zero-coupon defaultable bond via Gaver-Stehfest algorithm.     

Third and fourth moments of vector autoregressions with regime switching

We derive matrix formulae in closed form for the unconditional third and fourth moments of a broad class of vector autoregressive time series with regime switching. First and second moments are well known. New measures of multivariate skewness and kurtosis are introduced and basic properties are investigated. The knowledge of series level, variation, co-movements, skewness, and kurtosis is useful to support model interpretation in real data application. Numerical examples complete the paper.