基于Pearson Ⅳ分布的VaR与CVaR估计

基于GARCH模型,用Pearson Ⅳ分布拟合标准残差,给出一种更为精确的VaR和CVaR计算方法.重点研究在Norm-GARCH、t-GARCH与GED-GARCH模型下,用原分布和Pearson Ⅳ分布计算VaR的比较,结果表明,用Pearson Ⅳ分布计算VaR都能得到比原分布更小的失败率,且在三种模型之下用Pearson Ⅳ分布计算VaR结果很接近,都能通过检验,所以选择最简单的Norm-GARCH模型就可以;基于此,研究在Norm-GARCH模型下,用正态分布和Pearson Ⅳ分布计算CVaR,并与VaR进行比较,结果表明,用Pearson Ⅳ分布计算VaR和CVaR的失败率都远远小于由正态分布所得到的失败率,特别在VaR估计失效的交易日里,用Pearson Ⅳ分布得到的CVaR均值与实际损失均值非常接近.因此,Pearson Ⅳ分布能很好地刻画金融数据的特征,相对其他分布而言是一个很好的选择.     

Mixed two- and four-level fractional factorial split-plot designs with clear effects

Mixed-level designs have become widely used in the practical experiments. When the levels of some factors are difficult to be changed or controlled, fractional factorial split-plot (FFSP) designs are often used. It is highly to know when a mixed-level FFSP design with resolution III or IV has clear effects. This paper investigates the conditions of a resolution III or IV FFSP design with both two-level and four-level factors to have various clear factorial effects, including two types of main effects and three types of two-factor interaction components. The structures of such designs are shown and illustrated with examples.     

土地共同使用权模式可行性探索——以玉树灾后重建中宅基地征收的困境与出路为例

在玉树灾后重建中,宅基地使用权的归属问题是当地居民与政府的分歧所在。传统的征收在对房屋进行拆迁的同时,以取得土地使用权为目的,忽视了被拆迁人的利益,极易使双方的矛盾激化。从土地共同使用权这一模式的自身优势和与法律的契合性观之,其既可尊重和保护被征收人的权利,又可使政府利用土地进行住房的统一规划和建设,解决了宅基地征收所面临的疑难问题,具有付诸实践的良好条件,对玉树灾后重建及我国类似拆迁征收具有重要的借鉴意义。     

Ⅳ期临床试验规范化管理研究

Ⅳ期临床试验在我国起步较晚,发展迅速,其研究意义和重要性也逐渐得到认可,但迅速发展的背后存在诸多应该防范的问题?明确Ⅳ期临床试验免费赠药问题?规范机构选择?扩大开展项目范围以及充分发挥机构及伦理委员会职能?强化Ⅳ期临床试验管理等方式,均可有效规范管理?     

2,3,7-三羟基-9-(3,5-二溴-2-羟基)苯基荧光酮-CTMAB胶束荧光熄灭法测定微量钛(IV)

在阳离子表面活性剂存在下 ,依据Ti(IV) - 2 ,3,7-三羟基 - 9- (3,5-二溴 - 2 -羟基 )苯基荧光酮 (简称DBSPF)体系的荧光熄灭效应 ,拟定了一种采用荧光法测定微量钛的新分析方法 在pH5 2～ 6 8的HAc-NaAc缓冲溶液介质中 ,钛 (IV)与DBSPF形成 1 :3的无荧光络合物 试剂最大激发波长和发射波长分别为 362nm和 559nm 钛 (IV)含量在 5 0 μg/Ll范围内 ,钛浓度与荧光熄灭量呈现良好的线性关系 ,方法检测线为 (0 1～2 4) μg/ 2 5ml 拟定方法用于合金钢中微量钛的测定 ,结果满意     

Weakly resolvable IV.3 search designs for the pn factorial experiment

A series of weakly resolvable search designs for the pⁿ factorial experiment is given for which the mean and all main effects are estimable in the presence of any number of two-factor interactions and for which any combination of three or fewer pairs of factors that interact may be detected. The designs have N = p(p–1)n+p runs except in one case where additional runs are required for detection and one case where $\text{(p?1)}\text{2}$ additional runs are needed to estimate all (p–1)² degrees of freedom for each pair of detected interactions. The detection procedure is simple enough that computations can be carried out with hand calculations.     

Semi‐Nonparametric IV Estimation of Shape‐Invariant Engel Curves

This paper studies a shape‐invariant Engel curve system with endogenous total expenditure, in which the shape‐invariant specification involves a common shift parameter for each demographic group in a pooled system of nonparametric Engel curves. We focus on the identification and estimation of both the nonparametric shapes of the Engel curves and the parametric specification of the demographic scaling parameters. The identification condition relates to the bounded completeness and the estimation procedure applies the sieve minimum distance estimation of conditional moment restrictions, allowing for endogeneity. We establish a new root mean squared convergence rate for the nonparametric instrumental variable regression when the endogenous regressor could have unbounded support. Root‐n asymptotic normality and semiparametric efficiency of the parametric components are also given under a set of “low‐level” sufficient conditions. Our empirical application using the U.K. Family Expenditure Survey shows the importance of adjusting for endogeneity in terms of both the nonparametric curvatures and the demographic parameters of systems of Engel curves.     

论《古田会议决议》的平等思想

《古田会议决议》蕴含着较为丰富的平等思想,主要表现在经济平等思想、政治平等思想和生活平等思想三个方面,而且每一方面都对当前更好地贯彻落实社会主义核心价值观具有重大的借鉴意义。     

中国城市工业化的发展困局与解决机制

工业化在城镇化进程中起到了积极作用,但新型城镇化提升质量的要求必然需要工业化做出相应的转变。然而目前来看,劳动力转移、产业吸纳能力、资金障碍、产业结构与产业布局等问题正困扰着工业化转型。许多城市的工业化已经进入攻坚阶段,要实现工业化与城镇化的互动发展就必须解决好这些问题。为此,应从加强职业教育培训、积极进行招商引资、依托产业平台和实施项目带动战略等方面着手。     

A Fast Iterated Bootstrap Procedure for Approximating the Small-Sample Bias

This article proposes a fast approximation for the small sample bias correction of the iterated bootstrap. The approximation adapts existing fast approximation techniques of the bootstrap p-value and quantile functions to the problem of estimating the bias function. We show an optimality result which holds under general conditions not requiring an asymptotic pivot. Monte Carlo evidence, from the linear instrumental variable model and the nonlinear GMM, suggest that in addition to its computational appeal and success in reducing the mean and median bias in identified models, the fast approximation provides scope for bias reduction in weakly identified configurations.