考虑成分股联跳与宏观信息发布的沪深300指数已实现波动率模型研究

利用日内高频数据计算的已实现波动率较好度量了金融资产的风险,因此对其预测模型的研究具有重要意义。考虑到指数成分股的联跳可能蕴含指数跳跃所未能反映的信息,提出运用非参数方法识别指数成分股的联跳,采用自回归条件风险模型估计成分股联跳强度,并将其引入指数的已实现波动率异质自回归（HAR-RV-CJ）模型中,分析模型预测性能的改进。进一步的,考虑到宏观信息公告的发布可能对股市产生整体性影响,相应影响成分股联跳的几率;因此,在成分股联跳的自回归条件风险模型中引入居民消费价格指数、国内生产总值、贸易差额等宏观信息公告变量,并分析对联跳强度估计以及指数已实现波动率预测的影响。采用2011年1月4日至2013年7月11日沪深300指数及其成分股高频数据的实证表明,指数成分股联跳与指数跳跃具有不同的特征;用成分股联跳强度代替HAR-RV-CJ模型中的跳跃构建的HAR-RV-CI模型,较原始的HAR-RV-CJ模型,以及同时考虑指数跳跃与成分股联跳强度的HAR-RV-CJI模型,具有明显较优的样本内拟合与样本外预测性能。引入宏观信息公告变量可以改进联跳强度自回归条件风险模型的拟合效果,并提高指数已实现波动率模型的样本内拟合能力,但对于指数已实现波动率的样本外预测性能并无明显的帮助。     

美国金融控股公司加重责任制度评析

美国金融控股公司加重责任制度的主要内容是,要求金融控硬公司完全或部分地保证其所管理的子公司的清偿能力,要求金融控股公司向其不能清偿债务的子公司重新注入资金,或向政府机构赔偿因子公司经营失败而给公众债权人造成的损失,或赔偿公共保险基金。加重责任制度抑制了金融控殷公司中特有的道德风险问题。加重责任制度存在的问题可以采取一定的措施加以解决。     

Dynamic reliability models with conditional proportional hazards

A dynamic approach to the stochastic modelling of reliability systems is further explored. This modelling approach is particularly appropriate for load-sharing, software reliability, and multivariate failure-time models, where component failure characteristics are affected by their degree of use, amount of load, or extent of stresses experienced. This approach incorporates the intuitive notion that when a set of components in a coherent system fail at a certain time, there is a jump from one structure function to another which governs the residual lifetimes of the remaining functioning components, and since the component lifetimes are intrinsically affected by the structure function which they constitute, then at such a failure time there should also be a jump in the stochastic structure of the lifetimes of the remaining components. For such dynamically-modelled systems, the stochastic characteristics of their jump times are studied. These properties of the jump times allow us to obtain the properties of the lifetime of the system. In particular, for a Markov dynamic model, specific expressions for the exact distribution functions of the jump times are obtained for a general coherent system, a parallel system, and a series-parallel system. We derive a new family of distribution functions which describes the distributions of the jump times for a dynamically-modelled system.     

On the Critical Value Behaviour of Multiple Decision Procedures

In this paper we investigate the asymptotic critical value behaviour of certain multiple decision procedures as e.g. simultaneous confidence intervals and simultaneous as well as stepwise multiple test procedures. Supposing that n hypotheses or parameters of interest are under consideration we investigate the critical value behaviour when n increases. More specifically, we answer e.g. the question by which amount the lengths of confidence intervals increase when an additional parameter is added to the statistical analysis. Furthermore, critical values of different multiple decision procedures as for instance step-down and step-up procedures will be compared. Some general theoretic results are derived and applied for various distributions.     

A Mixed Model Approach for Geoadditive Hazard Regression

Abstract.  Mixed model based approaches for semiparametric regression have gained much interest in recent years, both in theory and application. They provide a unified and modular framework for penalized likelihood and closely related empirical Bayes inference. In this article, we develop mixed model methodology for a broad class of Cox-type hazard regression models where the usual linear predictor is generalized to a geoadditive predictor incorporating non-parametric terms for the (log-)baseline hazard rate, time-varying coefficients and non-linear effects of continuous covariates, a spatial component, and additional cluster-specific frailties. Non-linear and time-varying effects are modelled through penalized splines, while spatial components are treated as correlated random effects following either a Markov random field or a stationary Gaussian random field prior. Generalizing existing mixed model methodology, inference is derived using penalized likelihood for regression coefficients and (approximate) marginal likelihood for smoothing parameters. In a simulation we study the performance of the proposed method, in particular comparing it with its fully Bayesian counterpart using Markov chain Monte Carlo methodology, and complement the results by some asymptotic considerations. As an application, we analyse leukaemia survival data from northwest England.     

Improving the Efficiency of the Nelson–Aalen Estimator: the Naive Local Constant Estimator

Abstract.  The Nelson–Aalen estimator is well known to be an asymptotically efficient estimator of the cumulative hazard function, see Andersen et al. ( Statistical models based on counting processes , Springer-Verlag, New York, 1993) among many others. In this paper, we show that the efficiency of the Nelson–Aalen estimator can be considerably improved by using more information in the estimation process than the traditional Nelson–Aalen estimator uses. While our approach results in a biased estimator, the variance improvement is substantial. By optimizing the balance between the bias loss and the variance improvement, we obtain results on the efficiency gain. Several examples for known failure time distributions are used to illustrate these ideas.     

Sourcing with Deferred Payment and Inspection under Supplier Product Adulteration Risk

We study the deferred payment and inspection mechanisms for mitigating supplier product adulteration, with endogenous procurement decision and general defect discovery process. We first derive the optimal deferred payment contract, which reveals that either entire or partial deferral can arise, depending on the moral hazard severity and the information accumulation rate. Because of the supplier's incentive to adulterate, the optimal procurement quantity under deferred payment generally is smaller than the first‐best quantity. We then investigate the inspection mechanism and characterize the equilibrium. We find that under the inspection mechanism, the optimal procurement quantity is no less than the first best. A comparison between these two mechanisms shows that the deferred payment mechanism generally can outperform the inspection mechanism when either the market size is small or the profit margin is low. However, we find that these two mechanisms can also be complementary, for which we characterize a necessary condition.     

高知大龄未婚女性的婚恋问题浅析

在男女性别比居高不下。男性人口远远高于女性人口的当今中国,却出现了高知大龄未婚女性婚恋难问题,这一奇特的社会现象引起人们广泛的关注和热议。本文认为高知大龄未婚女性婚恋问题主要源于“结构性剩余”,在对高知大龄未婚女性婚恋难问题已有的多角度理论研究回顾的基础上．主要从人口与经济的视角对高知大龄未婚女性“结构性剩余”现象的原因进行深入发掘。最后提出一些解决问题的举措。     

论社会医疗保险中的道德风险及其制度消解

道德风险源于人的机会主义倾向,在社会医疗保险领域中积弊已久,主要表现为需求方的过度消费和供给方的诱导需求,其原因在于第三方支付效应、价格补偿效应和医疗伦理的异化。只有医、患、保三方进行制度创新才能对其有效消解。     

广义导数及其应用

文章提出了一种广义导数的概念,得到了广义导数的运算法则,以及连续函数的中值定理。