A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)

In this work, we study the existence and uniqueness of the solution to a fractional version of the Cox–Ingersoll–Ross (fCIR) stochastic differential equation. The strong convergence of this equation is analyzed and according to it’s framework, we obtain the price of the double barrier option under transaction cost. Finally, we verify the effect of the parameters of the model on the value of the option.     

Consistent Estimation of Models Defined by Conditional Moment Restrictions

In econometrics, models stated as conditional moment restrictions are typically estimated by means of the generalized method of moments (GMM). The GMM estimation procedure can render inconsistent estimates since the number of arbitrarily chosen instruments is finite. In fact, consistency of the GMM estimators relies on additional assumptions that imply unclear restrictions on the data generating process. This article introduces a new, simple and consistent estimation procedure for these models that is directly based on the definition of the conditional moments. The main feature of our procedure is its simplicity, since its implementation does not require the selection of any user‐chosen number, and statistical inference is straightforward since the proposed estimator is asymptotically normal. In addition, we suggest an asymptotically efficient estimator constructed by carrying out one Newton–Raphson step in the direction of the efficient GMM estimator.     

Higher order moments of the estimated tangency portfolio weights

In this paper, we consider the estimated weights of the tangency portfolio. We derive analytical expressions for the higher order non-central and central moments of these weights when the returns are assumed to be independently and multivariate normally distributed. Moreover, the expressions for mean, variance, skewness and kurtosis of the estimated weights are obtained in closed forms. Later, we complement our results with a simulation study where data from the multivariate normal and t-distributions are simulated, and the first four moments of estimated weights are computed by using the Monte Carlo experiment. It is noteworthy to mention that the distributional assumption of returns is found to be important, especially for the first two moments. Finally, through an empirical illustration utilizing returns of four financial indices listed in NASDAQ stock exchange, we observe the presence of time dynamics in higher moments.     

The unit extended Weibull families of distributions and its applications

In this paper, two new general families of distributions supported on the unit interval are introduced. The proposed families include several known models as special cases and define at least twenty (each one) new special models. Since the list of well-being indicators may include several double bounded random variables, the applicability for modeling those is the major practical motivation for introducing the distributions on those families. We propose a parametrization of the new families in terms of the median and develop a shiny application to provide interactive density shape illustrations for some special cases. Various properties of the introduced families are studied. Some special models in the new families are discussed. In particular, the complementary unit Weibull distribution is studied in some detail. The method of maximum likelihood for estimating the model parameters is discussed. An extensive Monte Carlo experiment is conducted to evaluate the performances of these estimators in finite samples. Applications to the literacy rate in Brazilian and Colombian municipalities illustrate the usefulness of the two new families for modeling well-being indicators.     

超越数生成的分式集不是数域

设m、n是不全为零的非负整数,θ是非零复数,本证明了：如果θ是超越数,则分式集S（θ;m,n）不是数域。     

Efficient Wald Tests for Fractional Unit Roots

In this article we introduce efficient Wald tests for testing the null hypothesis of the unit root against the alternative of the fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson Lagrange multiplier tests. Our results contrast with the tests for fractional unit roots, introduced by Dolado, Gonzalo, and Mayoral, which are inefficient. In the presence of short range serial correlation, we propose a simple and efficient two‐step test that avoids the estimation of a nonlinear regression model. In addition, the first‐order asymptotic properties of the proposed tests are not affected by the preestimation of short or long memory parameters.     

股票价格遵循分数Ornstein-Uhlenback过程的期权定价模型

本文从股价收益的时变性和波动的长记忆性两个方面考虑,建立了分数O-U过程;接着在分数风险中性测度下,利用分数情形下的Girsanov定理获得了分数O-U过程的唯一等价测度;进而采用拟鞅(quasi-martingale)定价方法,得到了分数市场环境中的期权定价模型,使得布朗运动和O-U过程驱动的期权定价模型均成为其特例;最后用算例,验证了长记忆参数H是期权定价中不可忽略的因素.     

区域大气污染排放效率:变化趋势、地区差距与影响因素——基于长江经济带11省市的面板数据

基于全要素生产理论,运用非径向加权Russell方向性距离函数测算2007-2014年长江经济带11个省市的大气污染排放效率,分析效率的变化趋势并对其进行分解,通过泰尔指数方法诠释长江经济带大气污染排放效率地区差距的形成原因,利用系统广义矩（GMM）估计方法分析长江经济带大气污染排放效率的影响机制。结果表明:研究期内长江经济带大气污染排放效率较低且维持了下降趋势,大气污染减排潜力巨大;长江上游、中游与下游三大地区之间差距和长江上游地区内部差距是长江经济带大气污染排放效率地区差距的主要成因;在长江经济带大气污染排放无效率中,烟粉尘贡献率最高,其次为SO2,氮氧化物贡献率最低;经济增长、提升第三产业比重、增加R&D投入强度、改善能源消费结构、提高对外开放水平对于长江经济带大气污染排放效率的提升均有明显促进作用。     

基于中值正交化准则的自适应滤波器

α-稳定分布可以更好地描述实际应用中所遇到的具有显著脉冲特性的随机信号和噪声。与其它统计模型不同,α稳定分布没有统一闭式的概率密度函数,其二阶及二阶以上统计量均不存在。针对系统中存在独立SαS噪声,本文提出了一种稳定分布环境下的基于中值正交化准则的自适应滤波算法。计算机模拟和分析表明,这种算法是一种在SαSG分布背景噪声条件下具有良好韧性的滤波方法。     

Inverse moments of discrete distributions

In this paper an expression for the inverse moment of order r is given for the truncated binomial and Poisson distributions. This enables one to obtain inverse moments in a finite series. Some applications and multivariate generalizations are also given. The method also enables one to obtain relations between inverse moments and factorial moments and distributions of sums of variables.