Likelihood procedure for testing changes in skew normal model with applications to stock returns

The skew normal distribution family is an attractive distribution family due to its mathematical tractability and inclusion of the normal distribution as the special case. It has wide applications in many applied fields such as finance, economics, and medical research. Such a distribution family has been studied extensively since it was introduced by Azzalini in 1985 Azzalini, A. (1985). A class of distributions which includes the normal ones. Scandinavian Journal of Statistics 12:171–178. [Google Scholar] for the first time. Yet, few work has been done on the study of change point problem related to this distribution family. In this article, we propose the likelihood ratio test (LRT) to detect changes in the parameters of the skew normal distribution associated with some asymptotic results of the test statistic. Simulations have been conducted under different scenarios to investigate the performance of the proposed method. Comparisons to some other existing method indicate the comparable power of the method in detecting changes in parameters of the skew normal distribution model. Applications on two real data: Brazilian and Tanzanian stock returns illustrate the detection procedure.     

新政治经济学视野下的党报经营改革

党报经营制度改革是传媒研究中的一个重要问题。在新政治经济学看来,党报经营制度改革的起因是制度供求不均衡,党报经营制度变迁的模式是诱致性制度变迁与强制性制度变迁的相互作用,党报经营制度变迁的轨迹表现为路径依赖。     

利益、博弈与养老金改革:对养老金制度的政治社会学分析

本文运用新多元主义理论探讨养老金改革中的利益博弈和私有化改革的发展趋势。对拉美和中东欧国家的研究表明,养老金的改革得益于其特殊的政治体制、外生行动者的支持和政府的强力推动,而否决点的缺失和社会组织力量的弱小又减少了养老金改革的阻力。但对美国、英国和欧洲的分析表明,由于利益的多元化、否决点的分散,以及强大的工会力量,社会保障私有化的改革困难重重。     

The Effect of Demand–Supply Mismatches on Firm Risk

A supply chain management (SCM) system comprises many subsystems, including forecasting, order management, supplier management, procurement, production planning and control, warehousing and distribution, and product development. Demand–supply mismatches (DSMs) could indicate that some or all of these subsystems are not working as expected, creating uncertainties about the overall capabilities and effectiveness of the SCM system, which can increase firm risk. This article documents the effect of DSMs on firm risk as measured by equity volatility. Our sample consists of three different types of DSMs announced by publicly traded firms: production disruptions, excess inventory, and product introduction delays. We find that all three types of DSMs result in equity volatility increases. Over a 2‐year period around the announcement date, we observe mean abnormal equity volatility increases of 5.62% for production disruptions, 11.19% for excess inventory, and 6.28% for product introduction delays. Volatility increases associated with excess inventory are significantly higher than the increases associated with production disruptions and product introduction delays. Across all three types of DSMs, volatility changes are positively correlated with changes in information asymmetry. The results provide some support that volatility changes are also correlated with changes in financial and operating leverage.     

基于获取决策优先权的零售商战略联盟效益分析

对于由一个供应商和多个零售商组成的单一产品、单周期供应链,在确定型市场、零售商成本对称以及供应商具有关于零售商成本结构完全信息的情况下,考虑了同时带来运作成本与决策权分配变化(基于获取决策优先权)的零售商定货数量决策联盟。利用博弈论方法,研究了获取决策优先权的零售商战略联盟对参与联盟的零售商、未参与联盟的零售商、供应商以及供应链整体收益的影响。证明这种零售商战略联盟不可能使供应链中所有成员都同时增加收益。但在一定的条件下,联盟能实现某种部分"多赢";使供应链整体、供应商和参与联盟的零售商收益增加,或使供应商和参与联盟的零售商收益增加。     

基于“三性”分析的商业银行经营绩效综合评价模型

流动性、安全性和盈利性(统称为“三性”是商业银行经营管理的基本原则。它们之间既相互依存又相互冲突和矛盾。协调处理这三者之间的关系,一直是评价商业银行经营绩效的难点。本文所建立的综合评价模型,其指标体系涵盖了流动性、安全性和盈利性三个方面,将银行经营绩效层层分解为具体的财务报表数据,合理解决了同一指标在对“三性”产生不同影响时的评分问题。将“三性”之间的制约矛盾量化为具体的模型。     

Testing for parameter constancy in the time series direction in panel data models

We propose tests for parameter constancy in the time series direction in panel data models. We construct a locally best invariant test based on Tanaka [Time series analysis: nonstationary and noninvertible distribution theory. New York: Wiley; 1996] and an asymptotically point optimal test based on Elliott and Müller [Efficient tests for general persistent time variation in regression coefficients. Rev Econ Stud. 2006;73:907–940]. We derive the limiting distributions of the test statistics as T→∞ while N is fixed, and calculate the critical values by applying numerical integration and response surface regression. Simulation results show that the proposed tests perform well if we apply them appropriately.     

Monte carlo estimates of the distributions of the random polygons of the voronoi tessellation with respect to a poisson process

A large-scale study, in which two million random Voronoi polygons (with respect to a homogeneous Poisson point process) were generated and mensurated, is described. The polygon characteristics recorded are number of sides (or vertices), perimeter, area and interior angles. A feature is the efficient “quantile” method of replicating Poisson-type random structures, which it is hoped may find useful application elsewhere.     

Heteroskedasticity-consistent interval estimators

The linear regression model is commonly used in applications. One of the assumptions made is that the error variances are constant across all observations. This assumption, known as homoskedasticity, is frequently violated in practice. A commonly used strategy is to estimate the regression parameters by ordinary least squares and to compute standard errors that deliver asymptotically valid inference under both homoskedasticity and heteroskedasticity of an unknown form. Several consistent standard errors have been proposed in the literature, and evaluated in numerical experiments based on their point estimation performance and on the finite sample behaviour of associated hypothesis tests. We build upon the existing literature by constructing heteroskedasticity-consistent interval estimators and numerically evaluating their finite sample performance. Different bootstrap interval estimators are also considered. The numerical results favour the HC4 interval estimator.     

Testing for a change point in a sequence of exponential random variables with repeated values

Two test statistics are proposed for the change-point problem with repeated values when the data follow an exponential distribution. The properties of these two statistics have been studied and their asymptotic distributions under the alternative have been derived. The powers of the two test statistics are compared. Real-data examples are presented to illustrate the application of these tests.