渠道权力结构对供应链协同效应影响研究

借鉴营销中的渠道权力概念,通过对供应链中制造商和零售商的相互权力进行AHP评价,形成制造商和零售商渠道权力结构组合,并对应于供应链伙伴关系的4种典型组合;从战略层、职能层和作业层3个维度,利用三角模糊数评价方法重建供应链协同效应评价体系;以实证分析的方法验证基于渠道权力而形成的供应链伙伴关系的4种典型组合与供应链协同效应的关系.实证结果表明,在供应链协同效应方面双核心型供应链优于制造商主导型供应链,制造商主导型供应链优于零售商主导型供应链,零售商主导型供应链优于低度均衡型供应链,并在此基础上分析不同组合的供应链协同效应差别的原因与提高的途径.     

基于非参数与L-Moment估计的股市动态极值ES风险测度研究

通过运用带宽非参数方法、AR-GARCH模型对时间序列的条件均值、条件波动性进行建模估计出标准残差序列,再运用L-Moment与MLE(maximum Likelihood estimation)估计标准残差的尾部的GPD参数,进而运用实验方法测度出风险VaR(value at Risk)及ES(ExpectedShortfall),最后运用Back-Testing方法检验测度准确性。结果表明,基于带宽的非参数估计模型比GARCH簇模型在测度ES上具有更高的可靠性;基于非参数模型与L-Moment的风险测度模型能够有效测度沪深股市的动态VaR与ES。     

A Structural Evaluation of a Large‐Scale Quasi‐Experimental Microfinance Initiative

This paper uses a structural model to understand, predict, and evaluate the impact of an exogenous microcredit intervention program, the Thai Million Baht Village Fund program. We model household decisions in the face of borrowing constraints, income uncertainty, and high‐yield indivisible investment opportunities. After estimation of parameters using preprogram data, we evaluate the model's ability to predict and interpret the impact of the village fund intervention. Simulations from the model mirror the data in yielding a greater increase in consumption than credit, which is interpreted as evidence of credit constraints. A cost–benefit analysis using the model indicates that some households value the program much more than its per household cost, but overall the program costs 30 percent more than the sum of these benefits.     

A WTP‐Choice Model: Empirical Validation,Competitive and Centralized Pricing

Willingness To Pay (WTP) of customers plays an anchoring role in pricing. This study proposes a new choice model based on WTP, incorporating sequential decision making, where the products with positive utility of purchase are considered in the order of customer preference. We compare WTP‐choice model with the commonly used (multinomial) Logit model with respect to the underlying choice process, information requirement, and independence of irrelevant alternatives. Using WTP‐choice model, we find and compare equilibrium and centrally optimal prices and profits without considering inventory availability. In addition, we compare equilibrium prices and profits in two contexts: without considering inventory availability and under lost sales. One of the interesting results with WTP‐choice model is the “loose coupling” of retailers in competition; prices are not coupled but profits are. That is, each retailer should charge the monopoly price as the collection of these prices constitute an equilibrium but each retailer's profit depends on other retailers' prices. Loose coupling fails with dependence of WTPs or dependence of preference on prices. Also, we show that competition among retailers facing dependent WTPs can cause price cycles under some conditions. We consider real‐life data on sales of yogurt, ketchup, candy melt, and tuna, and check if a version of WTP‐choice model (with uniform, triangle, or shifted exponential WTP distribution), standard or mixed Logit model fits better and predicts the sales better. These empirical tests establish that WTP‐choice model compares well and should be considered as a legitimate alternative to Logit models for studying pricing for products with low price and high frequency of purchase.     

利率期限结构研究述评

对目前利率期限结构的研究状况进行一个评述性的研究,从5个方面介绍和分析了国内外有关利率期限结构的研究.这5个方面包括:利率期限结构形成假设;利率期限结构静态估计;利率期限结构自身形态的微观分析;利率期限结构动态模型;利率期限结构动态模型的实证检验.在文献回顾的基础上,还对利率期限结构未来的研究方向进行了探讨.     

Cystatin C as a predictor of mortality in elderly patients with chronic kidney disease

Background: The prevalence of chronic kidney disease (CKD) in the elderly is high. Serum cystatin C is an accurate marker of kidney function and it also has prognostic utility in CKD patients. The aim of our study was to determine the prediction of serum cystatin C and other markers of kidney function on long-term survival in elderly CKD patients.

Methods: Fifty eight adult Caucasian patients, older than 65 years, without known malignancy, thyroid disease and/or not on steroid therapy were enrolled in the study. In each patient, ⁵¹CrEDTA clearance, serum creatinine, serum cystatin C, and estimated glomerular filtration rate using different equations were determined on the same day and patients were then followed for 11 years or until their death.

Results: The means are as follows: ⁵¹CrEDTA clearance 53.3?±?17.4?ml/min/1.73?m², serum creatinine 1.62?±?0.5?mg/dl, serum cystatin C 1.79?±?0.5?mg/l, Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) creatinine equation 40.1?±?14?ml/min/1.73?m², Berlin Initiative Study 2 (BIS2) equation 38.9?±?10.7?ml/min/1.73?m², full age spectrum (FAS) creatinine equation 43.8?±?13.8?ml/min/1.73?m², FAS cystatin C equation 40.1?±?11.7?ml/min/1.73?m². In the follow up period, 47 (81%) patients died. Cox regression analysis showed different hazard ratios (HRs) for death: for ⁵¹CrEDTA clearance HR 1.022 (95% CI 1.004–1.042; p?=?.015), serum creatinine HR 1.013 (95% CI 1.006–1.019; p?=?.001), serum cystatin C HR 2.028 (95% CI 1.267–3.241; p?=?.003), CKD-EPI creatinine equation HR 1.048 (95% CI 1.019–1.076; p?=?.001), BIS2 equation HR 1.055 (95% CI 1.021–1.088; p?=?.001), FAS creatinine equation HR 1.046 (95% CI 1.017–1.074; p?=?.001), FAS cystatin C equation HR 1.039 (95% CI 1.010–1.071; p?=?.009).

Conclusions: Our results showed the highest HR for serum cystatin C among kidney function markers for prediction of outcome in elderly CKD patients.     

A new useful four-parameter extension of the Gumbel distribution: Properties,regression model and applications using the GAMLSS framework

In this paper we introduce a flexible extension of the Gumbel distribution called the odd log-logistic exponentiated Gumbel distribution. The new model was implemented in GAMLSS package of R software and a brief tutorial on how to use this package is presented throughout the paper. We provide a comprehensive treatment of its general mathematical properties. Further, we propose a new extended regression model considering four regression structures. We discuss estimation methods based on censored and uncensored data. Two simulation studies are presented and four real data sets are applied to illustrating the usefulness of the new model.     

Estimating Merging Costs by Merger Preconditions

This article provides a method for estimating the bounds of transaction costs in horizontal mergers. Consider, for example, a completed monopoly merger in linear Cournot oligopolies with 10 symmetric firms. The method shows that its transaction costs are at most 25% (78%) of total premerger profits if there is zero (100%) excess capacity. Such estimations can be extended in a straightforward manner to other mergers and other oligopoly models. The estimation is based both on the profitability precondition, and on the non-empty core precondition, which postulates that the split of a merger’s profits be in its core. The article shows that the core in linear Cournot oligopolies has a non-empty interior, and indicates that the non-empty core precondition also sheds new lights on understanding important issues such as the stylized fact that mergers are likely to occur in markets plagued by excess capacities; why profitable mergers might not be formed; and why completed mergers might break up in the future.      

Smoothing parameter selection methods for nonparametric regression with spatially correlated errors

When spatial data are correlated, currently available data‐driven smoothing parameter selection methods for nonparametric regression will often fail to provide useful results. The authors propose a method that adjusts the generalized cross‐validation criterion for the effect of spatial correlation in the case of bivariate local polynomial regression. Their approach uses a pilot fit to the data and the estimation of a parametric covariance model. The method is easy to implement and leads to improved smoothing parameter selection, even when the covariance model is misspecified. The methodology is illustrated using water chemistry data collected in a survey of lakes in the Northeastern United States.     

Model weights for model choice and averaging

A method is suggested to estimate posterior model probabilities and model averaged parameters via MCMC sampling under a Bayesian approach. The estimates use pooled output for J models (J>1) whereby all models are updated at each iteration. Posterior probabilities are based on averages of continuous weights obtained for each model at each iteration, while samples of averaged parameters are obtained from iteration specific averages that are based on these weights. Parallel sampling of models assists in deriving posterior densities for parameter contrasts between models and in assessing hypotheses regarding model averaged parameters. Four worked examples illustrate application of the approach, two involving fixed effect regression, and two involving random effects.