Generalized value at risk forecasting

Abstract

In this paper, using estimating function approach, a new optimal volatility estimator is introduced and based on the recursive form of the estimator a data-driven generalized EWMA model for value at risk (VaR) forecast is proposed. An appropriate data-driven model for volatility is identified by the relationship between absolute deviation and standard deviation for symmetric distributions with finite variance. It is shown that the asymptotic variance of the proposed volatility estimator is smaller than that of conventional estimators and is more appropriate for financial data with larger kurtosis. For IBM, Microsoft, Apple stocks and SP 500 index the proposed method is used to identify the model, estimate the volatility, and obtain minimum mean square error(MMSE) forecasts of VaR.     

On generalized conditional cumulative residual inaccuracy measure

Abstract

Recently, the notion of cumulative residual Rényi’s entropy has been proposed in the literature as a measure of information that parallels Rényi’s entropy. Motivated by this, here we introduce a generalized measure of it, namely cumulative residual inaccuracy of order α. We study the proposed measure for conditionally specified models of two components having possibly different ages called generalized conditional cumulative residual inaccuracy measure. Several properties of generalized conditional cumulative residual inaccuracy measure including the effect of monotone transformation are investigated. Further, we provide some bounds on using the usual stochastic order and characterize some bivariate distributions using the concept of conditional proportional hazard rate model.     

Proportional subclass numbers in two-factor ANOVA

The between-within split of total sum of squares in one-way analysis of variance (ANOVA) is intuitively appealing and computationally simple, whether balanced or not. In the balanced two-factor setting, the same heuristic and computations apply to analyse treatment sum of squares into main effects and interaction effects sums of squares. Accomplishing the same in unbalanced settings is more difficult, requiring development of tests of general linear hypotheses. However, textbooks treat unbalanced settings with proportional subclasss numbers (psn) as essentially equivalent to balanced settings. It is shown here that, while psn permit an ANOVA-like partition of sums of squares, test statistics for main effects of the two factors generally test the wrong hypotheses when the model includes interaction effects.     

结合 SUＲ 与因子效应原则的多响应质量设计

针对多响应的质量设计问题，本文结合似不相关回归(seemingly unrelated regression， SUＲ) 模型与因子效应原则提出了一种新的建模与优化方法． 该方法不仅结合 SUＲ 模型与因子效应原则筛选出各响应模型的显著性变量，而且运用多变量过程能力指数衡量了过程能力满足规格要求程度的水平． 此外，该方法还通过贝叶斯抽样技术考虑了模型参数不确定性和预测响应值波动对优化结果的影响． 首先，在 SUＲ 模型中针对每个变量设置了一个二元变量指示器以考虑因子效应原则，通过所构建的混合二元变量指示器修正了过程响应和试验因子之间的函数关系; 其次，通过计算混合二元变量指示器和模型结构的后验概率以识别显著性变量，从而确定最佳的模型结构; 然后，在此基础上结合贝叶斯抽样技术构建了一种新的多变量过程能力指数，并通过最大化所构建的多变量过程能力指数获得了最佳的参数设计值; 最后，实际案例研究表明: 本文所提方法不仅能够有效地筛选出多响应过程的显著性变量，而且能够获得最佳的参数设计值．     

Occupational inequalities in volunteering participation: Using detailed data on jobs to explore the influence of habits and circumstances

In this paper we present empirical results that show that detailed occupations have distinctive patterns of association with voluntary participation. We draw upon data from four secondary survey datasets from the UK (coverage 1972–2012). Occupations are shown to link to volunteering in a wide range of scenarios and in individual, household, and longitudinal contexts. We argue that these linkages provide insight into social inequalities in volunteering, and that they can help us to understand the relative influence of “circumstance” and “habits” in enabling or inhibiting voluntary participation.     

质量效用函数与质量效用最大化

讨论了质量与消费者行为的几个重要关系,包括提出了质量效用、质量效用函数的新概念,建立了质量特性系数指标,给出了几种质量效用最大化的数学模型。通过这些讨论,扩展了经济学中消费者行为理论的范围,为质量经济学的建立打下了重要基础。     

Correlated linear models for the analysis of familial correlations

The problems of estimation and hypotheses testing on the parameters of two correlated linear models are discussed. Such models are known to have direct applications in epidemiologic research, particularly in the field of family studies. When the data are unbalanced, the maximum-likelihood estimation of the parameters is achieved by adopting a fairly simple numerical algorithm. The asymptotic variances and covariances of the estimators are derived, and the procedures are illustrated on arterial-blood-pressure data from the literature.     

论经济伦理视域下中国管理难题

文章探讨中国在经济伦理视域下管理面临的困难,笔者立足人类社会发展的基本历程说明中国在跳跃发展中的难题,从经济伦理核心价值理念的确证与认同来分析中国管理的理论难题;从管理中人性预设与人性演变阐述中国管理现实的人性张力;从中国现状与发展实践探讨中国管理在时空错位与理论超越上的张力。     

Biological Models of Carcinogenesis and Quantitative Cancer Risk Assessment

Biologically-based models of carcinogenesis were originally developed to explain certain quanti-tative phenomena associated with carcinogenesis, and to provide a framework within which questions regarding the process could be addressed. Some limitations in the use of these models for quantitative cancer risk assessment are discussed.