基于价格的消费者信息搜寻过程研究

消费者在购买商品之前,信息搜集是一个必不可少的阶段。消费者的信息搜集过程是比较复杂的。文章通过构建信息搜寻模型,并对影响信息搜集的因素进行分析,认为产品的价格是影响信息搜集量及其持续时间的主要因素,即消费者在购买高价商品时花费的时间远远大于购买低价商品所花费的时间,并用实例进行验证。     

利率变动下的存续期缺口管理和流量比例调整

在金融自由化和利率市场化的浪潮下,商业银行所面临的利率风险防范问题日益突出。利率风险管理成为商业银行经营管理中极其重要的环节。马考勒存续期缺口管理是现代西方商业银行的主要风险管理手段之一,合理构造存续期缺口可使商业银行净值不受市场利率影响,而流量比例调整可以克服存续期缺口受制于利率变动的不足,综合利用存续期缺口管理对我国商业银行建立风险管理机制起着重要的作用。     

略论邓小平理论萌芽的界定及其标志

作为邓小平理论萌芽的标志不是某一具体的时间、论著、观点。对邓小平理论萌芽应作出系统的、全面的科学界定。邓小平理论萌芽的标志应该是时间段、论著链、观点网     

基于时间特性的中国股市交易集群性特征的研究

本文以自回归条件久期模型(ACD)为基础,选择标志我国股市交易集群性特征的代理变量,建立了刻画该特征的实证模型,检验了我国上海证券所个股的交易过程中集群性问题.实证结果表明,我国证券市场交易过程中的集群性是由于以私人信息为基础的信息交易所引起的,私人信息的进入导致了证券市场在时间方向表现出更大的波动性.     

基于SCD模型的金融超高频数据信息含量研究

针对随机波动条件持续期模型(SCD模型)对于金融超高频数据的模拟优势,采用股票交易的分笔数据,在模型中引入消息指标变量、交易量和买卖价差三类微观结构变量,通过分析价格持续期与这些结构变量之间的相关性,以研究价格形成过程中的信息传递过程。研究结果表明:利好消息通常导致交易强度增加,利空消息通常会导致交易持续期延长,价格变化对交易持续期造成的影响有限;小盘股买卖价差影响后续价格交易持续期,但大盘股的影响并不明显;交易量的增加具有信息含量。     

Survival in the U.S. petroleum refining industry

Of the 324 petroleum refineries operating in the U.S. in 1982, only 149 were still in the hands of their original owners in 2007. Using duration analysis, this paper explores why refineries change ownership or shut down. Plants are more likely to ‘survive’ with their original owners if they are older or larger, but less likely if the owner is a major integrated firm, or the refinery is a more technologically complex one. This latter result differs from existing research on the issue. This paper also presents a split population model to relax the general assumption of the duration model that all refiners will eventually close down; the empirical results show that the split population model converges on a standard hazard model; the log-logistic version fits best. Finally, a multinomial logit model is estimated to analyze the factors that influence the refinery plant's choices of staying open, closing, or changing ownership. Plant size, age and technology usage have positive impacts on the likelihood that a refinery will stay open, or change ownership (rather than close down).     

Effects of testosterone replacement therapy withdrawal and re-treatment in hypogonadal elderly men upon obesity,voiding function and prostate safety parameters

Whether testosterone replacement therapy (TRT) is a lifelong treatment for men with hypogonadism remains unknown. We investigated long-term TRT and TRT withdrawal on obesity and prostate-related parameters. Two hundred and sixty-two hypogonadal patients (mean age 59.5) received testosterone undecanoate in 12-week intervals for a maximum of 11 years. One hundred and forty-seven men had TRT interrupted for a mean of 16.9 months and resumed thereafter (Group A). The remaining 115 patients were treated continuously (Group B). Prostate volume, prostate-specific antigen (PSA), residual voiding volume, bladder wall thickness, C-reactive protein (CRP), aging male symptoms (AMS), International Index of erectile function – erectile function (IIEF-EF) and International Prostate Symptoms Scores (IPSS) were measured over the study period with anthropometric parameters of obesity, including weight, body mass index (BMI) and waist circumference. Prior to interruption, TRT resulted in improvements in residual voiding volume, bladder wall thickness, CRP, AMS, IIEF-EF, IPSS and obesity parameters while PSA and prostate volume increased. TRT interruption reduced total testosterone to hypogonadal levels in Group A and resulted in worsening of obesity parameters, AMS, IPSS, residual voiding volume and bladder wall thickness, IIEF-EF and PSA while CRP and prostate volume were unchanged until treatment resumed whereby these effects were reversed. TRT interruption results in worsening of symptoms. Hypogonadism may require lifelong TRT.     

Exploring Parameter Relations for Multi‐Stage Models in Stage‐Wise Constant and Time Dependent Hazard Rates

Single cohort stage‐frequency data are considered when assessing the stage reached by individuals through destructive sampling. For this type of data, when all hazard rates are assumed constant and equal, Laplace transform methods have been applied in the past to estimate the parameters in each stage‐duration distribution and the overall hazard rates. If hazard rates are not all equal, estimating stage‐duration parameters using Laplace transform methods becomes complex. In this paper, two new models are proposed to estimate stage‐dependent maturation parameters using Laplace transform methods where non‐trivial hazard rates apply. The first model encompasses hazard rates that are constant within each stage but vary between stages. The second model encompasses time‐dependent hazard rates within stages. Moreover, this paper introduces a method for estimating the hazard rate in each stage for the stage‐wise constant hazard rates model. This work presents methods that could be used in specific types of laboratory studies, but the main motivation is to explore the relationships between stage maturation parameters that, in future work, could be exploited in applying Bayesian approaches. The application of the methodology in each model is evaluated using simulated data in order to illustrate the structure of these models.     

Working to get fired? Unemployment benefits and employment duration

In many countries, jobseekers are entitled to unemployment benefits (UBs) only if they have previously worked a minimum period of time. This institutional feature creates a sharp change in the disutility from unemployment at UB eligibility and may distort the duration of jobs. In this paper, we evaluate this eligibility effect using a regression discontinuity approach. Our evidence is based on longitudinal social security data from Portugal, where jobseekers are required to work a relatively long period to collect UBs. We find that monthly transitions from employment to unemployment increase by 10% as soon as the eligibility condition is met. This result is driven entirely by transitions to subsidised unemployment, which increase by 20%, as non-subsidised unemployment is not affected. The effects are even larger for the unemployed with high UB replacement ratios or those who meet the eligibility condition from multiple short employment spells. These transitions deserve greater attention from UB agencies and public employment services.     

Mixture inverse Gaussian for unobserved heterogeneity in the autoregressive conditional duration model

In this paper, we assume that the duration of a process has two different intrinsic components or phases which are independent. The first is the time it takes for a trade to be initiated in the market (for example, the time during which agents obtain knowledge about the market in which they are operating and accumulate information, which is coherent with Brownian motion) and the second is the subsequent time required for the trade to develop into a complete duration. Of course, if the first time is zero then the trade is initiated immediately and no initial knowledge is required. If we assume a specific compound Bernoulli distribution for the first time and an inverse Gaussian distribution for the second, the resulting convolution model has a mixture of an inverse Gaussian distribution with its reciprocal, which allows us to specify and test the unobserved heterogeneity in the autoregressive conditional duration (ACD) model.

Our proposals make it possible not only to capture various density shapes of the durations but also easily to accommodate the behaviour of the tail of the distribution and the non monotonic hazard function. The proposed model is easy to fit and characterizes the behaviour of the conditional durations reasonably well in terms of statistical criteria based on point and density forecasts.