对完善股份合作制的认识

股份合作制是现代市场经济的必然产物 ,是历史的必然选择。但作为我国经济生活中不容忽视的一种企业组织形式 ,也存在着诸多问题。认清几个发展趋势 ,进一步规范和完善股份合作制在当前尤为重要     

关于行政伦理责任与行政伦理行为选择困境的几点认识

行政伦理责任在政府的政治责任、法律责任和行政责任中居于核心地位,是现代责任政府建立的根本要求.笔者论述了行政伦理责任在公共行政中的重要地位,并对行政伦理行为选择的困境即行政伦理责任冲突进行了分析,以此来论述走出行政伦理责任困境的途径.     

LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS

Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies.     

股票价格波动与宏观经济波动

本文从理论和实证两方面分析股票价格波动与宏观经济波动的关系,得出股票价格波动与宏观经济波动存在相关性,股票价格作为宏观经济的先行指标,已成为影响货币政策的外部因素的结论。尽管目前中国的股票价格波动与宏观经济波动呈现异动性,但中央银行也应关注股票价格波动。     

深圳证券交易所不同指数收益率的波动比较

股票价格指数的波动的大小通常代表了它的风险程度,研究股指的波动对风险管理、投资组合以及价格预测有着十分重要的意义。文章采用时间序列分析方法,对深圳证券交易所的三种价格指数建立GARCH模型,并对这三种指数的波动率进行比较。     

加入WTO后我国经济特区持续发展的若干思考

分析加入WTO后我国经济特区应该实行何种政策,认为创办经济特区并不违背世界贸易组织的基本原则;中国“入世”与特区的“特”并不相悖;“入世”后我国经济特区政策选择的基调是:以改革促开放,以开放促发展。     

人力资本股份化探讨

本文通过对人力资本及其确认、人力资本的价值与价值计量的研究,按“人力资本的价值取决于它所创造的超额利润（经济增加值）”的原则,设计人力资本价值计量模型,进而探索不同类型人力资本股份化的实现方式,并建议利用期权股份激励创新型人力资本所有者。     

A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time

American options in discrete time can be priced by solving optimal stopping problems. This can be done by computing so-called continuation values, which we represent as regression functions defined recursively by using the continuation values of the next time step. We use Monte Carlo to generate data, and then we apply smoothing spline regression estimates to estimate the continuation values from these data. All parameters of the estimate are chosen data dependent. We present results concerning consistency and the estimates’ rate of convergence.     

A hybrid ARIMA and support vector machines model in stock price forecasting

Traditionally, the autoregressive integrated moving average (ARIMA) model has been one of the most widely used linear models in time series forecasting. However, the ARIMA model cannot easily capture the nonlinear patterns. Support vector machines (SVMs), a novel neural network technique, have been successfully applied in solving nonlinear regression estimation problems. Therefore, this investigation proposes a hybrid methodology that exploits the unique strength of the ARIMA model and the SVMs model in forecasting stock prices problems. Real data sets of stock prices were used to examine the forecasting accuracy of the proposed model. The results of computational tests are very promising.     

Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Zusammenfassung  Turbo-Zertifikate geh?ren derzeit zu den beliebtesten strukturierten Produkten für Privatanleger. Sie lassen sich als Spezialformen von Barrier-Optionen auffassen. In Bezug auf das Produktdesign ist das Verh?ltnis von Kursschranke und Basispreis von Bedeutung. Unter Ausnutzung der Put-Call-Symmetrie wird gezeigt, dass eine geeignete Wahl der Ausstattungsmerkmale dem Emittenten eine semi-statische überabsicherung in Standard-Optionen erm?glicht, die bezüglich einer ganzen Modellklasse gültig ist. Im Gegensatz zu der in der Praxis g?ngigen Preisstellung kann eine Absicherung der Zahlungsverpflichtungen im Allgemeinen nicht unabh?ngig von der Volatilit?t erfolgen.

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Product design and semi-static hedging of turbo-certificates

Summary  Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. For the design of these products, the relation between the barrier level and the strike price is especially important. By using the put-call-symmetry, we show that by a certain choice of these parameters, the issuer is able to obtain an almost static (super-) hedge in standard option contracts which is valid for a general class of models. It turns out that in contrast to the pricing rule which is often used in practice, the issuer can neither hedge a single certificate nor a portfolio of certificates independent of the volatility.