一个具有绝对拥挤性的政府消费性支出模型

本文研究了随机内生增长模型中具有绝对拥挤性的政府消费性支出.利用改进的连续时间随机分析方法--"附加效用"值函数法,获得了个体的最优消费、随机经济增长路径和个体的最优福利.     

国内外期铜价格之间的长期记忆成分和短期波动溢出效应

本文区分国内外期铜市场价格的长记忆成分和短期波动溢出效应,采用信息共享模型和永久一瞬时模型分离出不同期铜市场价格间的长记忆成分,得到不同市场期铜价格对"隐含有效价格"的贡献度;而且,利用t分布的BEKK模型分析两个市场期铜价格的短期波动溢出.特别,我们在BEKK基础上定义了不同变量间的波动溢出项,对两个市场期铜价格的波动溢出进行了度量.根据测算结果,我们发现国内外期铜价格有着紧密的联系,无论在长期,还是在短期,国外市场期铜价格的影响力都较大.     

真实利率波动对长期资产配置的影响(英文)

对于单期的投资者而言,无违约风险的固定收益证券被视为无风险资产.这是因为固定收益证券的收益率在投资的初期就能确定.然而在考虑长期的投资时,投资者可以调整资产配置,固定收益证券也将面临再投资的利率波动风险,因此不能再被视为无风险资产.本文在一类特殊的"习惯形成"效用函数的框架下讨论长期资产配置.在一系列为简化问题而作的假设之下,本文推导出了真实利率波动对风险资产配置权重的影响,并且为计算实际长期资产配置的最优比例提供了理论依据和算法.     

我国棉花价格波动特征研究——基于ARCH类模型和H-P滤波法

我国是全球第二大棉花生产国,分析棉花价格波动的特征对全面评估棉花价格风险及棉花产业的发展至关重要.研究选取2004年-2018年我国棉花价格月度数据,利用ARCH类模型和H-P滤波法分析了我国棉花价格的波动特征.结果表明,我国棉花价格具有显著的波动集聚性和"杠杆效应",但是并不具有"高风险、高回报"的特征;棉花价格波动具有周期性,样本区间大致可分为5个完整的周期.最后为了控制我国棉花的市场风险,提出了相关政策启示.     

股指期货市场波动率的预测研究

准确刻画和预测股指期货市场的波动率,有利于实现股指期货的价格发现、套期保值和市场调节等功能.文章首先在已实现极差异质性自回归模型(the Heterogeneous AutoRegressive with Realized Range,HAR-RRV model)的基础上,构建HAR-HLT和LHAR-HLT模型;接着,以中国股市中沪深300股指期货的5分钟高频交易数据为样本,通过运用HARHLT和LHAR-HLT模型分析股指期货市场波动率的特征以及预测股指期货市场未来的波动率.研究发现:在HAR-HLT和LHAR-HLT模型中,高频已实现极差、低频已实现极差和趋势已实现极差都包含较多对未来波动率的预测信息;股指期货市场的波动率存在短期的"动量效应"和中长期的"反转效应",其杠杆效应并不明显;HAR-HLT和LHAR-HLT模型对未来1日、1周和1月波动率样本外预测能力都明显强于目前常用的HAR-RRV类模型.     

基于随机波动率模型的上证50ETF期权定价研究

传统上,期权定价主要基于Black-Scholes (B-S)模型。但B-S模型不能描述时变波动率以及解释"波动率微笑"现象,导致期权定价存在较大的误差。随机波动率模型克服了B-S模型的这些缺陷,能够合理地刻画波动率动态性和波动率微笑。基于此,本文考虑随机波动率模型下的期权定价问题,并针对我国上证50ETF期权进行实证分析。为了解决定价模型的参数估计问题,采用上证50ETF及其期权价格数据,建立两步法对定价模型的参数进行估计。该估计方法保证了定价模型在客观与风险中性测度下的一致性。采用2016年1月到2017年10月的上证50ETF期权价格数据为研究样本,对随机波动率模型进行了实证检验。结果表明,无论是在样本内还是样本外,随机波动率模型相比传统的常数波动率B-S模型都能够获得明显更为精确和稳定的定价结果,B-S模型的定价误差总体偏大且呈现较高波动,凸显了随机波动率对于期权定价的重要性。另外,随机波动率模型对于短期实值期权的定价相比对于其它期权的定价要更精确。     

多分形视角下的金融市场波动建模研究

针对修正因子的不足,对多分形波动率进行了改进.以改进的多分形波动率为中心,建立了考虑跳跃,杠杆效应等典型特征的HAR类波动模型.通过对上证综指高频数据进行分析,从模型拟合,预测和风险值预测三方面评价,HAR-L-lnMFVt-CJ是最优的波动模型,且该模型优于传统的EGARCH-J模型和NGARCH-J模型.这些研究说明了修正的多分形波动率测度是更为有效的波动估计量.     

随机波动模型的马尔可夫链—蒙特卡洛模拟方法——在沪市收益率序列上的应用

针对具有Markov区制转移的、波动均值状态相依的随机波动模型,基于贝叶斯分析,我们推导并给出了对区制转移随机波动模型的MCMC估计方法,其中对参数估计采用Gibbs抽样方法,对潜在对数波动和区制的状态变量估计采用"向前滤波、向后抽样"的多步移动方法;利用该模型,对我国上证综指周收益率进行了实证分析,发现对沪市波动性有较好的描述,捕捉了波动的时变性、聚类性和非线性特征,同时刻画了沪市的高低波动状态转换过程。     

基于ICA-SV模型的金融市场协同波动溢出分析及实证研究

对于动态投资组合与风险管理来说,测定波动溢出效应是非常重要的.已有的文献证明SV模型比GARCH模型能够更好地刻画金融市场的波动,使用SV模型研究两个金融市场间波动溢出的文献并不多见,而使用SV模型研究多个金融市场对一个金融市场协同波动溢出的文献则更为少见.本文以独立成分表示金融市场波动的协同指标,提出了独立成分SV模型(ICA-SV),并研究了多个金融市场对一个金融市场的协同波动溢出,实证结果验证了ICA-SV模型在分析金融市场协同波动溢出是可行的.     

基于DEA的企业自主创新能力评价与提升研究

基于DEA的企业自主创新能力评价,能消除企业自主创新的基础条件差异带来的影响,客观地反映企业在自主创新过程中的主观努力程度.构造企业自主创新能力的投入产出指标体系,利用模糊多粒度语言对定性指标进行量化;利用C2R模型判断企业自主创新能力的相对有效性,利用"投影"分析非有效DMU的成因,利用改进的DEA模型确定创新能力相对有效的企业创新资源投入产出的"扩大系数";以某地区5个开展自主创新的企业为例,利用该方法对自主创新能力进行了评价,并提出了有效和非有效DMU自主创新能力提升的策略.实践表明,该方法能有效地评价和提升自主创新能力.     

A Class of Trees and its Wiener Index

In this paper, we will consider the Wiener index for a class of trees that is connected to partitions of integers. Our main theorem is the fact that every integer is the Wiener index of a member of this class. As a consequence, this proves a conjecture of Lepović and Gutman. The paper also contains extremal and average results on the Wiener index of the studied class.This work was supported by Austrian Science Fund project no. S-8307-MAT.     

黑龙江省总体经济预测——基于扩散指数模型

本文以Stock and Watson提出的"扩散指数"模型为基础,建立一个两步骤的"扩散指数"预测模型,并应用于黑龙江省经济增长率的预测。除了依循Stock and Watson的作法外,本文也将变量依其特性区分为商品市场变量与货币市场变量,再分别针对各市场变量估计其扩散指数,然后根据这些指数进行预测。实证结果显示,"扩散指数"预测模型具有相当好的预测绩效,也优于一般模型的预测,因此可以作为未来总体经济预测上的另一种选择。     

ℤ/k-manifolds and families of Dirac operators

Summary The index of a family of a family of Dirac operators is aK-Theory element in the parameter space. Sullivan's/k-manifolds are used to detect this index completely. For the first Chern class this gives a topological interpretation of Witten's global anomaly. The relationship with the geometry of the index bundle is considered.To my teacher Isadore M. SingerThe author is partially supported by an NSF Postdoctoral Research Fellowship     

The nonidealness index of rank-ideal matrices

A polyhedron is integral if all its extreme points have 0, 1 components and in this case the matrix M is called ideal. When Q has fractional extreme points, there are different ways of classifying how far M is away from being ideal, through the polyhedral structure of Q. In this sense, Argiroffo, Bianchi and Nasini (2006) [1] defined a nonidealness index analogous to an imperfection index due to Gerke and McDiarmid (2001) [10].In this work we determine the nonidealness index of rank-ideal matrices (introduced by the authors (2008)). It is known that evaluating this index is NP-hard for any matrix. We provide a tractable way of evaluating it for most circulant matrices, whose blockers are a particular class of rank-ideal matrices, thereby following similar lines as done for the imperfection ratio of webs due to Coulonges, Pêcher and Wagler (2009) [7].Finally, exploiting the properties of this nonidealness index, we identify the facets of the set covering polyhedron of circulant matrices, having maximum strength with respect to the linear relaxation, according to a measure defined by Goemans (1995) [9].     

"一带一路"与人文发展的空间依赖性分析

基于2014年"一带一路"沿线61个国家的人文发展指数,利用Moran'I空间自相关统计量检验"一带一路"沿线国家人文发展指数之间的空间自相关性,利用空间误差模型研究了"一带一路"战略对沿线国家的教育、医疗卫生等指数的影响.结果表明:"一带一路"沿线61国人文发展水平之间存在明显的空间自相关性,即空间聚集性和异质性并存;"一带一路"战略的实施必将对沿线国的教育、医疗卫生等发展做出积极贡献.     

Krivine's theorem and the indices of a Banach lattice

In this paper we shall present an exposition of a fundamental result due to J.L. Krivine about the local structure of a Banach lattice. In [3] Krivine proved that _p (1p) is finitely lattice representable in any infinite dimensional Banach lattice. At the end of the introduction of [3] it is then stated that a value of p for which this holds is given by, what we will call below, the upper index of the Banach lattice. He states that this follows from the methods of his paper and of the paper [5] of Maurey and Pisier. One can ask whether the theorem also holds for p equal to the lower index of the Banach lattice. At first glance this is not obvious from [3], since many theorems in [3] have as a hypothesis that the upper index of the Banach lattice is finite. This can e.g. also be seen from the book [6] of H.U. Schwarz, where only the result for the upper index is stated, while both indices are discussed. One purpose of this paper is clarify this point and to present an exposition of all the ingredients of a proof of Krivine's theorem for both the upper and lower index of a Banach lattice. We first gather some definitions and state some properties of the indices of a Banach lattice. For a discussion of these indices we refer to the book of Zaanen[7].     

ARCH族模型对沪市行业指数收益率的实证研究

本文利用ARCH族模型研究沪市行业指数收益率的波动性.通过对各行业指数收益率的分析发现,行业指数收益率是平稳的,但其条件方差是尖峰厚尾的非正态分布且具有明显的ARCH效应.行业指数收益率均具有不同程度"杠杆"效应.外部信息对公用指数和综合指数收益率影响最大.融入相同的风险,它们收益最高.地产指数对外部信息反应迟钝,收益率也不显著.     

An equivariant index for proper actions III: The invariant and discrete series indices

We study two special cases of the equivariant index defined in part I of this series. We apply this index to deformations of ${\mathrm{Spin}}^{\mathrm{c}}$-Dirac operators, invariant under actions by possibly noncompact groups, with possibly noncompact orbit spaces. One special case is an index defined in terms of multiplicities of discrete series representations of semisimple groups, where we assume the Riemannian metric to have a certain product form. The other is an index defined in terms of sections invariant under a group action. We obtain a relation with the analytic assembly map, quantisation commutes with reduction results, and Atiyah–Hirzebruch type vanishing theorems. The arguments are based on an explicit decomposition of ${\mathrm{Spin}}^{\mathrm{c}}$-Dirac operators with respect to a global slice for the action.