Birnbaum‐Saunders autoregressive conditional range model applied to stock index data

This article proposes a new approach to the conditional autoregressive range (CARR) model using the Birnbaum‐Saunders (BS) distribution. The model aims to develop volatility clustering, which incorporates extreme fluctuations, using a time‐varying evolution of the range process called the BSCARR model. Furthermore, diagnosis analysis tools for diagnosis analysis were developed to evaluate the goodness of fit, such as residual analysis, global influence measures based on Cook's distance, and local influence analysis. For illustrative purposes, three real financial market indices are analyzed. A comparison with classical CARR models was also carried out in these examples. The results indicated that the proposed model outperformed some existing models in the literature, especially a recent CARR model based on the gamma distribution even under the presence of atypical cases (observed values).     

A Note on Randomly Weighted Sums of Dependent Subexponential Random Variables

The author obtains that the asymptotic relations ■ hold as x→∞, where the random weights θ₁,···, θ_n are bounded away both from 0 and from∞with no dependency assumptions, independent of the primary random variables X₁,···, X_n which have a certain kind of dependence structure and follow non-identically subexponential distributions. In particular, the asymptotic relations remain true when X₁,···, X_n jointly follow a pairwise Sarmanov...     

营运资本与公司综合治理对公司价值影响研究

拓展Faulkender和Wang(2006)模型,引入公司综合治理水平变量,分析了公司综合治理水平和营运资本对公司价值的影响.运用我国A股市场2008~2013年数据进行实证,证实公司综合治理水平与营运资本对企业价值影响显著;边际营运资本价值小于边际现金价值,企业在现有营运资本水平下增加营运资本投资,将降低企业超额收益率,减少企业投资价值;商业性企业比工业性企业、高治理效率企业比低治理效率企业、受融资约束企业比不受融资约束企业具有更高的边际营运资本价值.     

基于动态财务分析的地质灾害保险定价

将经济学中的动态财务分析(DFA)模型应用于地质灾害保险定价中,对离散的灾害事件、经济损失等进行建模分析,计算出纯保费.实证分析以湖南省邵阳市为例,结果表明该模型实用性强、操作简单,计算出来的保费率具有一定的参考价值.     

Commodity and resource ETF trading patterns during the financial crisis

This study estimates the parameters of a power law fit of the distribution of log returns of exchange traded funds (ETFs) before, during, and after the recent financial crisis. It is found, that there is considerable variation both between ETFs and between calm and turbulent phases. Exponents of the daily log return distribution are estimated to lie mostly between 3.0 and 5.0 depending on the ETF. In minute‐by‐minute, trading data much lower power law exponents have been found concentrating between 3.0 and 4.0 and sometimes dropping to values close to or below 3.0. Further, there is evidence for changes in the distribution during times of turbulence (value of the exponent, improvement in the goodness of fit measures of the distribution). It can be hypothesized that effects such as, infinite variance (for α < 3) or changes in the form of the distribution can occur, in turn affecting the predictability of the system which has implications for the possibility to control or regulate financial markets under such conditions. © 2014 Wiley Periodicals, Inc. Complexity 21: 73–83, 2016     

基于W-SVM的民营环保企业信用风险预警模型

2019年中国绿色债券发行量依旧稳居世界前列,成为民营环保企业重要融资渠道,但是2018年至今,大量环保企业信用风险事件频发为我们敲响了警钟,构建合适的民营环保企业信用风险预警机制迫在眉睫.环保产业属于新兴产业,并以国有企业为主导,民营企业的样本数据具有样本量小,维度高等特征,这导致传统的信用风险模型适用性不强.因此选用加权支持向量机模型,对不同类别样本采取不同权值,选取大量财务特征,最终构建出风险预警模型．研究发现加权支持向量机模型具有十分优秀的预警性能.环保企业本身具有资金回收周期较长并且项目前期投入较高等特点,建议加强财务管理,保障资产流动性,建立完善产业链.     

顾客满意度理论及其在住宅市场中的应用

顾客满意度是近年国外迅速发展、广泛流行的新质量管理理论.将住宅金融和政府住宅政策引入模型,使之由评价住宅品质扩展为分析住宅市场现状并预测其发展前景,是有创意的应用突破.在河南洛阳市进行了一次抽样调查,证明了其可行性,初步结果说明用顾客满意度模型研究一些与群众评价有关的社会经济问题是卓有成效的.     

防止腐败与政务财务公开刍议

政务和财务公开是依靠人民群众防止腐败的重要环节和具体形式,在制度和法律上必须保证公民和各类机构广泛的参与和合作。     

浅谈如何提高交通部门财务人员的素质

针对交通部门财务人员综合素质的现状,提出了提高财务人员综合素质的建议。     

谈企业内部会计控制

阐明了实施企业内部会计控制是企业健康发展的保证,是为了防止企业在生产经营过程中产生违规行为,从而保证企业经营目标的顺利实现。分析了企业内部控制存在的问题,提出了完善企业内部会计控制的措施。