标准仓单质押组合的价格风险——基于中国农产品期货规范市场的实证研究

利用基于Copula函数的AR(p)-GARCH(p,q)模型计算的VaR能够对农产品标准仓单的价格风险进行准确度量。对大连商品交易所的典型期货交易品种——黄大豆一号、豆油、豆粕的期货合约日结算价进行了实证研究。研究结果显示:从对价格风险预测的盯市频率来看,时变VaR优于静态VaR,因此重视农产品价格风险的频次预测应替代传统风险判断的单次监测;从对风险因子间相依性结构的刻画来看,基于t-Copula函数计算的VaR优于基于正态Copula函数计算的VaR,因此质押物价格波动间的相关系数是度量组合风险时必须考虑的重要变量。     

公共事业指数与工业指数的相关性研究

本文根据阿基米德类Copula函数与Kendall's秩相关系数的关系,通过非参数估计法得到描述沪市行业指数中的公共事业指数与工业指数组合相关结构的最佳Copula函数形式,即用来描述牛市特征的Gumbel Copula,以及相应的尾部相关系数.尾部相关性分析结果表明,两指数收益率之间存在明显的非对称的尾部相关性,而且是上尾相关程度强于下尾相关程度,说明两指数牛市期间的相关性强于熊市期间的相关性.从规避风险角度分析,公共事业指数/工业指数组合是有效的指数组合.     

宏观经济与股票价格波动之间的关系研究

利用Copula模型,研究宏观经济变量与上证股指收益率之间的相关关系,在选择合适的边缘分布函数的基础上,分别建立了常相关的二元正态Copula函数、t—Copula函数、FrankCopula函数、ClaytonCopula函数以及Gum—belCopula函数模型,并且利用欧氏距离方法选择出最佳拟合Copula模型。选取2001年1月至2011年12月的月度数据作为处理对象,并利用最佳拟合模型分析宏观经济变量与上证股指收益率间相关关系及相关结构,从而揭示了中国宏观经济与股票市场之间的相关性。     

考虑固定收益率的采购拍卖投标策略研究

本文分析了单物品多因素采购拍卖中的供应商投标问题,在考虑供应商存在固定收益率的前提下,建立了相应的多因素拍卖中存在固定收益率的投标策略模型。本模型在Che建立的多因素拍卖打分函数模型的基础上,引入Lorentziadis考虑的固定收益率。分析表明,模型中存在3种类型的供应商,且各类供应商具有相应的投标策略。同时,分析了不同类型的供应商的投标策略与其市场竞争力之间的相互关系。     

特征价格指数编制研究——我国计算机硬盘价格实证分析

文章首先讨论特征价格指数编制理论,具体阐述了特征价格指数的三种编制方法:通过特征价格函数直接编制的方法,引入时间虚拟变量的方法,以及特征质量调整的方法。最后以2005年1月至2006年12月我国计算机硬盘价格为例,编制并实证了我国计算机硬盘特征价格指数,并分析硬盘价格的变化趋势。     

时间序列分析在金融价格预测中的应用

与回归分析不同，时间序列分析不是根据与其它变量的因素关系来预测一个变量的未来变化，而是根据该变量自身过去的规律来预测其未来的变化。这与实际中价格信息的复杂性特征具有较好的符合关系。作在Intnet网上查取了伦敦金属交易所（LME）镍金属从1998年1月到2001年5月共41个月的月平均现金参与价值数据41个，用其中的前37个数据进行时间序列分析，得到了AR（3）模型，用最小二乘法和Yule-Walker法预测后五个数据，得到了较好的效果。因此在价格信息分析与预测中使用时间序列分析理论和方法具有广阔的应用前景。     

基于Copula函数的尾部相关性度量

本文讨论了Copula函数的尾部相关性,当边缘分布是标准Frechet分布时,计算了Copula函数的尾部相关系数及缓慢变化函数,并且得出线性混合Copula函数的尾部相关性是几乎独立的或者较强的渐近相关.     

基于Copula函数的秩相关和尾相关研究

变量间的相关结构是考察变量联合分布特征的首要任务。最经典的是线性相关系数,然而由于线性相关系数是建立在正态分布假设基础上的,存在着很多的局限性,所以,引入了用Copula函数表示的秩相关和尾相关测度。用Copula函数表示的秩相关和尾相关测度比较稳健,不易受极端值影响,且不需要正态分布假设。最后通过模拟得到了上市公司t-Cop-ula的秩相关和尾相关测度。     

招标企业投标保证金财务管理研究

本文以招标企业投标保证金财务管理特性为研究依据,对招标企业投标保证金财务管理现存问题进行分析,并实现对招标企业投标保证金财务管理措施的探讨.     

招标文件(货物)编制过程中应注意的几个问题

招标文件是招标活动的法律性文件,是投标供应商编制投标文件的依据,是专家评标的准绳,也是采购人与中标供应商签定合同的基础;招标文件的内容要规范全面,商务部分的制订要严格遵守法律法规的规定,参考使用招标文件范本,技术参数和规格的制定要体现公开、公正、公平的原则。     

Pleasure and belief in Hume's Decision Process

Abstract

The purpose of this paper is to introduce explicitly pleasure and belief in what aims at being a Humean theory of decision, like the one developed in Diaye and Lapidus (2005a). Although we support the idea that Hume was in some way a hedonist – evidently different from Bentham's or Jevons' way – we lay emphasis less on continuity than on the specific kind of hedonism encountered in Hume's writings (chiefly the Treatise, the second Enquiry, the Dissertation, or some of his Essays). Such hedonism clearly contrasts to its standard modern inheritance, expressed by the relation between preferences and utility.

The reason for such a difference with the usual approach lies in the mental process that Hume puts to the fore in order to explain the way pleasure determines desires and volition. Whereas pleasure is primarily, in Hume's words, an impression of sensation, it takes place in the birth of passions as reflecting an idea of pleasure, whose “force and vivacity” is precisely a “belief”, transferred to the direct passions of desire or volition that come immediately before action. As a result, from a Humean point of view, “belief” deals with decision under risk or uncertainty, as well as with intertemporal decision and indiscrimination problems.

The latter are explored within a formal framework, and it is shown that the relation of pleasure is transformed by belief into a non-empty class of relations of desire, among which at least one is a preorder.     

Globalization,Neoliberalism and the attack on social security

Neoliberal political movements advocate privatization of public pension systems. Globalization imposes pressure on nations to conform to neoliberal policy views with respect to the design and structure of social insurance, including public pension systems. The paper begins with an investigation of the economic, ethical and ideological dimensions of the privatization debates in the U.S.; it argues that privatization advocates may be largely moved by ideology, since the other reasons advanced appear weak or unfounded. The second part discusses the history of Social Security, the purposes for its creation, and some of its economic effects. Differences between public and private pension systems are considered. A brief international comparison of some aspects of public pension system finance and benefit structures is presented. The final section considers the ethical, macroeconomic and distributional implications of privatization, prefunding and payroll tax funding, and argues for a pay as you go system financed with income taxes. In order to promote equity, economic security, community, and social cohesion, public pension systems should be universal in coverage. In order to reduce the inequality, income insecurity, and aged poverty generated by market economies, public pension systems ought to be progressive: benefit/contribution ratios should be inversely proportional to income, and progressive income taxes should finance the system. To promote economic growth, the systems should be financed on a pay-as-you-go basis, and should not be prefunded except for an emergency reserve. The fiscal policy recommendations partially depend upon the theory developed by Abba Lerner in the 1940s, and recently advanced by Wynne Godley and Randy Wray: Lerner's “principle of functional finance.”     

John Stuart Mill's Theory Of Justice

John Stuart Mill has traditionally been portrayed as self-contradictory and failing to construct a unified social theory. Recent scholarship, however, has challenged this view, finding Mill's work to be creatively synthetic in bridging the antinomies inherent in liberal democratic thought. This revisionist interpretation of Mill is advanced by an understanding of his theory of justice and its role in shaping his policy positions on issues such as welfare, education, voting rights, property rights, taxation, government intervention, and the future of capitalism.     

A Rich Vein for “Reality Mining”北大核心CSSCISSCI

Arik Hesseldahl In the aftermath of the September 11 attacks, U.S. officials quickly turned their attention to other potential targets, including California's Golden Gate Bridge. What would happen if terrorists took down the bridge between San Francisco and Marin County? How much of the region would be affected and for how long?     

Perspective on the Economic Evolution of the European Union States Under the Impact of the Pandemic and Financial-Economic Crisis

The European Union,which is at the beginning of its term of office for all Member States in the European Parliament,the European Commission,its governing body a...     

中国养活自己能力的长期预测:技术和政策分析

中国拥有世界五分之一强的人口 ,收入又在迅速增长。因此 ,国际上很自然地会考虑或推测她在今后的几十年是否有能力养活自己。中国的人口预计将从 2 0 0 0年的 1 2 8亿增长到 2 0 2 0年的 1 4 6亿 ,和 2 0 3 0年的 1 4 9亿。与此同时 ,人均收入的增长将导致对家畜和鱼类产品更大的需求 ,因而对饲料的需求也将有很大的增长     

Interest on reserves and inflation

The payment of interest on reserves has been a common practice in inflationary economies. This policy may seem paradoxical since it involves returning part of the seigniorage, generated by the inflation process, with the intention to finance the fiscal deficit. This paper argues that the motivation for this policy can be captured by the discretionary regime, where the policymaker pays interest on reserves because he is concerned with the erosion of real liquidity by inflation, which is in part beyond his control. However, this policy is an unlikely outcome in the commitment regime, where the policymaker is in full control of inflation.     

John Stuart Mill's Theories of Wealth and Income Distribution

Although he was much influenced by David Ricardo when he wrote the classical part of his Principles , John Stuart Mill was not a Ricardian when he penned his theories of wealth and distribution. They are based on a triple foundation. First, a belief that economics is a moral discipline. Second a theory of custom-driven human behavior. Third, an empirically formed conviction that the institutions of state, education and business cooperate to structure the distribution of income. On the basis of these presuppositions, Mill formulated 1) an institutional theory of the formation of human and non-human wealth and 2) an even more institutional theory of distribution demonstrating how the aforementioned institutions malignantly skew the distribution of income to the advantage of the propertied classes and to the extreme disadvantage of the working class. As a social economist, Mill recommended institutional reforms designed to eradicate the poverty of the working class.     

Forecasting the price of gold

This article seeks to evaluate the appropriateness of a variety of existing forecasting techniques (17 methods) at providing accurate and statistically significant forecasts for gold price. We report the results from the nine most competitive techniques. Special consideration is given to the ability of these techniques to provide forecasts which outperforms the random walk (RW) as we noticed that certain multivariate models (which included prices of silver, platinum, palladium and rhodium, besides gold) were also unable to outperform the RW in this case. Interestingly, the results show that none of the forecasting techniques are able to outperform the RW at horizons of 1 and 9 steps ahead, and on average, the exponential smoothing model is seen providing the best forecasts in terms of the lowest root mean squared error over the 24-month forecasting horizons. Moreover, we find that the univariate models used in this article are able to outperform the Bayesian autoregression and Bayesian vector autoregressive models, with exponential smoothing reporting statistically significant results in comparison with the former models, and classical autoregressive and the vector autoregressive models in most cases.