Estimation of hedonic price functions via additive nonparametric regression

We model a hedonic price function for housing as an additive nonparametric regression. Estimation is done via a backfitting procedure in combination with a local polynomial estimator. It avoids the pitfalls of an unrestricted nonparametric estimator, such as slow convergence rates and the curse of dimensionality. Bandwidths are chosen using a novel plug in method that minimizes the asymptotic mean average squared error (AMASE) of the regression. We compare our results to alternative parametric models and find evidence of the superiority of our nonparametric model. From an empirical perspective our study is interesting in that the effects on housing prices of a series of environmental characteristics are modeled in the regression. We find these characteristics to be important in the determination of housing prices.First version received: October 2002/Final version received: October 2003We thank B. Baltagi and two anonymous referees for their comments. The authors retain responsibility for any remaining errors.     

Functional-coefficient cointegration models

This paper studies estimation and inference of functional coefficient cointegration models. The proposed model offers a more flexible structure of cointegration where the value of cointegrating coefficients may be affected by informative covariates and thus may vary over time. The model may be viewed as a stochastic cointegration model and includes the conventional cointegration model as a special case. The proposed new model provides a useful complement to the conventional fixed coefficient cointegration models. Both kernel and local polynomial estimators are investigated. Inference procedures for instability of cointegrating parameters and a test for cointegration are proposed based on the functional-coefficient estimates. Limiting distributions of the estimates and testing statistics are derived.     

Maturity cycles in implied volatility

The skew effect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset. Here we study the performance of the calibration of the S&P 500 implied volatility surface using the asymptotic pricing theory under fast mean-reverting stochastic volatility described in [8]. The time-variation of the fitted skew-slope parameter shows a periodic behaviour that depends on the option maturity dates in the future, which are known in advance. By extending the mathematical analysis to incorporate model parameters which are time-varying, we show this behaviour can be explained in a manner consistent with a large model class for the underlying price dynamics with time-periodic volatility coefficients.Received: December 2003, Mathematics Subject Classification (2000): 91B70, 60F05, 60H30JEL Classification: C13, G13Jean-Pierre Fouque: Work partially supported by NSF grant DMS-0071744.Ronnie Sircar: Work supported by NSF grant DMS-0090067. We are grateful to Peter Thurston for research assistance.We thank a referee for his/her comments which improved the paper.     

微波溶解-氢化物发生原子荧光光谱法测定氟石中的砷和汞

研究了用微波溶解试样、氢化物发生原子荧光光谱法测定氟石中砷和汞的方法。探讨了试样的溶解条件、测定仪器条件、砷浓度过高时的预警与处理、硼氢化钾还原剂浓度对汞测定的影响及优化等。方法检出限0．076ng／mL（As）,0．007ng／mL（Hg）,线性范围3．6-36ng／mL（As）,0．2～1．2ng／mL（Hg）,回收率105．4％～110．2％（As）,100．3％～103．2％（Hg）。     

Employee ambidexterity,high performance work systems and innovative work behaviour: How much balance do we need?

Abstract

This study examines whether and how innovative work behaviour is related to explorative and exploitative activities. Polynomial regression analyses are used to test the relationship between ambidexterity (being engaged in explorative and exploitative activities in equal amounts) and innovative work behaviour, as well as between specialisation (being engaged in either explorative or exploitative activities) and innovative work behaviour. Furthermore, we use moderated polynomial regression analyses to examine a possible moderating effect of high-performance work systems (HPWS) on these relationships. Results indicate that balance at a high level, as well as specialisation, are conducive to innovative work behaviour. A moderating effect of HPWS was not supported by our data.     

International stock return predictability: on the role of the United States in bad and good times

In this article, we document the asymmetric role that the US stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions, there is only a limited evidence supporting the importance of lagged US returns in predictability of stock returns in 10 industrialized countries.     

Orthogonal expansions for VIX options under affine jump diffusions

In this work we derive new closed-form pricing formulas for VIX options in the jump-diffusion SVJJ model proposed by Duffie et al. [Econometrica, 2000, 68, 1343–1376]. Our approach is based on the classic methodology of approximating a density function with an orthogonal expansion of polynomials weighted by a kernel. Orthogonal expansions based on the Gaussian distribution, such as Edgeworth or Gram–Charlier expansions, have been successfully employed by a number of authors in the context of equity options. However, these expansions are not quite suitable for volatility or variance densities as they inherently assign positive mass to the negative real line. Here we approximate option prices via expansions that instead are based on kernels defined on the positive real line. Specifically, we consider a flexible family of distributions, which generalizes the gamma kernel associated with the classic Laguerre expansions. The method can be employed whenever the moments of the underlying variance distribution are known. It provides fast and accurate price computations, and therefore it represents a valid and possibly more robust alternative to pricing techniques based on Fourier transform inversions.     

基于压缩感知的卫星干扰源定位

针对传统测向方法实际应用性能较差的问题,提出了一种基于压缩感知的卫星干扰源定位方法。根据干扰信号方位角的空间稀疏性,建立了波达方向(DOA)估计模型,构造出基于阵列流型的过完备原子库和随机单位向量测量矩阵,最后结合信源估计技术和正交匹配追踪（OMP）算法实现干扰目标的方位估计。仿真验证了该方法能同时估计相干干扰信号的强度和角度,适合快速变化的干扰目标定位,并且具有较低的计算复杂度和更好的工程易用性。相关研究对压缩感知理论在卫星干扰源定位中的应用具有一定参考意义。     

基于压缩感知的直扩通信多音干扰抑制

针对直扩通信多音干扰抑制算法应用受限于采样率较高的问题,在分别构建信号和干扰稀疏字典的基础上,利用正交匹配追踪算法,设计了一种压缩域直扩通信多音干扰抑制算法,并通过理论分析和计算机仿真验证了算法的有效性。仿真结果表明,在已知干扰稀疏度的条件下,该方法能够有效抑制多音干扰,干扰抑制效果不随干扰数量、干扰强度变化而变化,在压缩率为1/2、干信比为20 dB的条件下重构信号与加性高斯白噪声信道中传输信号解调性能相比只有约5 dB的信噪比损失。这将为在多音干扰条件下压缩采样后直扩信号的重构提供一种有效方法。     

多倍角三角函数展开式的一组有趣的性质

笔者发现同类的奇倍角三角函数展开式形式上具有异常的相似性。本文中对此给出严格的数学证明,并通过几道数学问题说明了此性质的应用方法。