股票市场收益率波动长记忆性的分解及实证研究

目前股票市场长记忆性检验和建模方法，不能很好地消除短期记忆的影响，针对这一问题，本文提出寻找序列的突变点，通过将序列分解为只包含长记忆性部分和不包含长记忆性部分的序列分解技术，来排除短期记忆的影响。对上证指数和深圳成分指数收益率波动的长记忆性进行实证研究发现，将序列分解以后进行长记忆性检验，不仅可以得出长记忆性检验更为精确的结论，同时可以检验序列分解过程的效果。     

Testing for unit roots in time series models with non-stationary volatility

Many of the key macro-economic and financial variables in developed economies are characterized by permanent volatility shifts. It is known that conventional unit root tests are potentially unreliable in the presence of such behaviour, depending on a particular function (the variance profile) of the underlying volatility process. Somewhat surprisingly then, very little work has been undertaken to develop unit root tests which are robust to the presence of permanent volatility shifts. In this paper we fill this gap in the literature by proposing tests which are valid in the presence of a quite general class of permanent variance changes which includes single and multiple (abrupt and smooth-transition) volatility change processes as special cases. Our solution uses numerical methods to simulate the asymptotic null distribution of the statistics based on a consistent estimate of the variance profile which we also develop. The practitioner is not required to specify a parametric model for volatility. An empirical illustration using producer price inflation series from the Stock–Watson database is reported.     

Restricted maximum likelihood estimation under Eisenhart model Ill

For a balanced two-way mixed model, the maximum likelihood (ML) and restricted ML (REML) estimators of the variance components were obtained and compared under the non-negativity requirements of the variance components by L ee and K apadia (1984). In this note, for a mixed (random blocks) incomplete block model, explicit forms for the REML estimators of variance components are obtained. They are always non-negative and have smaller mean squared error (MSE) than the analysis of variance (AOV) estimators. The asymptotic sampling variances of the maximum likelihood (ML) estimators and the REML estimators are compared and the balanced incomplete block design (BIBD) is considered as a special case. The ML estimators are shown to have smaller asymptotic variances than the REML estimators, but a numerical result in the randomized complete block design (RCBD) demonstrated that the performances of the REML and ML estimators are not much different in the MSE sense.     

欧盟REACH法令对中国化工产品出口的影响分析

欧盟REACH法令的实施将促进我国化学工业的发展,但在短期内会导致我国出口欧盟化工产品和进口化工产品成本上升,降低出口产品竞争力,部分产品甚至退出欧盟市场,其他国家可能纷纷效仿欧盟,引起连锁反应。应对该种技术性壁垒,我国政府和行业协会应加大宣传REACH法令的力度,加快国内相关立法,推进国内实验室的GLP认证工作。另外,化学品生产企业应提高自身产品质量,做好化学品注册的可行性分析和预注册工作。     

序列相关的微观结构噪声估计

基于股票有效价格计算的已实现波动率(Realized Variance)可作为股票收益波动率的估计,且在一定条件下,这一估计是无偏的和一致的。然而实际观测到的价格由于受到市场微观结构导致的噪声的干扰,与有效价格并不一致。因此,在高频数据环境下必须考虑如何降低噪声干扰。本文基于Hansen和Lunde给出的在噪声序列存在相关性假设下的一种关于RV的无偏估计,进一步推导出在此情形下估计噪声方差的方法。我们的估计挖掘了不同频率下的股票交易高频数据所反映出的信息,利用传统的在噪声影响下的有偏RV估计与Hansen和Lunde的无偏RV估计之间的差估计噪声。同时,本文也给出了在实践中如何确定这些频率的方法。     

城镇居民教育收益率的地区差异及其解释

利用中国社会科学院经济研究所"中国城乡居民收入分配"课题组1995年和2002年的家庭抽样调查数据,本文使用分层线性模型重新估计了1995年、2002年我国居民的教育收益率,得到了不同于OLS估计的结果:(1)我国城镇居民教育收益率的地区差异很大,差异主要来源于省内各城市之间,来源于省间的差别并不显著;(2)计算了省内城市劳动力市场化程度对当地教育收益率的边际影响,发现劳动力市场的发育确实有利于提高教育收益率,而且劳动力市场化程度的差异在一定程度上为各地教育收益率的差异提供了解释。     

中国饲料工业期货的价格发现实证研究

本文借助向量自回归模型、协整检验、误差修正模型、方差分解、脉冲响应函数等方法,以中国唯一的饲料工业期货———大连商品交易所豆粕期货品种为例,研究了期货价格与现货价格之间的动态关系,定量刻画了期货市场在价格发现中的作用。研究结果显示:豆粕期货价格与现货价格存在相互引导关系,并且期货与现货价格之间存在长期均衡关系,对豆粕期货来说,期货市场在价格发现功能中起到主导作用。     

The market price of risk of the variance term structure

In this paper I examine the market price of risk of the variance term structure. To this end, the S&P 500 option implied variance term structure is used as a proxy for aggregate variance risk. Principal component analysis shows that time variation in the variance term structure over the 1996–2012 period can be explained mainly by two factors which capture changes in the level and slope. The market price of risk of each factor is estimated in the cross-section of stock returns. The slope of the variance term structure is the most significant factor in the cross-section of stocks returns and carries a negative risk premium. The slope factor has also some predictive ability over long horizon equity returns.     

Variance swaps valuation under non-affine GARCH models and their diffusion limits

In this article, we investigate the pricing and convergence of general non-affine non-Gaussian GARCH-based discretely sampled variance swaps. Explicit solutions for fair strike prices under two different sampling schemes are derived using the extended Girsanov principle as the pricing kernel candidate. Following standard assumptions on time-varying GARCH parameters, we show that these quantities converge respectively to fair strikes of discretely and continuously sampled variance swaps that are constructed based on the weak diffusion limit of the underlying GARCH model. An empirical study which relies on a joint estimation using both historical returns and VIX data indicates that an asymmetric heavier tailed distribution is more appropriate for modelling the GARCH innovations. Finally, we provide several numerical exercises to support our theoretical convergence results in which we further investigate the effect of the quadratic variation approximation for the realized variance, as well as the impact of discrete versus continuous-time modelling of asset returns.     

Business Cycles Synchronisation and Symmetries in the Transition to East African Monetary Union

Our paper explores the prospects for the proposed East African Monetary Union (EAMU) by employing rigorous empirical tools to analyse business cycles synchronisation, structural cross-correlations, spectral decomposition and regional clusters to identify different cyclical episodes, periodicities and characterise the economic cycles of East African countries. We find that cyclical movements reflect various idiosyncratic, common, historical and external shocks in the region. Secondly, all countries appear to be structurally correlated with each other except for South Sudan and Burundi. Our results also observe that the contemporaneous co-movements of East African Community (EAC) cycles with those of Kenya and Tanzaniaare procyclical with coincidental path shift, while the same EAC cycles appear to be acyclical with those of Burundi. Additionally, from the spectral decomposition, Kenyan cycles take 10 years to complete, while those of Tanzania and Rwanda take 8 years. Ugandan and Burundian cycles take approximately 5 years, while the cyclical frequency for South Sudan corresponds to 3.3 years. Finally, the cluster characterisation of countries reveals that South Sudan, Burundi and Rwanda form a group, while Kenya and Tanzania from a group distinct from the rest. We urge the member countries to prioritise policies on regional risk-sharing and adjustment mechanisms, in addition to establishing credible institutional infrastructure that ensures surveillance and enforcement of convergence conditions adopted in EAMU protocol.