Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube

We propose a novel time-changed Lévy LIBOR (London Interbank Offered Rate) market model for jointly pricing of caps and swaptions. The time changes are split into three components. The first component allows matching the volatility term structure, the second generates stochastic volatility, and the third accommodates for stochastic skew. The parsimonious model is flexible enough to accommodate the behavior of both caps and swaptions. For the joint estimation we use a comprehensive data set spanning the financial crisis of 2007–2010. We find that, even during this period, neither market is as fragmented as suggested by the previous literature.     

Stochastic volatility: A tale of co-jumps,non-normality,GMM and high frequency data

In this article we introduce a linear–quadratic volatility model with co-jumps and show how to calibrate this model to a rich dataset. We apply GMM and more specifically match the moments of realized power and multi-power variations, which are obtained from high-frequency stock market data. Our model incorporates two salient features: the setting of simultaneous jumps in both return process and volatility process and the superposition structure of a continuous linear–quadratic volatility process and a Lévy-driven Ornstein–Uhlenbeck process. We compare the quality of fit for several models, and show that our model outperforms the conventional jump diffusion or Bates model. Besides that, we find evidence that the jump sizes are not normally distributed and that our model performs best when the distribution of jump-sizes is only specified through certain (co-) moment conditions. Monte Carlo experiments are employed to confirm this.     

确权、交易、资产化：对大数据转为生产要素基础理论问题的再思考

大数据是数字经济的基础性、战略性资源，是后疫情时代经济发展的重要生产要素，但社会各界对大数据的理论认知仍落后于其应用实践，而且大数据确权、交易定价、资产化问题也存在诸多争议，这对大数据产业和数字经济的持续健康发展形成潜在隐患，也成为制约大数据向生产要素正常转化并参与社会大生产的关键。文章在对大数据概念、属性重新认识的基础上，综合财经、法律等理论观点和实操技巧，阐述了大数据如何从商品流通要素演变为社会生产要素的市场逻辑以及使用价值如何注入大数据的资产化过程，并从实践视角提出大数据确权的法理基础和大数据交易所生态下交易定价模型。同时提出以数据税来弥补大数据采集环节个人和企业放弃的小微权利，将私权转化为社会公共产品，为大数据产业和要素市场发展提供新的借鉴。     

盐城市水资源承载状态预警研究

在分析水资源承载状态预警概念的基础上,引入"三类六级"预警思想,采用可变模糊法和层次分析法的思想,构建盐城市水资源承载状态综合预警指标体系,评价盐城市2015年、2020年和2030年的水资源承载状态,并结合各年份承载状态变化趋势,对未来年份进行预警。结果表明:盐城市2015年水资源处于临界超载的状态,但随着"关于做好建立全国水资源承载能力监测预警机制工作的通知"等一系列措施的实施,2020年、2030年承载状态将逐步好转,到2030年将处于可载的状态。     

基于社会责任视角的我国非营利组织网站测评研究

在互联网环境下，非营利组织纷纷建设门户网站加强与社会大众以及各利益相关方的沟通联系。随着非营利组织社会责任考量的日益重要，但目前对非营利组织通过网站履行社会责任的可行性评估一直处于空白状态，基于该视角，对中国17家最具有代表性的中国非营利组织进行了为期24天的网站检测，通过层次分析法对网站数据计算分析并进行网站排名。测评结果显示，目前中国优秀非营利组织在职能责任方面，依然存在网站更新频率低，活动相关性不足等问题，网站建设和运营方面仍有很大完善空间。     

Green technology innovation: Anatomy of exploration processes from a learning perspective

This paper examines how established firms use their core competences to diversify their business by exploring and ultimately developing green technologies. In contrast to start‐ups dedicated to a green mission, diversifying into green markets by developing new products based on existing core competences has proven to be challenging. This is because the exploration processes to find a match between green technology opportunities and internal competences is complex and new to most established firms. This paper gains insights into exploration processes for green technologies and the learning modes and outcomes linked to these processes. We examined exploration processes at the microlevel in an embedded case study of an engineering firm using a combination of the “fireworks” innovation process model and organizational learning theory. First, we found that developing green technologies involves a long‐term exploratory process without guarantee of (quick) success and likely involves many exploration failures. Second, as exploration unfolds along multiple technology trajectories, learning occurs in individual exploration paths (on‐path), when new paths are pursued (path‐initiation), and when knowledge from one path is spilled over to subsequent paths (across‐paths). Third, to increase their chances for success, firms can increase the efficiency of exploration by fostering a failure‐friendly organizational culture, deliberately experimenting, and purposefully learning from failures.     

契约型农产品营销渠道治理过程研究：收购商管理控制的中介作用

文章以渠道治理和管理控制理论为基础，从交易关系发展过程的视角，将管理控制作为渠道治理的过程机制，重点考察其在保障契约机制有效执行过程中的中介作用以及农户专有资产净投入对契约完备性与管理控制之间关系的调节影响。通过对来自参与订单农业的217份的农户调查数据进行分析发现：收购商的三种管理控制方式（结果控制、过程控制和能力控制）在契约完备性对农户绩效的提升过程中起到中介作用，过程控制也在契约完备性抑制农户投机行为的过程中起到中介作用。同时，研究证实了农户专有资产净投入高时，削弱了契约完备性对三种管理控制正向影响。     

Turning green subsidies into sustainability: How green process innovation improves firms' green image

Green process innovation has been seen as a key strategy for manufacturing firms to pursue sustainable development. Yet, how to help manufacturing firms eliminate bottlenecks when implementing green process innovation remains poorly understood. To address this issue, the current study, which is anchored in the government incentive perspective, examines the drivers, contingent conditions, and consequences of green process innovation by using the panel data of manufacturing‐listed firms in China from 2013 to 2017. The results present valuable findings: (a) green subsidies are positively related to two dimensions of green process innovation, namely, cleaner production technology and end‐of‐pipe technology; (b) both cleaner production technology and end‐of‐pipe technology are positively related to firms' green image; (c) a firm's cleaner production technology mediates the relationship between green subsidies and its green image; and (d) higher absorptive capacity strengthens the indirect effect of green subsidies on a firm's green image via cleaner production technology. Our results provide meaningful theoretical and practical implications by revealing the benefits of green subsidies through green process innovation by leveraging levels of absorptive capacity.     

Steady state adjusting trends using a data-driven local polynomial regression

Economic variables usually follow a dynamic trend pattern. However, it is difficult to estimate this trend precisely as numerous economically- and statistically-based estimation methods exist. This contribution proposes a data-driven nonparametric trend that is local polynomial, to improve arbitrary trend estimations of commonly used methods concerning the selection of the smoothing parameter and the dependence structure. An iterative plug-in (IPI) algorithm determines the bandwidth endogenously and allows a theory-based interpretation of the length of growth processes. This length of the bandwidth reflects the lengths of the steady state periods. Consequently, the bandwidth identifies the time period of stable economic conditions and can detect economic changes. To demonstrate the power of this estimation approach, an extensive simulation study is performed. Furthermore, examples using US and UK GDP data along with a guide for the optimal choice of algorithms for empirical applications are provided. This proposed method yields new insights for growth dynamics, cyclical movements and their dependence.     

国有资本经营预算能够提高地方国有企业投资效率吗？

以A股地方国有上市公司为研究对象，从投资效率的角度考察国有资本经营预算制度的实施效果，并进一步检验其对企业价值的影响。研究发现，国有资本经营预算能够显著抑制地方国有企业的非效率投资，尤其是抑制过度投资行为,并且这种影响对处于市场化程度较低地区的地方国有企业更加显著。进一步研究发现，国有资本经营预算能够通过抑制非效率投资来促进地方国有企业价值的提升。