CB – Time Dependent Markov Model for Pricing Convertible Bonds

In this paper, we propose what we call the convertible bond (CB) – timedependent Markov model, which prices N given individual convertible bondssimultaneously, and apply it to Japanese convertible bond data. One of themain features of the model is that it makes full use of the correlationstructure of convertible bond prices. The empirical results show that themodel well describes individual prices in the market.     

FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL

We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill‐posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range log volatility. For this object and the nonlimiting object, we obtain precise prediction formulas and we apply them to the problem of forecasting volatility and pricing options with the MRW model in the absence of a reliable estimate of σ and T.     

随机仓库布局问题模型与算法研究

通过讨论随机条件下仓库布局问题．建立了随机仓库布局问题机会约束规划模型，并设计出基于随机模拟的禁忌搜索算法求解模型，最后利用算例来验证算法的有效性。     

Gibbsian and non-Gibbsian states at Eurandom

We review some of the work on non-Gibbsian states of the last 10 years, emphasizing the developments in which Eurandom played a role.     

R软件及其在标准化中的应用

标准化工作中经常需要运用统计方法进行数据收集和分析，但由于统计方法应用的复杂性和专业性，使得方法应用受到了限制。随着统计软件和计算机技术的发展，统计方法应用得到了简单化。文章介绍了一种近年来普及速度非常快的免费应用统计软件——R软件的简单应用，并给出了几个应用实例，便于实际应用者理解和学习。     

Public Debt and Economic Growth in Emerging Market Economies

This paper empirically studies the relationship between public debt and economic growth for selected emerging market economies by performing panel data estimations. The results reveal a statistically significant positive correlation between public debt and the subsequent growth rate of per capita gross domestic product (GDP). Population and investment are also positively correlated with per capita growth, whereas the initial level of real GDP per capita exerts a negative influence on growth, implying conditional convergence. Other variables such as the inflation rate, the trade balance or the exchange rate do not yield a statistically significant effect with respect to economic growth.     

Exploring longitudinal risk‐return relationships

We study a longitudinal fit model of adaptation and its association with the longitudinal risk‐return relationship. The model allows the firm to adjust its position in response to partial learning about a changing environment characterized by two path‐dependent processes—a random walk and a stochastic trend. Computational simulations at low levels of learning in both environmental contexts are consistent with empirical data. However, the results are also consistent when firm behavior appears to be mindless in the form of a random walk. Hence, both imperfect learning and a mindless random walk can lead to the inverse longitudinal risk‐return relationships observed empirically. We discuss this apparent paradox and the possible resolution between mindless and conscious behavior as plausible causes of the longitudinal Bowman Paradox. Copyright © 2014 John Wiley & Sons, Ltd.     

The Dividend Substitution Hypothesis: Australian Evidence

In a perfect capital market firms are indifferent to either dividends or repurchases as payout mechanisms, suggesting that the two payout methods should be perfect substitutes. Empirical research at the single country level, as well as cross country studies, provide evidence that dividends and repurchases act as substitutes (the dividend substitution hypothesis), and that the tax treatment of dividends versus capital gains affects this relation. Australia, which operates under a full dividend imputation system, has two types of repurchases: on‐ and off‐market. On‐market repurchases are taxed as capital gains while off‐market repurchases comprise a large dividend component carrying valuable tax credits. Australia thus provides a natural setting to investigate how the tax treatment of proceeds affects the dividend substitution hypothesis. Dividend substitution is found to exist for on‐market repurchases but not for off‐market repurchases, thus providing further support for the idea that the tax treatment of proceeds affects the substitutability of repurchases and dividends.     

Fundamentals and Exchange Rate Prediction Revisited

This paper measures latent fundamental exchange rates with independent component‐based rates constructed from a cross‐section of exchange rates and then uses their deviations from exchange rates to forecast. Empirical results indicate that the independent component‐based model and its Taylor rule and purchasing power parity augmented models are superior to the random walk in predicting exchange rates. These results are robust to several scenarios and are likely to be observed if the U.S. sources and the recursive scheme are applied. Our results reveal that information regarding the third moment of exchange rate changes is helpful to explain exchange rate movements.     

网络产业的市场结构重组、民营化与网络瓶颈

在传统体制下,电信、电力、铁路运输、管道燃气、自来水等网络产业基本上是由国有企业垄断经营的。因此,以促进竞争为导向的市场结构重组与民营化是这些网络产业改革的两大主题。但网络产业的改革必然凸现网络瓶颈,这要求政府制定与实施有效的接入管制政策。