An information-theoretic approach for forecasting interval-valued SP500 daily returns

We develop an iterative and efficient information-theoretic estimator for forecasting interval-valued data, and use our estimator to forecast the SP500 returns up to five days ahead using moving windows. Our forecasts are based on 13 years of data. We show that our estimator is superior to its competitors under all of the common criteria that are used to evaluate forecasts of interval data. Our approach differs from other methods that are used to forecast interval data in two major ways. First, rather than applying the more traditional methods that use only certain moments of the intervals in the estimation process, our estimator uses the complete sample information. Second, our method simultaneously selects the model (or models) and infers the model’s parameters. It is an iterative approach that imposes minimal structure and statistical assumptions.     

Forecasting value at risk and expected shortfall with mixed data sampling

I propose applying the Mixed Data Sampling (MIDAS) framework to forecast Value at Risk (VaR) and Expected shortfall (ES). The new methods exploit the serial dependence on short-horizon returns to directly forecast the tail dynamics of the desired horizon. I perform a comprehensive comparison of out-of-sample VaR and ES forecasts with established models for a wide range of financial assets and backtests. The MIDAS-based models significantly outperform traditional GARCH-based forecasts and alternative conditional quantile specifications, especially in terms of multi-day forecast horizons. My analysis advocates models that feature asymmetric conditional quantiles and the use of the Asymmetric Laplace density to jointly estimate VaR and ES.     

外商直接投资、区域创新与城市化发展研究

基于2000—2017年省际面板数据,运用静态面板与门限面板模型,通过建立以政府干预、市场化进程为门限变量的回归模型,实证分析了外商直接投资与区域创新对我国城市化发展的影响。研究结果表明:外商直接投资、区域创新对城市化发展有积极的带动作用,同时,外商直接投资对区域创新的作用由替代效应向互补效应转变;政府干预对外商直接投资存在双重门限效应,对区域创新存在单一门限效应;市场化对外商直接投资存在单一门限效应,但对区域创新存在双重门限效应。基于以上结论,进一步提出促进城市化发展的建议。     

网络强度、组织冗余与创新模式——对200家样本企业问卷调研数据的实证检验

通过社会网络带来资源冗余进而对创新选择产生影响，这一机制已成为当今企业可持续发展的重要路径。运用200份企业样本调研数据，对网络强度、不同类型组织冗余及两种创新模式进行实证检验，结果发现，网络强度显著正向直接影响利用式创新和探索式创新;网络强度还通过正向影响未吸收冗余对两种创新产生正向间接影响作用;未吸收冗余与创新模式间具有显著正向影响关系,而吸收冗余在三者影响路径关系中检验结果不显著，可能是受企业自身因素或条件影响所致。最后，根据研究结论提出3点重要管理启示。     

产军协同、政府科技支持与技术创新效率研究

运用空间数据分析方法，检验产军协同、政府科技支持与技术创新效率在我国省域间的分布格局。研究表明，三者均存在显著的正向空间相关性，即正向空间溢出效应，并且在不同地区形成局部空间集聚，存在高低非均衡的“俱乐部”现象。基于空间误差模型和空间滞后模型，实证检验产军协同、政府科技支持对技术创新效率的影响。结果发现，从全国和分地区看，产军协同、政府科技支持均能够显著促进技术创新效率提升，并且二者存在显著的交互作用，能够发挥彼此间的互补效应，进一步促进技术创新效率提升；不同地区产军协同、政府科技支持对技术创新效率的影响程度存在较大差异，西部地区产军协同、政府科技支持对技术创新效率的促进作用比东部和中部地区显著。     

Population ageing and inflation with endogenous money creation

This paper models a mechanism through which population ageing may induce a deflationary process. We propose an overlapping-generations model (OLG) with money created by credits (inside money) and intergenerational trade. The model links demographic factors, such as fertility rates and longevity, to prices. We show that lower fertility rates lead to smaller demand for credit and lower money creation, which in turn cause a decline in prices. Changes in longevity affect prices through real savings and the capital market. Furthermore, a few links between interest rates and inflation are addressed; they arise in the general equilibrium and are not thoroughly discussed in literature. Long-run results are derived analytically; short-run dynamics are simulated numerically.     

创业企业何以提高创新绩效——基于创业学习与商业模式创新协同联动视角的QCA方法

以150个创业企业为样本，基于创业学习和商业模式创新理论，运用模糊集定性比较分析方法（fsQCA），探究经验学习、认知学习、新颖型商业模式创新和效率型商业模式创新对创新绩效的影响路径及机制。研究发现，存在新颖型商业模式创新等4条创新绩效产出关键路径；相较于效率型商业模式创新，新颖型商业模式创新在关键路径中更容易提高创新绩效；利用QCA方法证实了影响创业企业创新绩效的组态内部各要素之间的替代性。结论丰富了创新绩效产出内部机制，可为创业企业提高创新绩效提供指导和借鉴。     

基于CE模型的河南省耕地生态补偿额度研究

[目的]基于生态补偿利益主体的需求和支付意愿,充分考虑区域经济发展状态,测算具有弹性的生态补偿标准,确保生态补偿机制顺利运行。[方法]以河南省457份实地调查问卷为基础,采用选择实验法,建立由4个属性水平、7个选择集组成的生态价值属性集,测算受访对象生态补偿的支付意愿。[结果]城乡居民对于耕地资源景观与生态环境关注度最高,其次是耕地质量和耕地面积;农民和市民对于耕地生态价值属性满足的支付意愿存在显著差异性,农民支付意愿为2 060.55元/hm~2,市民支付意愿为3 396.15元/hm~2,两者相差近1 335.60元/hm~2,收入水平、环保意识是影响受访对象生态补偿支付意愿的最直接因素,但两者均认为耕地面积不变、耕地质量改善和耕地景观生态环境改善为最优选择。[结论]补偿额度应充分考虑相关利益主体的支付能力和意愿,将农民的支付意愿作为生态补偿下限,市民的支付意愿作为生态补偿上限,可建立具有一定弹性的生态补偿机制。     

Antecedents of the propensity to learn management practices and their impacts on firm outcomes in emerging markets: A Bayesian Model Averaging approach

This article explores the factors that motivate firms to learn new management practices. The hypotheses are empirically tested using a representative sample of 3676 small, medium and large firms from four South Asian countries and across all main sectors of economic activity. Given that we know little about the antecedents of the propensity to learn management practices in emerging markets, the study employs Bayesian Model Averaging approach to overcome the potential issue of model uncertainty. The results reveal that market competition, resource allocation towards internal and external R&D, good quality mobile network coverage and the use of external certified financial auditors have all positive and significant effects on the propensity to learn management practices. The results also suggest that private intellectual property rights protection in the context of inefficient legal systems can deter firms from learning, perhaps in fear of legal ramifications. Finally, the study shows that firms with a higher propensity of learning management practices are more likely to become profitable while exhibiting higher levels of both potential and actual innovation.     

Feeling hungry? let's order through mobile! examining the fast food mobile commerce in China

This study proposes a unique framework that aids to enrich online shopping experience (psychological and monetary gains) and accelerates fast food mobile commerce (m-commerce). The extended technology acceptance model (TAM) is applied while the stimulus–organism–response (S–O–R) paradigm served as the predominant framework combined with the acquisition-transaction utility theory. This study investigates the mobile website quality, website brand equity (stimulus) influence on (PEOU) and (PU) (organism) to predict Chinese consumer intention to use fast food mobile commerce (response). A total of 936 respondents were participated while data were collected using a convenience sampling technique in China. Results reveal that all dimensions of mobile WQ (i.e., service quality, system quality, and information quality) and Website BE (i.e., brand image, perceived quality, brand association, and brand loyalty) (stimulus) significantly substantially influence PEOU and PU (organism) toward the acceptance of online fast food shopping (response). Digital Coupon Proneness (an accelerator) substantially moderates the relationship between PEOU, PU, and intention to use fast food m-commerce. Based on the assumptions of acquisition-transaction utility theory, category-specific (fast food) digital coupon proneness increase m-commerce for online fast food buying– a novel contribution of the study. Furthermore, research provides unique managerial insights for the industry to utilize the maximum potential of m-commerce in the fast-food industry.