On the source of contrarian and momentum strategies in the Italian equity market

This paper investigates the source of momentum profits, while inferring the validity of the assumptions underlying rational and behavioural theories. Using a unique sample of securities listed in the Italian Stock Exchange from 1950 to 1995, we observe that buying better performing stocks in the previous 3-12 months and selling worse performing stocks over the same period yields significant profits in the short term (less than 1 year). Results also hold when conditioned upon different risk specifications. On the other hand, the continuation effect seems to significantly revert over a longer period. More importantly, in contrast with Conrad and Kaul [Rev. Financ. Stud. 11 (1998) 489], bootstrap and Monte Carlo simulations show that momentum profits are more likely to be generated by stock returns time series properties rather than by their cross-sectional differences. While the overall findings cannot reject the market efficiency hypothesis, we argue that behavioural theory may be a possible “story” to interpret the continuation effect.     

A system approach for measuring the euro area NAIRU

This paper addresses the issue of measuring the NAIRU for the euro area and assessing the robustness and precision of the obtained estimates. The empirical framework adopted is based on systems combining an Okun-type relationship between cyclical unemployment and the output gap with a Phillips curve and stochastic laws of motion for the NAIRU and potential output. Such systems have been estimated using Kalman-filter techniques. The results obtained point to an estimate of the area-wide NAIRU that is robust to changes in the underlying models. This robustness is shown to hold both in terms of the mean – i.e., the shape of the resulting NAIRU – and the variance of the process. The latter is derived through bootstrap exercises using the models alone or pooled together. The evidence found suggests that the increase in the aggregate NAIRU that took place in the early part of the sample period has come to a halt and may be about to be reversed.Jel classification: C11, C15, E31, E32The opinions expressed in this paper are those of the authors and do not necessarily reflect the views of the Institutions they belong to. The authors are grateful to Per Jansson for providing parts of the econometric RATS code and to Gonzalo Camba-Mendez and Frank Smets of the ECB for useful comments. Comments and recommendations by two anonimous referees are also gratefully acnowledged. All the remaining errors are the authors responsibility. All correspondence to Ricardo Mestre.First version received: January 2002/Final version received December 2002     

卫星稀疏信道中频谱空穴的新型检测算法

面对宽带移动卫星通信中信道占用呈现的稀疏状态和时而存在的稀疏干扰,以低速率 采样和运算是简化设备的必要途径。针对宽带频谱范围内稀疏信道信号和干扰信号的检测, 提出了一种用于直接估计频谱空穴的压缩采样算法,以低速率对信号进行采样,通过相 关向量机进行迭代优化,给出检测估计值。该算法基于最大似然贝叶斯估计,具有良好的抗 噪性能,同时能够降低设备复杂度。仿真结果表明,其抗噪性能明显好于CVX方法而略逊于理 想情况,而前端随机序列的相关性是影响检测性能的重要因素。     

Bootstrapping the Malmquist indexes for Italian airports

This paper uses data envelopment analysis to assess the operational performance of 28 Italian airports during the period of 2000 through 2006. Recent developments in bootstrapping techniques are used to correct total factor productivity estimates for bias and to assess the uncertainty surrounding such estimates. This study found that the Italian airport industry experienced a significant technological regress, with few airports achieving an increase in productivity led by improvements in efficiency. Moreover, the paper shows that the form of ownership (public majority vs. private majority) of an airport management company does not significantly affect performance. In contrast, this type of the concession agreement has positive and significant effects on airport productivity. Finally, the paper highlights the existence of a productivity gap between airports located in the North-Central part of the country and those located in the south.     

流域综合管理认知度的量化调查和层级差异分析——以长江流域为例

长江流域自然条件复杂,经济发展不均衡,长期的资源消耗和环境污染,使流域管理面临体制、机制、形式、方法、手段等种种挑战,流域综合管理是公认的改革方向。从法律法规、协调机制、信息共享、公众参与4个角度观察长江流域的管理现状,收集原始信息,采用定量分析,剖析国家、省、流域3个层面的认知差异,分析结果可为辨识流域管理的薄弱环节及选择改革的突破点提供量化支撑。     

农作物面积空间抽样调查研究进展

农作物面积信息对于准确估计农作物产量、制定农业政策和确保国家粮食安全具有重要意义。该文主要总结了国内外农作物面积空间抽样调查方法,主要回顾了美国、欧盟和中国的农作物面积空间抽样调查的发展历程。该文还预测了农作物面积空间抽样调查的发展趋势,希望能对农作物面积调查的研究和应用提供指导。     

货币国际化影响因素与作用机制的实证分析

本文在利用国际货币的三大职能全面衡量货币国际化程度的基础上,采用GMM识别货币国际化的影响因素,进而借助自举法的面板Granger因果检验探究货币国际化与其显著影响因素间的相互作用机制。研究发现,货币国际地位的提升在某个阶段可能以某一职能发挥为主,不同阶段的政策着力点应该不同;货币国际化与其影响因素间存在双向因果关系,主导性国际货币对发行国经济因素的影响更为明显;长期来看,人民币国际化成果可以为我国经济增长和金融发展服务。     

Non-parametric and parametric bootstrap techniques for age-to-age development factor methods in stochastic claims reserving

In the literature, one of the main objects of stochastic claims reserving is to find models underlying the chain-ladder method in order to analyze the variability of the outstanding claims, either analytically or by bootstrapping. In bootstrapping these models are used to find a full predictive distribution of the claims reserve, even though there is a long tradition of actuaries calculating the reserve estimate according to more complex algorithms than the chain-ladder, without explicit reference to an underlying model. In this paper we investigate existing bootstrap techniques and suggest two alternative bootstrap procedures, one non-parametric and one parametric, by which the predictive distribution of the claims reserve can be found for other age-to-age development factor methods than the chain-ladder, using some rather mild model assumptions. For illustration, the procedures are applied to three different development triangles.     

Model-driven statistical arbitrage on LETF option markets

In this paper, we study the statistical properties of the moneyness scaling transformation, which adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which indicate that the implied volatility smiles are statistically different after moneyness scaling has been performed. An empirical application shows that there are trading opportunities possible on the LETF market. A statistical arbitrage type strategy based on a dynamic semiparametric factor model is presented. This strategy presents a statistical decision algorithm which generates trade recommendations based on comparison of model and observed LETF implied volatility surface. It is shown to generate positive returns with a high probability. Extensive econometric analysis of the LETF implied volatility process is performed including out-of-sample forecasting based on a semiparametric factor model and a uniform confidence bands' study. These provide new insights into the latent dynamics of the implied volatility surface. We also incorporate Heston stochastic volatility into the moneyness scaling method for better tractability of the model.