Improving Markov switching models using realized variance

This paper proposes a class of models that jointly model returns and ex post variance measures under a Markov switching framework. Both univariate and multivariate return versions of the model are introduced. Estimation can be conducted under a fixed dimension state space or an infinite one. The proposed models can be seen as nonlinear common factor models subject to Markov switching and are able to exploit the information content in both returns and ex post volatility measures. Applications to equity returns compare the proposed models to existing alternatives. The empirical results show that the joint models improve density forecasts for returns and point predictions of return variance. Using the information in ex post volatility measures can increase the precision of parameter estimates, sharpen the inference on the latent state variable, and improve portfolio decisions.     

Search query formation by strategic consumers

Quantitative Marketing and Economics - Submitting queries to search engines has become a major way for consumers to search for information and products. The massive amount of search query data...     

Research on a stock-matching trading strategy based on bi-objective optimization

In recent years, with strict domestic financial supervision and other policy-oriented factors, some products are becoming increasingly restricted, including nonstandard products, bank-guaranteed wealth management products, and other products that can provide investors with a more stable income. Pairs trading, a type of stable strategy that has proved efficient in many financial markets worldwide, has become the focus of investors. Based on the traditional Gatev–Goetzmann–Rouwenhorst (GGR, Gatev et al., 2006) strategy, this paper proposes a stock-matching strategy based on bi-objective quadratic programming with quadratic constraints (BQQ) model. Under the condition of ensuring a long-term equilibrium between pairedstock prices, the volatility of stock spreads is increased as much as possible, improving the profitability of the strategy. To verify the effectiveness of the strategy, we use the natural logs of the daily stock market indices in Shanghai. The GGR model and the BQQ model proposed in this paper are back-tested and compared. The results show that the BQQ model can achieve a higher rate of returns.     

江苏省科技金融发展现状与对策分析

科技金融是一个互动的概念,科技金融的发展是以保持经济高速持续增长为目的。在当前以建设创新型国家为总体战略的目标之下,科技与金融的有机结合还存在着一些问题。在研究和调查了近年来江苏省科技金融的发展现状之后,提出存在的问题及解决途径。     

深度休闲对主观幸福感的影响研究——以苏南地区城市居民为例

深度休闲对优化苏南地区休闲产业建设,进一步提升居民休闲生活质量有重要影响。文章通过问卷调查的方式收集苏南地区城市居民深度休闲行为的数据,研究苏南地区城市居民深度休闲行为特征及深度休闲对主观幸福感的影响。结果发现:(1)苏南地区城市居民进行深度休闲活动的场所主要为户外;(2)闲暇时间不足是限制苏南地区城市居民进行深度休闲活动的主要因素;(3)苏南地区城市居民的深度休闲活动总体程度不高,愿意在深度休闲活动上投入大量时间和金钱的人更是少数;(4)苏南地区城市居民从事深度休闲活动产生的强烈认同感和坚持不懈的毅力对主观幸福感有着显著的积极影响。     

创业者网络管理能力与创业机会识别及开发——一个有调节的中介模型

随着我国经济新常态迈向新阶段，社会网络对科技型初创企业创业者的作用愈加重要。由此，提出一个创业者网络管理能力（ENMC）模型，该模型涉及创业者在规划、构建和维持社会网络中的角色，通过创业网络质量的中介作用进一步与创业机会识别、开发相关。借鉴关系生成、公司网络管理以及社会能力理论，构建创业者网络管理能力三维结构模型：网络规划能力（NPC）、网络构建能力（NSC）以及网络维持能力（NMC）。最后，实证检验环境动态性正向调节创业网络质量在创业者网络管理能力对创业机会识别与开发关系的中介作用，发现相比弱环境动态性，强环境动态性条件下，创业者网络管理能力通过创业网络质量对创业机会识别与开发的影响更大。     

中关村科技园区创新质量的时空集聚效应研究

创新作为中关村科技园区的基本属性，创新质量决定了中关村科技园区发展质量。科技园区促进区域产业集聚，集聚显著影响科技园区创新，但缺乏对“一区多园”创新质量的综合集聚效应研究。由此，建立中关村科技园区创新质量指标体系，在分析中关村科技园区3种集聚模式的基础上，建立集聚模式对创新质量影响的动态空间面板模型；以2006—2017年中关村科技园区等相关数据为基础，研究不同集聚模式与创新质量的时空效应并对其进行分解分析。结果表明，中关村科技园区创新质量呈现显著时间循环效应和空间溢出效应，各园区创新质量空间集聚存在高-高、低-低等模式并随着时间推移发生跃迁。所有园区受到正向显著的专业化集聚影响，大兴-亦庄园受到负向显著的多样化集聚影响，而房山园、密云园和延庆园受到的多样化集聚影响不显著，海淀园、朝阳园、大兴-亦庄园、东城园、西城园、通州园、门头沟园和顺义园受到市场竞争集聚效应的影响。     

Taxation,fiscal capacity,and credible commitment in eighteenth-century China: the effects of the formalization and centralization of informal surtaxes†

This article explores a tax reform in eighteenth-century China that formalized county-level informal surtaxes and centralized control over them in the hands of provincial governors, in an effort to strengthen provincial fiscal capacity. The findings show that this reform increased the frequency of famine relief in cases of exceptional disaster relative to other weather conditions. The study shows that the effects were driven by the new fiscal revenues—public funds—at the governors’ discretion, not by the central government's relief actions, bureaucratic control over lower officials, or other concurrent fiscal reforms. Moreover, the reform facilitated intertemporal smoothing and inter-regional risk sharing. However, the effects declined as soon as the central government broke its promise and began to appropriate provincial fiscal revenues. These findings not only provide evidence that fiscal centralization could enhance the provision of public goods in a premodern context, but also highlight that it was the lack of a credible commitment by the central government to the provincial governments that accounted for the short-lived effects of the reform.