基于局域方差系数与幅度均值的非线性扩散

在对SAR图像进行处理时,可以将图像分解为代表不同图像特征的多个分量.针对不同分量分别选取最合适的处理方式能够得到性能上的较大提升的问题,使用非线性扩散方法,将图像分解为表征大尺度结构信息的结构分量和表征小尺度细节信息的纹理分量,并对扩散参数的选择进行了对比和评估.提出了一种基于局域方差系数与窗口幅度均值积的扩散参数,作为判断图像中加强或者削弱扩散活动的条件.经过实验证明,采用这种扩散系数能够使得扩散的进行更有针对性,所得到的图像分量能够更加有效地用于后续处理.     

Futures hedging using dynamic models of the variance/covariance structure

Dynamic futures‐hedging ratios are estimated across seven markets using generalized models of the variance/covariance structure. The hedging performances of the resultant dynamic strategies are then compared with static and naïve strategies, both in‐ and out‐of‐sample. Bayesian‐adjusted hedge ratios also are employed as error purgers. The empirical results indicate that the generalized dynamic models are well specified and that their use in determining optimal hedge ratios can lead to improvements in hedging performance as measured by the volatilities of the returns on the optimally hedged position. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:241–260, 2003     

An empirical comparison of continuous time models of the short term interest rate

This article tests the performance of a wide variety of well-known continuous time models—with particular emphasis on the Black, Derman, and Toy (1990; henceforth BDT) term structure model—in capturing the stochastic behavior of the short term interest rate volatility. Many popular interest rate models are nested within a more flexible time-varying BDT framework that allows us to compare the models and find the proper specification of the dynamics of short rates. The empirical results indicate that the equilibrium models that do not allow the drift and diffusion parameters to vary over time and parameterize the volatility only as a function of interest rate levels overemphasize the sensitivity of volatility to the level of interest rate and fail to model adequately the serial correlation in conditional variances. On the other hand, the GARCH-based arbitrage-free models with time-dependent parameters in the drift and diffusion functions define the volatility only as a function of unexpected information shocks and fail to capture adequately the relationship between interest rate levels and volatility. This study shows that the most successful models in capturing the dynamics of short term interest rates are those that introduce time-dependent parameters to the short rate process and define the conditional volatility as a function of both the interest rate levels and the last period's unexpected news. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 777–797, 1999     

Valuation of VIX and target volatility options with affine GARCH models

In this paper we propose semiclosed-form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options under affine GARCH models based on Gaussian and Inverse Gaussian distributions. We illustrate the advantage of the proposed analytic expressions by comparing them with those obtained from benchmark Monte–Carlo simulations. The empirical performance of the two affine GARCH models is tested using different calibration exercises based on historical returns and market quotes on VIX and SPX options.     

Pricing real options under the constant elasticity of variance diffusion

Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets. We use the constant elasticity of variance diffusion, where volatility is a function of underlying asset prices, and we provide analytic solutions for perpetual American options. We show that a firm that uses the standard lognormal assumption is exposed to significant errors of analysis, which may lead to nonoptimal investment and disinvestment decisions. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:230–250, 2011     

Predicting resilience in retailing using grey theory and moving probability based Markov models

The level of resilience for an urban retail system is referred to as the ability of diverse types of retailing to adjust to any modifications, crises or shocks, which can adversely influence the system equilibrium, without compromising on performing its’ functions in a viable way. We use the case of retailing in an urban environment, considering a town center, and observed the resilience factors in retailing. Apart from that, we propose a methodology to measure and predict the level of retail resilience of urban town centers. The idea and theory of grey prediction models and moving probability based Markov models are used in this research for predicting the retail resilience of town centers using several identified indicators. Here, the retail resilience of a case town center, which is located in an Indian city, is evaluated based on the five indicators of retail resilience. From the results of prediction, an increasing trend in the level of retail resilience is observed for the case during 2020. This is perceived as per the results of predictions from the grey model of the first order and with one variable (GM (1, 1) model) and the grey moving probability state Markov model-based error correction. Managers can acknowledge the level of retail resilience and the stage of the adaptive cycle, where the town center stands in resilience, for improving the future trends in the resilience of the town center. Also, the policy implications points in the direction to mend or amend strategies to fit the town center within the adaptive cycle of resilience, as discussed in the paper.     

Dynamic stability of portfolio balance models of the exchange rate

The conditions for stability of a portfolio balance model of exchange rate determination with an endogenous current account are examined for various expectational assumptions. It is shown that unless strongly stabilizing expectational assumptions are made, if the economy is a net debtor in foreign currency assets there is the possibility that its exchange rate will exhibit instability.     

不同所有制企业劳动者工资收入差距对社会平均消费率的影响研究

扩大国内消费需求是实现构建以国内大循环为主体、国内国际双循环相互促进的新发展格局的关键所在。基于2008-2017年的省际面板数据,本文利用面板回归模型估计了不同所有制企业劳动者工资收入差距对社会平均消费率的影响。实证结果表明,不同所有制企业劳动者工资收入差距对社会平均消费率具有显著抑制作用;绝对收入水平的提高加强了不同所有制企业劳动者工资收入差距对社会平均消费率的抑制作用。据此,应加强财税制度改革、国有企业改革和反垄断等措施以缩小收入分配差距,扩大国内消费需求。     

Causes of nonlinearities in low-order models of the real exchange rate

This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples.     

Nonlinear asymmetric models of the short‐term interest rate

This study introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well‐known models in capturing the dynamic behavior of short‐term interest rates. A new class of models that displays nonlinearity and asymmetry in the drift, and incorporates the level effect and stochastic volatility in the diffusion function is introduced in discrete time and tested against the popular diffusion, GARCH, and level‐GARCH models. Based on the statistical test results, the existing models are strongly rejected in favor of the newly proposed models because of the nonlinear asymmetric drift of the short rate, and the presence of nonlinearity, GARCH, and level effects in its volatility. The empirical results indicate that the nonlinear asymmetric models are better than the existing models in forecasting the future level and volatility of interest rate changes. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:869–894, 2006     

The average consumer, the unfair commercial practices directive, and the cognitive revolution

This article examines the merit of the test of the average consumer as a basis for judicial and regulatory action. In the first part, we describe the origin of the test, its application in the Unfair Commercial Practices Directive and its possible developments. In the second part, we discuss the theoretical grounds of the average consumer test (i.e., information and rationality), drawing upon the studies of cognitive psychology and behavioural economics concerning consumers’ behaviour. The result of our analysis is that we call into serious question the practical workability of the test of the average consumer, which requires consumers an overly demanding standard of rationality and information without dedicating much attention to the real functioning of consumer behaviour. The average consumer may be described as an interesting, anti-paternalistic and, to some extent, useful notion. It is, however, an overly simplistic concept with little correspondence with the real world of individual consumer behaviour and should be reinterpreted more flexibly, or even abandoned to mirror consumer behaviour more effectively.

Modeling CLV: A test of competing models in the insurance industry

Customer Lifetime Value (CLV) is one of the key metrics in marketing and is considered an important segmentation base. This paper studies the capabilities of a range of models to predict CLV in the insurance industry. The simplest models can be constructed at the customer relationship level, i.e. aggregated across all services. The more complex models focus on the individual services, paying explicit attention to cross buying, but also retention. The models build on a plethora of approaches used in the existing literature and include a status quo model, a Tobit II model, univariate and multivariate choice models, and duration models. For all models, CLV for each customer is computed for a four-year time horizon. We find that the simple models perform well. The more complex models are expected to better capture the richness of relationship development. Surprisingly, this does not lead to substantially better CLV predictions.

A note on the long rate in factor models of the term structure

In this paper, we consider factor models of the term structure based on a Brownian filtration. We show that the existence of a nondeterministic long rate in a factor model of the term structure implies, as a consequence of the Dybvig–Ingersoll–Ross theorem, that the model has an equivalent representation in which one of the state variables is nondecreasing. For two‐dimensional factor models, we prove moreover that if the long rate is nondeterministic, the yield curve flattens out, and the factor process is asymptotically nondeterministic, then the term structure is unbounded. Finally, we provide an explicit example of a three‐dimensional affine factor model with a nondeterministic yet finite long rate in which the volatility of the factor process does not vanish over time.     

On peacocks and lyrebirds: Australian options,Brownian bridges,and the average of submartingales

We introduce a class of stochastic processes, which we refer to as lyrebirds. These extend a class of stochastic processes, which have recently been coined peacocks, but are more commonly known as processes that are increasing in the convex order. We show how these processes arise naturally in the context of Asian and Australian options and consider further applications, such as the arithmetic average of a Brownian bridge and the average of submartingales, including the case of Asian and Australian options where the underlying features constant elasticity of variance or is of Merton jump diffusion type.     

Fitting and testing for the implied volatility curve using parametric models

Numerous issues have arisen over the past few decades relating to the implied volatility smile in the options market; however, the extant literature reveals that relatively little effort has thus far been placed into comparing the various implied volatility models, essentially as a result of the lack of any theoretical foundation on which to base such comparative analysis. In this study, we use a comprehensive options database and employ methods of combining the various hypothesis tests to compare the different implied volatility models. To the best of our knowledge, this is the first study of its kind to address this issue using combination tests. Our empirical results reveal that the linear piecewise model is the most appropriate model for capturing the implied volatility smile, with additional robustness checks confirming the validity of this finding.     

Simultaneous option prices and an implied risk-free rate of interest: A test of the Black-Scholes models

Two parameters in the Black-Scholes model, the risk-free rate of interest and standard deviation of stock returns, cannot be directly observed. Nevertheless, it is possible to simultaneously solve for the two parameters by using the prices of two different options written on the same security. If the Black-Scholes model is valid, then the implied interest rate from one repair of options should equal the implied interest rate from another pair of options for a given trading day. The analysis reexamines simultaneous option price data from a previous study using the implied interest rate test, and the results support the validity of the Black-Scholes model if we consider the bid/ask spread of option prices and that options are traded over discrete intervals.