Unit root testing via the stationary bootstrap

A nonparametric, residual-based stationary bootstrap procedure is proposed for unit root testing in a time series. The procedure generates a pseudoseries which mimics the original, but ensures the presence of a unit root. Unlike many others in the literature, the proposed test is valid for a wide class of weakly dependent processes and is not based on parametric assumptions on the data-generating process. Large sample theory is developed and asymptotic validity is shown via a bootstrap functional central limit theorem. The case of a least squares statistic is discussed in detail, including simulations to investigate the procedure's finite sample performance.     

Explaining US–UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework*

In this paper, we test the uncovered interest rate parity (UIRP), allowing for transitory deviations from it. These deviations may arise from variations in risk premia, errors in expectations and linearization errors, and are modelled as a zero‐mean noise around the restrictions implied by the UIRP on a vector autoregression (VAR) in the interest rate differential and the spot exchange rate. Importantly, this approach includes the traditional one as a special case, which is derived by simply setting the noise to zero. When the noise is set to zero the UIRP is rejected, but if we allow for some degree of noise the UIRP is strongly supported by the data. Thus the UIRP relation does not hold exactly, but on average, with a stationary risk premium as opposed to a constant one. This result implies that analysing the effects of policy experiments under the null of the UIRP may be both safe and useful.     

On the network topology of variance decompositions: Measuring the connectedness of financial firms

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness. We also show that variance decompositions define weighted, directed networks, so that our connectedness measures are intimately related to key measures of connectedness used in the network literature. Building on these insights, we track daily time-varying connectedness of major US financial institutions’ stock return volatilities in recent years, with emphasis on the financial crisis of 2007–2008.     

Optimal risk taking in an uneven tournament game with risk averse players

We analyze the optimal choice of risk in a two-stage tournament game between two players that have different concave utility functions. At the first stage, both players simultaneously choose risk. At the second stage, both observe overall risk and simultaneously decide on effort or investment. The results show that those two effects which mainly determine risk taking – an effort effect and a likelihood effect – are strictly interrelated. This finding sharply contrasts with existing results on risk taking in tournament games with symmetric equilibrium efforts where such linkage can never arise. Conditions are derived under which this linkage leads to a reversed likelihood effect so that the favorite (underdog) can increase his winning probability by increasing (decreasing) risk which is impossible in a completely symmetric setting.     

基于STC单片机的车辆报站系统的设计

本设计采用STC公司增强型高速单片机STC12C5A60S2为控制器、ISD1420和APR9600语音芯片作为构成语音存储回放系统,16*16LED点阵来完成汉字信息的显示。系统外置汉字码码片,显示内容丰富,硬件看门狗的使用使得系统运行更加可靠。论文详细介绍了该车辆报站系统的设计及软件的编写。     

Further results on projection-based inference in IV regressions with weak,collinear or missing instruments

We study a general family of Anderson–Rubin-type procedures, allowing for arbitrary collinearity among the instruments and endogenous variables. Using finite-sample distributional theory, we show that the proposed procedures, besides being robust to weak instruments, are also robust to the exclusion of relevant instruments and to the distribution of endogenous regressors. A solution to the problem of computing linear projections from general possibly singular quadric surfaces is derived and used to build finite-sample confidence sets for individual structural parameters. The importance of robustness to excluded instruments is studied by simulation. Applications to the trade-growth relationship and to education returns are presented.     

5G时代背景下新型C2C旅游平台的探究

当前中国5G技术的应用与发展为各行业找到发展的新增长点,也即将成为助力中国经济发展的新动能。近年来,国内外旅游产业蓬勃发展,旅游经济井喷式增长,居家旅游、“宅”旅游也变得十分新潮,成为时下年轻人旅游消费的新途径。在5G时代背景下,通过VR技术实现以沉浸式虚拟旅游为基础的爱好偏向型C2C旅游平台的搭建与运营,必将为旅游产业迎来新一轮经济增长点。     

C2C模式供应链绩效评价指标体系研究

电子商务环境下C2C模式供应链绩效评估与传统的企业组织形式和B2B模式相比具有其新颖的特征。文章讨论了电子商务环境下C2C模式供应链绩效评价体系的依据和特点,最后给出了一种C2C模式供应链绩效评价指标方案。     

C2C电子商务交易中消费者如何保护自身合法权益探析

随着电子商务的迅猛发展,C2C电子商务交易已成为一种新兴的互联网消费方式,但是消费者在享受由其带来的方便、快捷、低价格购物的好处时,常常遇到自身合法权益被侵害的情况.文章就我国互联网消费对消费者权益被侵害的现象进行阐述,并对消费者在C2C电子商务交易过程中如何维护自身合法权益进行了分析.     

C2C网站的体验营销策略研究——以淘宝网为例

随着我国C2C电子商务的迅速发展,网络购物正逐渐成为人们生活中的一项重要活动,各大C2C网站间的竞争也异常激烈,以用户体验为核心的体验营销在网络购物市场中越来越受到C2C网站的重视和应用。在介绍体验营销对C2C网站的重要性以及体验营销在C2C网站的三个应用层面基础上,以淘宝网为例具体分析了体验营销策略。     

Estimation of objective and risk-neutral distributions based on moments of integrated volatility

In this paper, we present an estimation procedure which uses both option prices and high-frequency spot price feeds to estimate jointly the objective and risk-neutral parameters of stochastic volatility models. The procedure is based on a method of moments that uses analytical expressions for the moments of the integrated volatility and series expansions of option prices and implied volatilities. This results in an easily implementable and rapid estimation technique. An extensive Monte Carlo study compares various procedures and shows the efficiency of our approach. Empirical applications to the Deutsche mark–US dollar exchange rate futures and the S&P 500 index provide evidence that the method delivers results that are in line with the ones obtained in previous studies where much more involved estimation procedures were used.     

A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates

Modeling the joint term structure of interest rates in the United States and the European Union, the two largest economies in the world, is extremely important in international finance. In this article, we provide both theoretical and empirical analysis of multi-factor joint affine term structure models (ATSM) for dollar and euro interest rates. In particular, we provide a systematic classification of multi-factor joint ATSM similar to that of Dai and Singleton (2000). A principal component analysis of daily dollar and euro interest rates reveals four factors in the data. We estimate four-factor joint ATSM using the approximate maximum likelihood method of [A?t-Sahalia, 2002] and [A?t-Sahalia, forthcoming] and compare the in-sample and out-of-sample performances of these models using some of the latest nonparametric methods. We find that a new four-factor model with two common and two local factors captures the joint term structure dynamics in the US and the EU reasonably well.     

C2C电子商务中的一个半开放式库存路径优化问题研究

讨论了C2C电子商务中的一个多阶段半开放式库存路径优化问题,目的是想借助C2C电子商务平台自身的优势,统一规划一个大的区域内的多个第三方物流公司,在多个时间段里的每个阶段,到该C2C电子商务平台在该区域内的多个卖家处取货,之后送到该C2C电子商务平台在该区域内的一个配送中心的路径,以及帮助这些卖家确定每个阶段的取货量,以降低C2C电子商务物流配送的成本,提高服务质量。建立了这一问题的0-1整数规划模型,给出一个启发式算法对问题进行求解,并举例对该启发式算法进行了说明。     

Sources of the great moderation: A time-series analysis of GDP subsectors

Recent work finds evidence that the volatility of the U.S. economy fell dramatically around the first quarter of 1984. We trace the timing of this so-called “Great Moderation” across many subsectors of the economy in order to better understand its root cause. We find that the interest rate sensitive sectors generally experience a much earlier volatility decline than other large sectors of the economy. The changes in Federal Reserve stabilization policies that occurred during the early 1980s support the view that an improved monetary policy played an important role in stabilizing real economic activity. We find only mild evidence that “good luck” was important and little evidence to support the claim that improved inventory management was important.     

探析C2C电子商务物流新模式

针对现在C2C电子商务发展的迅猛势头,分析了目前存在于其中的物流问题。通过整合社会和第三方物流公司资源,结合C2C平台自身的优势,对如何解决C2C电子商务物流的问题提出一定的建议和意见。探析了建立自营模式、物流联盟模式、指定或推荐物流模式和基于便利店支持下的电子商务物流模式的可行性。从而解决困扰电子商务交易中的物流瓶颈问题。     

C2C网购市场的交易特征以及在线反馈机制的独特效应

C2C网购市场具有典型的信息不对称与交易不确定的特征,尽管中国网购市场发展迅猛,但是针对这个新兴市场的研究是薄弱的,本文通过回顾国内外关于C2C拍卖市场的研究,提出了在线反馈机制在市场效率中的独特效应-影响最终价格和在线信任,并提出了该效应发生机制的概念路经模型,用以指导未来研究和实践的思路之一。     

C2C交易中消费者购物心理研究

目前我国经常上网购物人数和网民上网购物比例不断增大，消费者对消费者之间的电子商务交易（C2C）也在迅速发展。对于C2C交易中的卖家而言，掌握消费者在C2C交易中的购物心理对提高销售业绩显得特别重要。文章对消费者在C2C交易中的购物心理进行研究。