Regression with errors in variables: estimators based on third order moments

In this paper consistent and, in a well–defined sense, optimal moment–estimators of the regression coefficient in a simple regression model with errors in variables are derived. The asymptotic variance and other asymptotic properties of these estimators are given. As is known for a long time, serious estimation problems exist in this model. There are two ways out of this problem: using either additional assumptions or additional information in the data. A lot of attention has been paid to the use of additional assumptions. However, quite often this leads to rather unrealistic models. In this paper we use additional information in the data. That means here that, besides first and second order moments, third order moments are formulated as functions of the model parameters. Besides theoretical derivations a small study with generated data is discussed. This study shows that for samples larger than 50 the estimates we consider behave nicely.     

Fighting the arch–enemy with mathematics'

This is an account of theoretical and applied statistical work done in connection with the problem how to determine a safe height for the sea dikes in the Netherlands     

中国大陆与其主要贸易伙伴股市间的极值关联性

本文运用尾部相依系数作为度量极值关联性的工具,首先研究中国加入世界贸易组织后大陆股市与七个主要贸易伙伴股市的极值关联性强弱,即股市同时极端下跌的风险性大小;其次研究中国加入世界贸易组织前后大陆股市与世界股市整体的极值关联性变化情况。结果发现：相比欧美股市,中国大陆股市与亚洲股市联系更紧密,同时发生极端下跌的可能性更大。整体而言,中国大陆股市与世界其他股市配置资产已无法完全分散极值风险。因此,若投资者在中国大陆股市进行投资的同时也寻求其他国家或地区股市,为了降低极值风险发生的概率,应选择欧美国家的股市。     

利用GARCH-M类模型和极值理论对上证综指的研究

金融时间序列具有分布的厚尾性、波动的集聚性等特征,传统的方法难以准确的度量其风险。文中运用一种新的估计VaR和ES的方法,即采取两阶段法。首先用GARCH-M类模型(GARCH-M、EGARCH-M和TGARCH-M)拟和原始收益率数据,得到残差序列;第二步用极值分析的方法分析的尾部,最后得到收益率序列的动态VaR和ES。最后对三个模型的计算结果进行比较。     

基于极值理论的资产组合风险研究

在金融系统中风险管理者十分关注投资风险的大小,尤其是在极端情况下的风险大小。市场风险值()是一种常用的度量风险的方法。本文将极值理论用于中国上证指数和深成指数市场风险值的度量,同时探讨了用极值理论评价资产组合风险的方法,并将其计算结果与基于正态分布同t分布的方法进行比较,发现采用极值理论度量市场风险值要优于经典的方法。     

An Extreme Value Approach to Test the Effect of Price Limits on Volatility

Many stock exchanges around the world enforcing daily price limits on the amount asset prices can change to prevent the market from overreacting and to reduce volatility. Price limits are artificial boundaries set by market regulators who restrict price changes of a stock to a pre-specified range during a trading day or a single trading session. The primary aim of price limit rules is to stabilize the markets during panic trading, to moderate vitality by repressing excessive speculation, and to allow stocks to be traded at prices close to their fair value. However, their impact on the market is a somewhat unresolved issue （Harris, 1998）. Using a methodology of comparing volatility based on the extreme value technique, the authors empirically investigate the impact of price limits on the volatility of the Stock Exchange of Thailand. The empirical results support price limits advocates, suggesting that price limits rules moderate stock price volatility.     

Abnormal returns, risk, and options in large data sets

Large data sets in finance with millions of observations have become widely available. Such data sets enable the construction of reliable semi-parametric estimates of the risk associated with extreme price movements. Our approach is based on semi-parametric statistical extreme value analysis, and compares favorably with the conventional finance normal distribution based approach. It is shown that the efficiency of the estimator of the extreme returns may benefit from high frequency data. Empirical tail shapes are calculated for the German Mark—US Dollar foreign exchange rate, and we use the semi-parametric tail estimates in combination with the empirical distribution function to evaluate the returns on exotic options.     

中国金融市场间极端风险溢出的监测预警研究——基于MVMQ-CAViaR方法的实现

为有效监测与预警中国金融市场间极端风险溢出的方向与程度,本文基于MVMQ-CAViaR方法,结合中国2013—2017年银行间市场、债券市场与股票市场相关数据,分析各金融市场间的极端风险传递过程。实证结果显示,股票市场与债券市场对银行间市场产生显著的单向极端风险溢出效应,而银行间市场对另外两个市场无极端风险传递效果,这表明股票市场与债券市场的极端风险向银行间市场的传递过程具有不可逆性。从风险传递的强度来看,债券市场对股票市场和银行间市场的极端风险溢出效应更加显著。因此,决策部门应重点关注债券市场的极端风险水平变化,缓释债券市场与股票市场对银行间市场的极端风险冲击,以有效防范和化解不同金融市场间极端风险的传染与暴露。     

极端波动情景中的压力测试和极值理论方法研究

VaR描述的是市场正常波动情况下的资产组合最大可能损失,指出了不利事件发生的概率,但没有说明不利事件发生时的实际损失到底有多大。为了测量在这些小概率极端情况下的风险,本文对当前测量极端波动情景中较为先进的情景分析、系统化压力测试和极值分析方法进行较为全面的研究。     

《梦粱录》价值探析——兼论对梦华体文学的继承与创新

在梦华体文学中,学界多关注《东京梦华录》,而忽略《梦粱录》,有失公允;《梦粱录》不但具有独特的史学价值,而且在文学上对以《东京梦华录》为中心的梦华体文学有所创新。     

金融时间序列高阶矩的时变性与波动持续性研究

波动持续性与非对称性是二阶矩方差的两个典型特征,类似于方差风险。高阶矩风险也具有自己的特征。重点讨论了三阶矩偏度与四阶矩峰度的时变性特性与波动持续性特征,指出不仅方差具有波动持续性,而且高阶矩序列同样存在持续性,并给出了高阶矩存在持续性的定义以及波动的持续性定理的相关证明。     

高阶矩风险与金融投资决策

针对传统投资组合理论没有考虑高阶矩风险这一缺陷,总结近期金融领域中有关偏度和峰度的研究成果,基于"均值-方差"效用函数的Taylor展开,讨论了投资者对高阶矩风险(偏度风险和峰度风险)的偏好特征。     

论公允价值会计模式的运用

公允价值的引入是我国2006年会计准则改革的一大亮点,公允价值计量的研究,对财务会计模式的改进和改革将具有深远的意义.本文拟讨论基于历史成本缺陷而兴起的公允价值,分析公允价值在我国的运用现状,就公允价值运用过程中存在的问题进行有益的思考,并提出了完善公允价值计量属性在我国财务报告中运用的思路.     

论湖南江华瑶族《盘王大歌》的价值

《盘王大歌》是瑶族重要的文化遗产,为研究瑶族文化艺术提供了重要依据,为瑶族民间歌谣的创作提供了借鉴和原型;它是瑶族讲"根底"(传统)的重要内容,对振奋民族精神和增强民族凝聚力作用巨大。本论文将对"史诗"《盘王大歌》重要的历史价值、文学价值、科学参考价值、艺术价值进行较深入的研究,其目的就在于让更多的人了解《盘王大歌》,使得她在当今这个发达社会环境中能得到充实和发展。     

投资性房地产计量模式转换的财务影响与决定因素——以世茂股份为例

文章以世茂股份为例,分析了投资性房地产计量模式转换对企业的财务影响及其转换动因。根据分析,文章对企业选择会计政策以及监管方改善公允价值信息披露提出了政策建议。     

“订单式”培养存在的问题和对策——以西安航院“中联班”为例

对高职院校来说",订单式"人才培养模式是体现以就业为导向,以企业需求为目标的最理想的人才培养模式。但这种合理、先进的模式在运行过程中却存在诸多问题,通过对"中联数控订单班"实施过程中存在问题的分析,提出了一些解决办法,以期形成"订单班"运行的长效机制。     

IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS

Since the financial crisis of 2008, next to banks, insurers have received increasing attention from researchers and regulators because of their crucial role in the financial system. A key point for a stable insurer is its capital structure, i.e. the choice between equity, debt and provisions in financing its operations. Based on earlier work a quickly developing literature has directly applied capital structure theories (in particular trade-off and pecking order) from corporate finance to insurers’ financing choices. Corporate finance concepts used herein however, are developed for industrial firms. In this paper we provide an overview of the literature on the capital structure of insurers, but contribute by systematically clarifying how to account for the specificities of insurers when transferring the trade-off and pecking-order logic from an industrial to an insurer context. This way, we add several new insights on an insurer's choice between equity, financial debt and provisions. In particular, we are able to explain why, as compared to industrial firms, insurers use less financial debt, and why insurers focus so strongly on self-financing. Finally, we identify multiple avenues for future research.     

基于实例的产品快速配置方法研究

本文针对半挂罐车等特种车辆,分析了该类产品的相似特征,利用实例与规则集成的快速配置方法,先通过加权欧氏距离的聚类算法来求解历史实例和目标产品间的相似度,提取快速配置过程中所需的相似历史实例,进而采用知识库和规则库对所得实例进行优化,从而满足订单要求,实现基于历史相似实例的板构件产品配置方法。