Estimation of tail‐related risk measures in the Indian stock market: An extreme value approach

The purpose of the study is to estimate tail-related risk measures using extreme value theory (EVT) in the Indian stock market. The study employs a two stage approach of conditional EVT originally proposed by McNeil and Frey (2000) to estimate dynamic Value at Risk (VaR) and expected shortfall (ES). The dynamic risk measures have been estimated for different percentiles for negative and positive returns. The estimates of risk measures computed under different quantile levels exhibit strong stability across a range of the selected thresholds, implying the accuracy and reliability of the estimated quantile based risk measures.     

DOES MONOPOLISTIC COMPETITION EXIST IN THE MENA REGION? EVIDENCE FROM THE BANKING SECTOR

The goal of this paper is to empirically assess the level of banking competition in selected Middle East and Northern African (MENA) countries. The analysis employs the estimation of a non‐structural indicator (H‐statistic) introduced by Panzar and Rosse and draws upon a panel dataset of eight MENA countries (Algeria, Egypt, Israel, Jordan, Morocco, Oman, Saudi Arabia, and United Arab Emirates) over the period 1997–2012. The empirical findings are robust towards three different panel data econometric techniques (Ordinary Least Squares, Pooled Generalized Least Squares with Fixed Effects, and Generalized Method of Moments) and consistent with other similar studies, providing sufficient evidence in favour of a banking monopolistic competition regime. Furthermore, the estimation of three other alternative measures of competition (Lerner index, adjusted Lerner index, and conduct parameter) provides similar results, revealing that the banking sector in the MENA region is characterized by a low level of Significant Market Power (SMP). Overall, the analysis shows that, despite similarities in the process of financial regulatory reforms undertaken in the eight MENA countries, the observed competition levels of banks vary substantially, with Algeria and Morocco consistently outperforming the rest of the region.     

AN ATTEMPT TO EXPLAIN DIFFERENCES IN ECONOMIC GROWTH: A STOCHASTIC FRONTIER APPROACH

Total factor productivity (TFP), factor accumulation, and growth are analysed for a panel of 40 countries in 2001–11. TFP growth and technical inefficiency are estimated using a stochastic frontier model. Environmental variables are found to have an important role in explaining differences in inefficiency across countries. Over 2001–11, the general improvement in technical efficiency of countries is almost outweighed by technological regress. Results indicate that differences in factor accumulation between OECD and emerging economies are more important than differences in TFP change to explain differences in economic growth. Results also indicate negative and significant random shocks for the OECD countries.     

OPTIMAL PORTFOLIO SELECTION WITH A SHORTFALL PROBABILITY CONSTRAINT: EVIDENCE FROM ALTERNATIVE DISTRIBUTION FUNCTIONS

We propose a new approach to optimal portfolio selection in a downside risk framework that allocates assets by maximizing expected return subject to a shortfall probability constraint, reflecting the typical desire of a risk-averse investor to limit the maximum likely loss. Our empirical results indicate that the loss-averse portfolio outperforms the widely used mean-variance approach based on the cumulative cash values, geometric mean returns, and average risk-adjusted returns. We also evaluate the relative performance of the loss-averse portfolio with normal, symmetric thin-tailed, symmetric fat-tailed, and skewed fat-tailed return distributions in terms of average return, risk, and average risk-adjusted return.     

Resolving the exposure puzzle: The many facets of exchange rate exposure

Theory predicts sizeable exchange rate (FX) exposure for many firms. However, empirical research has not documented such exposures. To examine this discrepancy, we extend prior theoretical results to model a global firm's FX exposure and show empirically that firms pass through part of currency changes to customers and utilize both operational and financial hedges. For a typical sample firm, pass-through and operational hedging each reduce exposure by 10–15%. Financial hedging with foreign debt, and to a lesser extent FX derivatives, decreases exposure by about 40%. The combination of these factors reduces FX exposures to observed levels.     

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。     

Bilateral Trade Balances: Evidence from Malaysia*

This study examines the impacts of real exchange rates on the bilateral trade balances of Malaysia with the USA, Japan and Singapore. The results for the long‐run cointegrating vectors show that depreciation or devaluation of real exchange rates will improve bilateral trade balances. In the short run, there is some evidence of the J‐curve phenomenon. Changes in real money supply contribute greatly to changes in real exchange rates. Generally, changes in real exchange rates contribute significantly to changes in bilateral trade balances. Monetary policy can be used to influence bilateral trade balances.     

浅析信息化工程的实现——以河北前进钢铁集团有限公司为例

文章通过借鉴国内外领先行业领域信息化建设的理论和已上线系统,结合前进钢铁公司(下文简称前钢公司)的实际情况,构建前钢公司总体信息化系统架构。并通过与周边计算机系统的合理功能分担与接口集成,实现前钢公司各个系统间信息实时传递,使企业的管理更加清晰、细致和严谨,从而进一步提升企业管理能力和产品质量,降低生产经营成本,满足对外快速响应、对内高效沟通的管理需求。     

Academic Wage Structure by Gender: The Roles of Peer Review,Performance, and Market Forces

We focus on understanding the role of productivity in determining wage structure differences between men and women in academia. The data arise from a pay equity study carried out in a single midwestern U.S. university over the 1996–1997 academic year. Econometric results confirm that external market forces exert influence over both male and female salary. But peer review ratings play a significant role in male but not female earnings determination, with similar results for objective measures of research, teaching, and service.     

基于S3C2410的智能家居安防系统设计

随着现代信息监测技术的发展,提出了一种基于ARM9嵌入式处理器的智能家居安防监测系统。文章详细论述了其总体硬件框架和软件设计方法,给出了软件运行流程图。该系统设计具有监控实时性强、稳定性高、功耗低等优点,能够为家庭安防、环境监控、汽车防盗等多种场合提供人身和财产的安全保障。