Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions

Parameter estimation and statistical inference are challenging problems for stochastic volatility (SV) models, especially those driven by pure jump Lévy processes. Maximum likelihood estimation (MLE) is usually preferred when a parametric statistical model is correctly specified, but traditional MLE implementation for SV models is computationally infeasible due to high dimensionality of the integral involved. To overcome this difficulty, we propose a gradient-based simulated MLE method under the hidden Markov structure for SV models, which covers those driven by pure jump Lévy processes. Gradient estimation using characteristic functions and sequential Monte Carlo in the simulation of the hidden states are implemented. Numerical experiments illustrate the efficiency of the proposed method.     

US airport ownership,efficiency, and heterogeneity

All US commercial airports are in the public sector yet not all have the same ownership type. For medium and large hub US airports we use stochastic frontier analysis to analyze the efficiency differences for alternative airport ownership types. We find that while form of ownership may matter for cost efficiency, in general its effect is relatively small. Yet type of public sector ownership does have cost efficiency implications in certain environments. Further, when heterogeneity is not controlled, the results change substantially so that type of ownership matters much more which demonstrates the importance of controlling for cross section heterogeneity.     

The dynamics and evolution of knowledge transfer in international master franchise agreements

The paper identifies and evaluates the antecedents, contextual factors and inter-organisational processes that influence knowledge transfer in international hotel master franchise agreements and how these evolve from the perspective of both franchisors and franchisees. A single, purposively selected in-depth qualitative case study reveals the specific factors relevant to knowledge transfer at different stages of the franchise agreement. Drawing on the alliance literature, the impact of four partner-specific variables on inter-organisational design processes used to transfer knowledge and on three antecedents to knowledge transfer; shared identity, absorptive capacity and casual ambiguity is identified. The study contributes to our understanding of the dynamics and evolution of knowledge transfer in master franchise agreements by highlighting the relative importance of partner-specific variables and relational management to knowledge transfer evolution and the relative importance of shared identity as an antecedent to knowledge transfer in these agreements     

数字校园环境下的教学管理研究

为了进一步完善具有发达地区高等职业教育特色的教育教学质量保障体系,势必利用现代信息技术,建立与健全现代化先进教学管理的理念,并结合学校集成式数字校园应用平台建设,充分发挥数字化信息管理在教学管理中的作用。     

Inventory control for returnable transport items in a closed-loop supply chain

An inventory control model for returnable transport items (RTI) where the manager selects the optimal length for inspection, repair, and purchase cycles is described. Repaired and newly obtained RTI are used in combination to satisfy current production requirements. Uncertain returns are incorporated into the model by determining a satisfactory safety stock level to buffer the inventory of used and repairable containers. The minimum cost solution is obtained when inspection and repair runs begin simultaneously. Cycle times are a function of the expected return rate and repairable percentage, while variability in these random assumptions affects the required safety stock.     

Airports and tourism in Mozambique

This paper analyses airport efficiency in Mozambique from 2000 to 2012, estimating a cost function with random and fixed effects stochastic frontier models. A robustness test is undertaken with a Bayesian stochastic frontier model. The airports are ranked according to their technical efficiency (TE). The policy implication is that Mozambique should upgrade its managerial procedures to cope with the frontier of best practices.     

政府治理框架下看美国联邦预算僵局——表现形式、制度成因及启示简

政府治理中,预算制度和过程建设是关键,一个为民负责、有制衡监管和公开透明机制的预算制度,应能起到压缩非良态治理的空间并最后达成良态治理的作用。美国联邦的预算制度,其政治权力的制衡、立法对行政的监管以及其制度的公开透明,有其可取之处。然而,尽管有比较完整的预算制度,联邦却依然频发预算僵局。当联邦预算僵局被放置在政府治理的框架中来看待时,这样的僵局更多反映的是美国制衡监管的制度设计。从国际比较看,有预算僵局不一定是坏事,而没有预算僵局不一定是好事。     

探析甲供设备业务处理

“甲供设备”是工程建设中经常发生的业务，但在具体实践中存在多种不同的管理和核算模式，对建设单位和施工单位有不同影响。通过对甲供设备业务处理的各种模式进行了探析，从造价、会计及税法等多个角度进行比较分析。并对各种模式的会计核算依据和优缺点进行了一定程度的总结。     

Marketing Aspects of Consumer Purchasing Behavior and Customer Satisfaction Aboard the Royal Viking Queen

This article is the result of onboard marketing research performed for Royal Viking Line aboard the Royal Viking Queen during the summer of 1993. Via focus groups, attributes of customer purchasing behavior and customer satisfaction are examined. The findings conclude that Royal Viking Line patrons are pleased with their cruise experience.     

基于多元随机波动模型方法的股指期货与现货关系研究——以亚洲五地金融市场为例

本文以多元随机波动模型检视亚洲五个主要金融市场股指期货与现货的报酬关系与波动溢出效应。实证发现,五地金融市场股指期货与现货之间皆存在双向的波动溢出效应。股指现货动态相关系数和波动持续系数均高,显示现货市场具有聚类的现象。此外,本研究进一步探讨股指期货与现货的联动和共同波动因子的关系,实证发现,股指期货与现货的波动关系是同时受到共同信息发布的影响。