Double-jump diffusion model for VIX: evidence from VVIX

This paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jumps in the logarithm of VIX, we derive a linear relationship between the stochastic volatility factor and the VVIX index. We detect the existence of a co-jump of VIX and VVIX and put forward a double-jump stochastic volatility model for VIX through its joint property with VVIX. Using the VVIX index as a proxy for stochastic volatility, we use the MCMC method to estimate the dynamics of VIX. Comparing nested models of VIX, we show that the jump in VIX and the volatility factor are statistically significant. The jump intensity is also stochastic. We analyse the impact of the jump factor on VIX dynamics.     

Reexamining the Profitability of Technical Analysis with Data Snooping Checks

In this article we reexamine the profitability of technicalanalysis using White’s reality check and Hansen’sSPA test that correct the data snooping bias. Compared to previousstudies, we study a more complete "universe" of trading techniques,including not only simple rules but also complex trading strategies,and we test the profitability of these rules and strategieswith four main indices. It is found that significantly profitablesimple rules and complex trading strategies do exist in thedata from relatively "young" markets (NASDAQ Composite and Russell2000) but not in the data from relatively "mature" markets [DowJones Industrial Average (DJIA) and S&P 500]. Moreover,after taking transaction costs into account, we find that thebest rules for NASDAQ Composite and Russell 2000 outperformthe buy-and-hold strategy in most in- and out-of-sample periods.It is also found that complex trading strategies are able toimprove on the profits of simple rules and may even generatesignificant profits from unprofitable simple rules.     

论我国会计准则与会计制度

该文针对我国目前并行的会计制度和会计准则,结合我国传统的管理习惯、转轨时期的经济环境以及改革开放的需要,对会计制度与会计准则并行的现状以及发展方面进行了探讨。     

漏斗模型与企业创新规则

创新是企业最基本的核心能力,是决定企业战略的中心因素。从企业进行创新的效果不佳出发追其失败的原因。随着企业经营环境的变化,创新的涵义也在发生变化。对创新过程进行了漏斗模型的分析,最后提出创新要注意的几个规则。     

中国发展绿色投资的思路和对策

发展循环经济，绿色投资是一个十分重要的途径。绿色投资的兴起是人类社会在绿色发展时代的必然要求。为加快发展循环经济，必须建立绿色投资制度，应当从绿色投资制度、财政和金融政策、法律法规方面着手，发展绿色投资。     

On probability models in voting theory

This paper illustrates the use of probability models to study properties of voting rules. In particular, a simple occupancy distribution and its limiting Dlrichlet form are introduced, corresponding to simplifying assumptions about voters' preferences. We use as illustrations the occurrence probability of the Condorcet Paradox, a vintage problem in social choice theory, along with the related concept of Condorcet efficiency, a measure of goodness for voting rules. Further examples include properties of a lottery rule and the vulnerability of certain voting rules to strategic manipulation. Prospects for future work are indicated.     

The Costs of Implementing the Majority Principle: The Golden Voting Rule

In a context of constitutional choice of a voting rule, this paper presents an economic analysis of scoring rules that identifies the golden voting rule under the impartial culture assumption. This golden rule depends on the weights β and (1−β) assigned to two types of costs: the cost of majority decisiveness (‘tyranny’) and the cost of the ‘erosion’ in the majority principle. Our first main result establishes that in voting contexts where the number of voters n is typically considerably larger than the number of candidates k, the golden voting rule is the inverse plurality rule for almost any positive β. Irrespective of n and k, the golden voting rule is the inverse plurality rule if β ≥ 1/2 .. This hitherto almost unnoticed rule outperforms any other scoring rule in eliminating majority decisiveness. The golden voting rule is, however, the plurality rule, the most widely used voting rule that does not allow even the slightest ‘erosion’ in the majority principle, when β=0. Our second main result establishes that for sufficiently “small size” voting bodies, the set of potential golden rules consists at most of just three rules: the plurality rule, the Borda rule and the inverse plurality rule. On the one hand, this finding provides a new rationalization to the central role the former two rules play in practice and in the voting theory literature. On the other hand, it provides further support to the inverse plurality rule; not only that it is the golden rule in voting contexts, it also belongs, together with the plurality rule and the Borda method of counts, to the “exclusive” set of potential golden voting rules in small committees. We are indebted to Jim Buchanan, Amichai Glazer, Noa Nitzan, Ken Shepsle, and an anonymous referee for their useful comments.     

Maturity and volatility effects on UK smiles

The smile effect is a result of an empirical observation of the options implied volatility with the same expiration date, across different exercise prices. However, its shape has been under discussion seeming to be dependent on the option underlying security. In this paper, and filling up a scarce empirical research on the topic, we used liquid equity options on 9 stocks traded on the London International Financial Futures and Options Exchange (LIFFE) between August 1990 and December 1991. We tested two different hypothesis for testing two different phenomena: (1) the increase of the smile as maturity approaches; (2) and the association between the smile and the volatility of the underlying stock. In order to estimate implied volatilities for unavailable exercise prices, we modelled the smile using cubic B-spline curves. We found empirical support for the smile intensification (the U-shape is more pronounced) as maturity approaches as well as when volatility rises. However, we found two major sources of disagreement with the literature on stochastic volatility models. First, as maturity approaches, out-of-the-money options implied volatility tends to be higher than the implied volatility of in-the-money options. Second, as the volatility of the underlying asset increases, the implied volatility of in-the-money options tends to be higher than implied volatility of out-of-the-money options.Received: September 2001, Accepted: September 2003, JEL Classification: G13Correspondence to: João L. C. DuqueWe thank Professor Dean A. Paxson (University of Manchester), António Sousa Câmara (University of Strathclyde), Ser-Huang Poon (University of Lancaster) and the attendees of the 26th EFA Annual Conference for helpful comments on previous versions of this paper. We also want to thank to two anonymous referees for their relevant comments and suggestions. Financial support granted by the Fundação para a Ciência e a Tecnologia (FCT) and the Programa Praxis XXI is gratefully acknowledged.     

The evolution of portfolio rules and the capital asset pricing model

The aim of this paper is to test the performance of capital asset pricing model (CAPM) in an evolutionary framework. We model an economy where a heterogeneous population of long-lived agents invest their wealth according to different portfolio rules, and prove that traders who either “believe” in CAPM and use it as a rule of thumb, or are endowed with genuine mean-variance preferences, under some very weak conditions, vanish in the long run.We show that a sufficient condition to drive CAPM or mean-variance traders’ wealth shares to zero is that an investor endowed with a logarithmic utility function enters the market.     

关联方会计准则的最新发展与比较研究

新企业会计的准则发布成为人们关注的焦点,相对于1992年颁布的企业会计准则有较大的变化,本文拟就其中的第36号准则——关联方披露进行比较分析。在回顾我国上市公司关联交易会计规范演进历程的基础上,对新旧准则的相关内容进行比较,以更好地掌握新准则的变化。