Efficient modelling and forecasting with range based volatility models and its application

This paper considers an alternative method for fitting CARR models using the combined estimating functions (CEF) by showing its usefulness in applications in economics and quantitative finance. The associated information matrix for corresponding new estimates is derived to calculate the standard errors. Extensive simulation study is carried out to demonstrate its superiority relative to two other competitors: the linear estimating functions (LEF) and the maximum likelihood (ML). Results show that the CEF method is more efficient than the LEF and ML methods when the error distribution is mis-specified. Applying a real data set from financial market, we illustrate the applicability of the CEF method in practice and report some reliable forecast values for minimizing the risk in decision making process.     

俄罗斯卢布汇率政策实施机制

文章分析了俄罗斯为最终实现卢布汇率自由浮动的汇率政策目标的制度探索,认为其现已建立起一套机制复杂但运作灵活的卢布汇率形成机制。文章介绍了2013年10月以来俄罗斯完善卢布汇率制的主要措施,包括扩大卢布对双货币篮子汇率每日浮动的“中立区间”,在卢布对双货币篮子汇率每日浮动区间中增设“技术区间”,下调每日外汇干预的目标额度等。     

土地科学学科独立性研究——兼论土地科学学科体系研究思路与框架

研究目的:研究探讨并确定土地科学学科是否具有独立学科的本质属性,在此基础上提出土地科学学科体系研究思路与框架。研究方法:根据《中华人民共和国学科分类与代码国家标准(GB/T 13745-2009)》的定义,依据科学学方法,从讨论土地科学学科有无不可替代的核心理论和不可替代的研究域入手,研究土地科学学科的独立学科属性。研究结果:土地科学学科是一门具有不可替代的土地权籍核心理论,并与土地租价、土地可持续利用理论共同构成有机联系不可分割的核心理论轴,同时具有不可替代的3维3层3环耦合空间研究域的独立学科。研究结论:(1)借助逻辑和空间分析方法,提出的土地科学学科3维3层3环耦合空间研究域,揭示了土地科学学科的本质属性,从而解开了有关土地科学学科的多个重大难题。(2)通过有关土地科学学科发生、演进和发展趋势的研究分析,揭示了:1土地科学学科与相关学科交叉的本质,是由于人类不断提高土地生产力的内生要求牵引,引致土地科学学科研究域内生性扩张导致的交叉;2土地科学学科研究域是一个随着人类提高土地生产力而对应扩张的3维3层3环耦合空间域,且仍会伴随人类不断提高土地生产力的要求持续扩张。(3)通过有关不可替代核心理论及核心理论轴,3维3层3环耦合空间研究域及其形成,学科发生、演进和发展趋势的研究分析,提出了有关土地科学学科的完整系统学说。     

An elementary proposition on technical progress and non-traded goods

We explore the effect of technical progress on the endogenously determined range of non-traded goods by using a Ricardian model with continuum of goods. By defining technical progress on the basis of proportional changes in the relative productivity across sectors, we show that the range of non-traded goods decreases if technical progress is unbiased or if it is biased toward the goods that a country has more comparative advantage.     

Can GARCH-class models capture long memory in WTI crude oil markets?

This paper investigates the issue whether GARCH-type models can well capture the long memory widely existed in the volatility of WTI crude oil returns. In this frame, we model the volatility of spot and futures returns employing several GARCH-class models. Then, using two non-parametric methods, detrended fluctuation analysis (DFA) and rescaled range analysis (R/S), we compare the long memory properties of conditional volatility series obtained from GARCH-class models to that of actual volatility series. Our results show that GARCH-class models can well capture the long memory properties for the time scale larger than a year. However, for the time scale smaller than a year, the GARCH-class models are misspecified.     

在线拍卖数据价格敏感度量化实证研究

近年来,以C2C为主要形式的中国网络购物发展迅速,价格成为影响网上消费者购物决策行为的主要因素之一,如何对消费者价格敏感度进行量化逐渐成为关注的焦点。以淘宝网一口价数据为样本,实证研究了网购用户价格敏感度的量化问题,进行了商品价格与信用度偏相关分析,旨在为商品定价提供了建议。     

Eliciting and estimating reservation price: A semi-compensatory approach

This study proposes a two-stage method to elicit consumers' price acceptability range. The method combines a conjunctive stage to elicit price acceptability limits with a utility-based stage to choose a preferred product variation. The method is efficient in choice situations entailing many multi-attribute product variations under partial information conditions. A semi-compensatory model complements the method by jointly representing the conjunctive stage with multiple ordered-response models and the choice stage with a multinomial logit model. A case study of ceiling reservation price (CRP) elicitation for students' rental apartment choice shows (i) CRP distribution for different product variations, (ii) model estimation unraveling CRP determinants, and (iii) linkage between CRP and transaction price.     

新型X频段六端口测速测距雷达的设计与仿真

介绍了六端口测速测距基本原理,设计了X频段的微带六端口结,采用ADS软件搭建 六端口测速测距雷达系统,结合六端口结的测量数据进行仿真,结果表明该雷达系统具有较 高的测量精度和工作性能,具有重要的研究价值。     

论我国国家赔偿法的归责原则

《国家赔偿法》的制定与完善可以说是我国民主与法治进程中具有重要意义的标志性成果之一,国家赔偿法的一项核心内容就是归责原则,尽管目前我国新修订的《国家赔偿法》中的归责原则已从单一的违法归责原则转向二元的违法归责与结果归责相结合原则,但是依然存在着较多的缺陷与不足。完善我国国国家赔偿法的归责原则,还需深入研究与探讨。     

珠三角中小企业发行集合票据融资的可行性分析

珠三角地区中小企业融资难问题长期得不到解决,并且已经成为制约地区经济发展的因素之一。集合票据是为解决中小企业融资而开发的新型融资工具。本文通过分析集合票据自身具备的优势及珠三角地区中小企业发行集合票据的机遇和制约因素,并在此基础上提出了实施该战略应注意的问题和一系列相关举措,为珠三角地区中小企业发行集合票据提供参考。