Change-point detection for expected shortfall in time series

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the Wild Binary Segmentation (WBS) algorithm in Fryzlewicz (2014), this paper proposes a variant WBS procedure to detect and estimate change points of ES in time series. The strengthened Schwarz information criterion is also introduced to determine the number of change points. Monte Carlo simulation studies are conducted to assess the finite-sample performance of our variant WBS procedure about ES in time series. An empirical application is given to illustrate the usefulness of our procedure.     

Stochastic growth: a duality approach

We re-examine the representative agent's optimal consumption and savings under uncertainty in the presence of investment constraints using martingale representation and convex analysis techniques. This framework allows us to explicitly quantify precautionary savings which induces a higher average growth rate than in a certainty setup. We provide a closed form solution for a Cobb-Douglas economy. The effect of uncertainty on portfolio selection is analyzed. Consumption growth rate and risk free interest rate exhibit a U-shaped relationship. Uncertainty negatively affects expected consumption growth rate; such a result seems to be supported by empirical evidence.     

Excess demand functions with incomplete markets—a global result

The purpose of this paper is to give a global characterization of excess demand functions in a two-period exchange economy with incomplete real asset markets. We show that continuity, homogeneity and Walras’ law characterize the aggregate excess demand functions on any compact price set which maintains the dimension of the budget set.     

Carbon tax simulations using a household demand model

The main objective of this paper is to analyse consumer response and welfare effects due to changes in energy or environmental policy. To achieve this objective we formulate and estimate an econometric model for non-durable consumer demand in Sweden that utilises micro- and macro-data. In the simulations, we consider two revenue neutral scenarios that both imply a doubling of the CO₂ tax; one that returns the revenues in the form of a lower VAT and one that subsidise public transport. One conclusion from the simulations is that the CO₂ tax has regional distribution effects, in the sense that household living in sparsely populated areas carry a larger share of the tax burden.     

Market microstructure in a global B2B network

On‐line marketplaces raise several interesting issues, among them the relevance of location when content is digitized, and the assessment of a supplier's capabilities when buyers worldwide only have electronic contact with sellers. In global B2B on‐line marketplaces, market microstructures, i.e. which firms compete for the same customers, are thus likely to be influenced by how customers value location and firm capabilities in their decisions to do business with different suppliers on‐line. We suggest that both these sets of attributes will continue to matter on‐line—firms possessing similar capabilities, as well as firms that are similar in location by country, time zones or clusters, will compete for business from the same customers. We model the similarity in competitive positions between pairs of firms based on the overlap in their customer networks, using data on actual interactions between supplier and customer banks on an electronic trading system. Using QAP network regression techniques on the 100 largest banks in this industry, we find that similarity in capabilities influences who competes with whom, and that location still matters in a global B2B exchange. Interestingly, location influences who a firm's competitors are, but not where its customers are from. Copyright © 2001 John Wiley & Sons, Ltd.     

美国深空网的同波束干涉测量技术

讨论了美国NASA深空网(DSN)对深空飞船所采用的同波束干涉(SBI)技术概念和测量原理，并介绍了这一技术的应用和发展情况。     

Unit roots and infrequent large shocks: new international evidence on output

The nature and magnitude of the economic shocks that have affected the per capita GDP of 16 OECD countries are analyzed over a long period using the outlier method. Strong proof of infrequent large permanent and transitory shocks were found, essentially resulting from the two major wars in the twentieth century, the recession in the 1920s, the Great Depression, among others. We also examine the nature of the output trend by combining different tests of non-stationarity on different GDP series corrected by the outliers detected. It is shown that the per capita GDP series cannot reject the unit root hypothesis in 13 of the 16 countries examined. No conclusion could be drawn for the other countries because the test results were contradictory.     

Separating microstructure noise from volatility

There are two variance components embedded in the returns constructed using high frequency asset prices: the time-varying variance of the unobservable efficient returns that would prevail in a frictionless economy and the variance of the equally unobservable microstructure noise. Using sample moments of high frequency return data recorded at different frequencies, we provide a simple and robust technique to identify both variance components.     

浅析物流方向大学生的专业素质

新兴的物流产业，不仅加速社会经济发展，促进人们生活质量的提高，而且为即将走出校门的物流专业大学生提供了巨大的就业机会然而，当前物流业较高的专业要求和我国特定的物流环境，却使得高校的物流专业大学生很难适应现代物流业的发展需求，应对我国物流业发辰的新形势，培养出适合我国国情，紧跟物流业发展步伐，具有较强物流专业素质的人才．是高等教育和物流行业亟待解决的重大理论问题和实践问题。     

以质量为本振兴企业

以质量为根本，全面提高企业管理水平，最终达到提高经济效益的目的。