A Semiparametric Method for Valuing Residential Locations: Application to Automated Valuation

This paper is motivated by automated valuation systems, which would benefit from an ability to estimate spatial variation in location value. It develops theory for the local regression model (LRM), a semiparametric approach to estimating a location value surface. There are two parts to the LRM: (1) an ordinary least square (OLS) model to hold constant for interior square footage, land area, bathrooms, and other structural characteristics; and (2) a non-parametric smoother (local polynomial regression, LPR) which calculates location value as a function of latitude and longitude. Several methods are used to consistently estimate both parts of the model. The LRM was fit to geocoded hedonic sales data for six towns in the suburbs of Boston, MA. The estimates yield substantial, significant and plausible spatial patterns in location values. Using the LRM as an exploratory tool, local peaks and valleys in location value identified by the model are close to points identified by the tax assessor, and they are shown to add to the explanatory power of an OLS model. Out-of-sample MSE shows that the LRM with a first-degree polynomial (local linear smoothing) is somewhat better than polynomials of degree zero or degree two. Future applications might use degree zero (the well-known NW estimator) because this is available in popular commercial software. The optimized LRM reduces MSE from the OLS model by between 5 percent and 11 percent while adding information on statistically significant variations in location value.     

政府主导还是市场主导--我国转轨金融运行机制的评价研究

转轨过程中,我国金融运行机制是采取政府主导还是市场主导模式是经济学界争论的焦点,文章应用ARCH类模型对我国金融运行机制进行实证研究,结果表明我国金融运行机制与西方市场经济国家存在显著区别。在我国转轨的特定阶段,金融系统无法依靠自身的力量达到稳定状态,只有靠外部力量的非市场干预才能实现金融系统的平稳运行。目前在金融系统自身不具备自我稳定的功能条件下,政府的外部干预是金融系统平稳运行的前提,否则会导致金融系统陷入剧烈的波动之中。     

Consistency conditions for affine term structure models

Sufficient conditions for the application of the Feynman-Kac formula for option pricing for wide classes of affine term structure models in the jump-diffusion case are derived by generalizing earlier results for bond pricing in the pure-diffusion case The author is grateful to Mikhail Chernov and Darrel Duffie for useful discussions and suggestions.     

The Dynamics of Location in Home Price

It is well established that house prices are dynamic. It is also axiomatic that location influences such selling prices, motivating our objective of incorporating spatial information in explaining the evolution of house prices over time. In this paper, we propose a rich class of spatio-temporal models under which each property is point referenced and its associated selling price modeled through a collection of temporally indexed spatial processes. Such modeling includes and extends all house price index models currently in the literature, and furthermore permits distinction between the effects of time and location. We study single family residential sales in two distinct submarkets of a metropolitan area and further categorize the data into single- and multiple-transaction observations. We find the spatial component is very important in explaining house price. Moreover, the relative homogeneity of homes within the submarket and the frequency with which homes sell affects the pattern of variation across space and time. Differences between single and repeat sale data are evident. The methodology is applicable to more general capital asset pricing when location is anticipated to be influential.     

Pricing default swaps: Empirical evidence

In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model outperforms directly comparing bonds' credit spreads to default swap premiums. We find that the model yields unbiased premium estimates for default swaps on investment grade issuers, but only if we use swap or repo rates as proxy for default-free interest rates. This indicates that the government curve is no longer seen as the reference default-free curve. We also show that the model is relatively insensitive to the value of the assumed recovery rate.     

Modified efficient importance sampling for partially non‐Gaussian state space models

The construction of an importance density for partially non‐Gaussian state space models is crucial when simulation methods are used for likelihood evaluation, signal extraction, and forecasting. The method of efficient importance sampling is successful in this respect, but we show that it can be implemented in a computationally more efficient manner using standard Kalman filter and smoothing methods. Efficient importance sampling is generally applicable for a wide range of models, but it is typically a custom‐built procedure. For the class of partially non‐Gaussian state space models, we present a general method for efficient importance sampling. Our novel method makes the efficient importance sampling methodology more accessible because it does not require the computation of a (possibly) complicated density kernel that needs to be tracked for each time period. The new method is illustrated for a stochastic volatility model with a Student's t distribution.     

基于排队论的公交站点停车位优化及实证分析

优化设计公交站点停车位数是站点建设的一步重要工作,停车位数过多或过少都会影响公交系统的运营效率和服务质量。鉴于此,此文将探讨基于排队理论的公交站点停车位数优化方法,并以武汉市街道口站为例,运用该方法进行了实证分析,以期对武汉市的公共交通建设提供理论上的参考。     

西北5省区“生态环境—经济发展—城镇化”耦合协调发展及预测分析

［目的］探讨“生态环境—经济发展—城镇化”三维系统（以下简称“EEU”系统）协调发展关系,以期为推动三者全面协调发展提供参考。［方法］文章以西北5省区为例,在构建EEU系统评价指标体系的基础上,运用熵权法、耦合协调模型、GIS工具和灰色预测模型对西北各省区EEU系统耦合协调发展进行分析。［结果］2003—2017年西北5省区EEU系统评价值呈上升趋势,经济发展和城镇化系统评价值呈波动上升态势,明显高于生态环境系统评价值; 耦合度水平较高,协调度整体由过度发展大类向协调发展大类演变; 各省区协调度上升等级不同且未能达到优质协调等级,协调发展的制约因素有经济发展滞后型和生态环境滞后型两大类; 未来5年各省区协调度将稳步提升,但演进差异明显。［结论］提出要遵循科学方法,补齐生态环境短板;突破薄弱环节,推进系统协调发展;重点关注甘肃,实现区域协同发展的对策建议。