Nonparametric estimation of stochastic volatility models

This letter introduces nonparametric estimators of the drift and diffusion coefficient of stochastic volatility models which exploit techniques for estimating integrated volatility with high-frequency data. The performance of the proposed estimators is assessed on simulations of two popular stochastic volatility models.     

Explaining Real Commercial Rents Using an Error Correction Model with Panel Data

This paper presents rent models for retail and office property in the United Kingdom. Panel data are used covering eleven regions for 29 years, enabling us to overcome the limitations of a relatively short time series. We use an error correction model (ECM) framework to estimate long-run equilibrium relationships and short-term dynamic corrections. The combination of panel data and an ECM is an innovative approach that is still being developed in economics. We construct new supply series that combine infrequent stock data with more frequent construction data. Separate regional models are estimated for retail and office properties. The regions are then combined into a number of panels on the basis of the income and price elasticities in the long-run and short-run models. Unlike previous studies, we find no evidence of a board north–south divide between low growth and high growth regions. Like these studies we do find a London effect: in London, demand elasticities for space with respect to both price (rent) and income are much lower in magnitude. We conclude that, while the economic drivers may vary, there is no evidence of differences in the operation of the regional property markets outside London. Elasticities for retail and office are similar. Our final models are parsimonious with single measures of economic activity and of supply and always support the use of an ECM.     

论建设项目前期的工程造价合理确定

投资估算是控制工程造价的源头，是开展工程造价管理后续工作的关键，尤其在工程建设投资多元化的当今，能否合理确定投资估算、设计概算，将影响到投资资金筹措和计划的落实。章就如何合理地确定工程造价提出了建议。     

Inference with Dependent Data in Accounting and Finance Applications

We review developments in conducting inference for model parameters in the presence of intertemporal and cross‐sectional dependence with an emphasis on panel data applications. We review the use of heteroskedasticity and autocorrelation consistent (HAC) standard error estimators, which include the standard clustered and multiway clustered estimators, and discuss alternative sample‐splitting inference procedures, such as the Fama–Macbeth procedure, within this context. We outline pros and cons of the different procedures. We then illustrate the properties of the discussed procedures within a simulation experiment designed to mimic the type of firm‐level panel data that might be encountered in accounting and finance applications. Our conclusion, based on theoretical properties and simulation performance, is that sample‐splitting procedures with suitably chosen splits are the most likely to deliver robust inferential statements with approximately correct coverage properties in the types of large, heterogeneous panels many researchers are likely to face.     

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.     

喀纳斯景区草地景观美学价值评价及影响因素分析

[目的]自然景区的美学价值大小直接决定着其旅游开发的成败,为了解喀纳斯景区草地景观美学价值。[方法]该文选用心理物理学派的美景度评价体系,对景区内4个区域草地景观的美景度进行了定量评价,并依据上述样地植物群落α多样性和功能群结构的分析,探讨了植物多样性对喀纳斯景区草地景观美景度的影响。[结果]研究表明:喀纳斯景区草地景观美学价值整体较高,α多样性指数居中的草地美景度得分较高,α多样性指数较高的草地美景度次之,α多样性指数较低的草地美景度最差;随着功能群中一、二年生植物重要值的上升,多年生杂类草的重要值下降,美景度呈降低的趋势;美景度与平均高度、平均盖度、生物量、Shannon-Wiener指数、Margalef丰富度指数、Simpson指数和多年生杂类草重要值呈显著正相关,而与一、二年生杂草重要值呈显著负相关。[结论]因此,草地植物多样性是草地景观美学价值的重要载体,旅游活动导致草地群落植物多样性发生改变,进而深刻影响了草地景观的美学价值。     

长江经济带乡村生态韧性测度及影响因素研究

目的 测度和评价长江经济带的乡村生态韧性,实证检验其影响因素,为维持全流域乡村地域系统稳定性和可持续性、全面推进乡村振兴提供科学依据。方法 文章采用生态足迹模型、泰尔指数、核密度估计等方法对2010—2019年长江经济带11个省市的乡村生态韧性进行测度和评价,运用PCSE、FGLS方法实证检验了长江经济带乡村生态韧性的影响因素。结果 （1）在时序演变上,长江经济带的乡村生态韧性有所下降,乡村生态韧性均值从2010年的0.215下降到2019年的0.200;（2）在区域分异特征上,长江经济带乡村生态韧性并未出现明显极化现象,但各地区乡村生态韧性总体差距呈现出扩大趋势,且上游、中游和下游不同流域段之间的差距是导致全流域各地区乡村生态韧性差异的主要原因;（3）在空间格局上,全流域呈现出上游、中游、下游梯度下降态势,且空间演进呈现“东北—西南”格局,总体上空间布局的演变较小;（4）影响因素发现,农村信息化、财政支农与长江经济带的乡村生态韧性呈正相关关系,而农村经济增长、农村人力资本、城镇化发展与乡村生态韧性呈负相关。结论 建议以推进乡村经济多元化、生态化发展,构建合理的留才引才机制,深化数字乡村建设,推进绿色城镇化,构建城乡环境共同体,健全以绿色生态为导向的财政支农政策体系以提高长江经济带乡村生态韧性。     

西北地区城乡收入差距的时空分异及影响因素

目的 为准确把握市域尺度下西北地区城乡收入差距的时空演变特征,促进该区域城乡融合发展。方法 文章基于2010—2018年51个市域单元城乡居民收入比数据,综合运用核密度估计、探索性空间数据分析和空间回归模型等方法研究了西北地区城乡收入差距的时空分异及影响因素。结果 （1）西北地区城乡居民收入比由3.189下降至2.736,下降幅度为14.21%;（2）空间分布格局上形成了东西方向的“U型”特征和南北方向由北及南平滑上升的特征;（3）全局莫兰指数在波动中由0.322上升至0.358,上升幅度为11.18%;（4）空间滞后模型表明城镇化对城乡收入差距有正向影响,产业结构高级化、农业现代化和金融效率对城乡收入差距有负向影响,而经济发展虽然能够缩小城乡收入差距,但两者在计量结果上显示“U型”关系。结论 西北地区城乡收入差距在小幅波动中表现出缩小的趋势,且市域之间的差异呈现出收敛的态势;西北地区城乡收入差距在空间分布上表现出较为显著的正自相关性,且在局部地区有板块集聚特征;空间因素是西北地区缩小城乡收入差距不可忽视的重要因素。     

1990－2015年三峡库区重庆段水田时空分布及演变特征

目的 水田作为三峡库区重要的耕地类型与湿地景观,对保障该区的粮食和生态安全起到了不可替代的作用。分析水田的时空分布及演变特征,为农业结构调整、水田经营政策的制定以及保障库区生态系统的安全提供一定的理论基础。方法 文章基于三峡库区重庆段1990年、2005年、2015年土地利用图像,利用ArcGIS和FRAGSTATS软件,运用土地利用转移矩阵、核密度估计以及景观指数模型等方法,分析三峡库区重庆段在不同时段水田的时空分布与演变特征。结果 2015年三峡库区重庆段水田面积为5 267.94 km²,占耕地总面积的26.70 %,平均坡度为11.87°,其中丘陵地区水田面积分最大,不同区县间水田面积差异显著。（2）近25 年草地、建设用地和水田间发生显著转移,1990—2005年水田主要转向旱地,2005—2015年水田主要转向建设用地,且转出面积大于转入面积,水田的总面积持续减少。（3）近25年来三峡库区重庆段水田面积的核密度分布呈现“西密东疏”“南密北疏”的分布格局。1990年水田分布的聚集区表现为江津和长寿2个核心分布带;2005—2015年江津的核密度值由高密度区转变为低密度区,水田分布的聚集区仅剩长寿核心分布带。（4）在7种土地利用类型中,水田的景观优势度居于中间位置,随着水田面积不断减少,水田景观的破碎化进一步扩大。结论 从粮食安全和生态保护的角度出发,未来产业结构调整和高标准农田建设中,必须稳定一定数量和质量的水田面积,充分发挥水田的生产和生态功能。     

模糊类比法在工程造价估算中的应用

工程造价的模糊估算方法是一种应用模糊数学的基本原理,对同一结构体系的拟建工程和已建工程结构方案的相似程序进行定量化对比和研究,从而快速地利用类似已建工程的造价资料估算拟建工程造价的方法。主要介绍该方法基本原理,并通过案例进行验证。