含跳跃过程单因子利率模型的估计——基于中国国债回购利率的实证分析

在CKLS模型的基础上,我们提出了一个加入跳跃过程的单因子利率期限结构模型。通过对我国国债回购利率的实证检验,发现加入跳跃过程后,模型不但能更好地拟合实际数据．而且揭示了利率均值回复和水平效应的部分原因,从而增强了模型的解释能力。     

Introducing a general class of species diversification models for phylogenetic trees

Phylogenetic trees are types of networks that describe the temporal relationship between individuals, species, or other units that are subject to evolutionary diversification. Many phylogenetic trees are constructed from molecular data that is often only available for extant species, and hence they lack all or some of the branches that did not make it into the present. This feature makes inference on the diversification process challenging. For relatively simple diversification models, analytical or numerical methods to compute the likelihood exist, but these do not work for more realistic models in which the likelihood depends on properties of the missing lineages. In this article, we study a general class of species diversification models, and we provide an expectation-maximization framework in combination with a uniform sampling scheme to perform maximum likelihood estimation of the parameters of the diversification process.     

Can Direct Regulations Spur Innovations in Environmental Technologies? A Study on Firm‐Level Patenting

Using a rich Norwegian panel dataset that includes information about the type and number of patent applications, direct environmental regulations, and a large number of control variables, we analyze the effects of direct regulations on environmental patenting. We use inspection violation status as a measure of regulatory stringency, while controlling for risk class. Violation status captures the probability that a firm might be sanctioned for violating its emission permit. Controlling for risk class captures firm heterogeneity related to dirtiness and inspection frequency. We empirically identify strong and significant effects on innovations resulting from the implicit regulatory costs of direct regulations.     

未确知数减法运算的推广

本文是文献[1]定义的未确知数减法运算的推广,且给出了一个新的定义方式.     

ON THE DISTRIBUTION OF ORDER STATISTICS FOR A RANDOM SAMPLE SIZE

The distributions of the life lengths of a parallel and of a series system with a random number of components have been studied in reliability theory. In this paper we obtain the distributions of the i'th order statistics and the range, assuming the sample size to be random, with a generalized negative binomial, a generalized Poisson and a generalized logarithmic series distribution. The results of Raghunandanan and Patil (1972) follow immediately from our results.     

Quasi-maximum likelihood estimation of parameters in a multivariate poisson process

Asymptotic normality and quick consistency of quasi-maximum likelihood estimators of parameters in a multivariate Poisson process are proved. Possible application of the results obtained to the problem of unfolding histograms is briefly discussed.     

整合技术概念及对新古典就业理论的反思

笔者提出整合技术概念，即所有的工人整合在一起操作生产系统；如果任何一名工人缺失，则生产系统不能运行。如果一种技术严格具有整合技术的性质，那么在到达能使生产系统运行之前，工人的边际产品为零。如果增加一名工人生产系统就可运行，则这名工人的边际产品等于总产品。如果再增加一名工人的边际产品为零，则边际产品曲线退化为一条垂直线。新古典边际劳动生产率理论认为，厂商雇闸工人的工资等于劳动的边际产品，但这一理论显然不适合整合技术。因此，要研究在更一般条件下厂商雇用决策的机制。采用整合技术的概念可以对很多经济学的理论问题进行重新思考。     

Nonparametric estimators of the bivariate survival function under random censoring

A large number of proposals for estimating the bivariate survival function under random censoring have been made. In this paper we discuss the most prominent estimators, where prominent is meant in the sense that they are best for practical use; Dabrowska's estimator, the Prentice–Cai estimator, Pruitt's modified EM-estimator, and the reduced data NPMLE of van der Laan. We show how these estimators are computed and present their intuitive background. The asymptotic results are summarized. Furthermore, we give a summary of the practical performance of the estimators under different levels of dependence and censoring based on extensive simulation results. This leads also to a practical advise.     

The Russian option: Finite horizon

We show that the optimal stopping boundary for the Russian option with finite horizon can be characterized as the unique solution of a nonlinear integral equation arising from the early exercise premium representation (an explicit formula for the arbitrage-free price in terms of the optimal stopping boundary having a clear economic interpretation). The results obtained stand in a complete parallel with the best known results on the American put option with finite horizon. The key argument in the proof relies upon a local time-space formula.Received: March 2004, Mathematics Subject Classification (2000): 91B28, 35R35, 45G10, 60G40, 60J60JEL Classification: G13Goran Peskir: Centre for Analytical Finance (funded by the Danish Social Science Research Council) and Network in Mathematical Physics and Stochastics (funded by the Danish National Research Foundation).The first draft of the present paper has been completed in September 2002. I am indebted to Albert Shiryaev for useful comments.     

A correlated bivariate Poisson jump model for foreign exchange

This paper develops a new bivariate jump model to study jump dynamics in foreign exchange returns. The model extends a multivariate GARCH parameterization to include a bivariate correlated jump process. The conditional covariance matrix has the Baba, Engle, Kraft, and Kroner (1989) structure, while the bivariate jumps are governed by a Correlated Bivariate Poisson (CBP) function. Using daily data we find evidence of both independent currency specific jumps, as well as jumps common to both exchange rates of the Canadian dollar and Japanese Yen against the U.S. dollar. The paper concludes by investigating a time-varying structure for the arrival of jumps that relaxes the assumption of constant and bounded jump correlation imposed by the CBP function.I am indebted to two anonymous referees and the editor, Baldev Raj for helpful suggestions. I am also grateful for helpful comments from Adolf Buse, Ramazan Gencay, Rehim Kilic, John Maheu, Alex Maynard, Denis Pelletier, Denise Young, and seminar participants at the Tenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics (SNDE), Federal Reserve Bank of Atlanta 2002; the Midwest Econometrics Group (MEG) Meetings, Federal Reserve Bank of Kansas City 2001; Canadian Economics Association (CEA) Meetings, McGill University 2001.