Time Series Concepts for Conditional Distributions*

The paper asks the question – as time series analysis moves from consideration of conditional mean values and variances to unconditional distributions, do some of the familiar concepts devised for the first two moments continue to be helpful in the more general area? Most seem to generalize fairly easy, such as the concepts of breaks, seasonality, trends and regime switching. Forecasting is more difficult, as forecasts become distributions, as do forecast errors. Persistence can be defined and also common factors by using the idea of a copula. Aggregation is more difficult but causality and controllability can be defined. The study of the time series of quantiles becomes more relevant.     

Regulation And The Rise In Asset-Based Mutual Fund Management Fees

In this article I explain why asset‐based fees are common for mutual fund management companies and why the average fee has increased recently. I argue that Securities and Exchange Commission fee regulations make alternative fee types illegal or unattractive. Management companies can maintain higher fees because regulations and brand‐name capital partly insulate them from competition and because investors cannot easily distinguish between performance‐oriented and marketing‐oriented fund companies. Index funds and unit investment trusts may offer competition to mutual funds in the future because they are designed to minimize management fees.     

Orange County Bankruptcy: Financial Contagion in the Municipal Bond and Bank Equity Markets

We examine the spillover wealth effects of the Orange County, California bankruptcy announcement in December 1994 on municipal bonds, municipal bond funds, and bank stocks. This bankruptcy is prominent because of unprecedented losses and because it was caused by a highly leveraged derivatives strategy rather than a shortage of tax revenues and excess spending. We find contagion in the bond market with significantly negative abnormal returns for municipal bond funds without direct exposure to Orange County and for non‐Orange County municipal bonds. In addition, our findings suggest the contagion spills over to the common stocks of investment and commercial banks that deal in or use derivatives; however, the equities of banks unexposed to derivatives are not affected.     

股市波动、金融政策和宏观经济关系研究——基于因子VAR模型

通过因子分析从诸宏观经济变量中提取了金融政策因子和宏观经济状态因子,建立了基于VAR的股价波动、金融政策和宏观经济三变量回归模型。研究表明：金融政策影响股价的表现,而宏观经济状态对股价、股价对金融政策和宏观经济状态的影响均不显著;基于标准差的VAR（5）模型相对于基于收益率的VAR（3）模型能更好地刻画股市波动与金融政策、宏观经济三者之间的关系。     

P2P网络的数字证书撤消列表发布机制分析比较

大规模PKI(Public Key Infrastructure)的管理机构一般采用证书撤消列表(Certificate Revocation List,简称CRL)的方式汇总因密码泄露、过期等因素导致失效的数字证书.PKI主要通过发布CRL来验证证书有效性,但如何提高CRL的发布效率以降低部署成本,一直是部署PKI的...     

流量控制在中小机场中的应用

随着互联网技术的快速发展,全国的中小机场的信息化建设已经从起步阶段到了蓬勃发展的阶段.而网络规模的不断扩大和应用的广泛深入,给网络系统的正常运行带来了一系列问题.本文就如何有效封堵p2p应用或限制此类应用提出对网络进行智能化管理的必要性,并针对实际情况提出了解决方案,从而实现民航关键业务的安全、高效、稳定.     

论B2C在适应性方面存在的问题

随着互联网和计算机的不断发展,电子商务已越来越受到大众的普遍关注。B2C在我国得到迅速的发展,但是在适应性方面存在的问题成为阻碍其发展的障碍。     

浅析B2C商城的内部风险控制模式的确立

近年来,B2C电子商城多次出现价格标错等异常事件发生,对企业的声誉、经营及利润等带来很大的危害。为此,文章中提出根据电子商务企业的实际情况,建立一套相对完整、有效地内部风险控制模式。该内部风险控制模式主要包括人员管理控制、系统可靠性控制、流程控制及应急管理控制等四个方面的内容,从多个方面入手,努力降低突发异常事件对电子商务企业带来的伤害。     

Intra-industry trade in the European computers industry

Intra-Industry Trade in the European Computers Industry. —This paper analyzes the pattern of intra-industry trade in the European computers industry. Hypotheses regarding both country-specific and industry-specific factors are tested. Those include proxies for level of economic development, market size, market proximity, scale economies and market concentration. The problem of categorical aggregation is explicitly addressed and a method to overcome is suggested. The results of the econometric analysis corroborate the predictions of the theoretical models and their ability to identify at least some of the crucial factors driving to international specialization.     

Trade Liberalization and Environmental Taxation in Federal Systems

The literature on trade liberalization and environment has not yet considered federal structures. In this paper, we show how the design of environmental policy in a federal system has implications for the effects of trade reform. Trade liberalization leads to a decline in pollution taxes, regardless of whether pollution taxes are set at the federal (centralized) or local (decentralized) level, and it increases social welfare. The effect under a decentralized system is smaller than if these taxes are set by the federal government, and pollution emissions therefore decline in this case. Moreover, majority bias interacts with trade liberalization if federal taxes are used.