Effective observation of random processes using derivatives

Metrika - What are optimal observation times of a random process to obtain good prediction or good estimation of the (parametric) trend? In the presented paper we discuss especially the following...     

ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

Abstract. The aim of this survey paper is to provide an account of some of the important developments in the autoregressive conditional heteroskedasticity (ARCH) model since its inception in a seminal paper by Engle (1982). This model takes account of many observed properties of asset prices, and therefore, various interpretations can be attributed to it. We start with the basic ARCH models and discuss their different interpretations. ARCH models have been generalized in different directions to accommodate more and more features of the real world. We provide a comprehensive treatment of many of the extensions of the original ARCH model. Next we discuss estimation and testing for ARCH models and note that these models lead to some interesting and unique problems. There have been numerous applications and we mention some of these as we present different models. The paper includes a glossary of the acronyms for the models we describe.     

Confronting the issue of substance abuse in the workplace: When organized labor and management work together

The focus of this report is to describe the efforts of management (Midwest Coca-Cola) and organized labor (Local 792, International Brotherhood of Teamsters) in attempting to confront the issue of substance abuse (drugs and alcohol) by employees covered by a collective bargaining agreement. The conclusion is reached that the experience at Midwest Coca-Cola's bottling facility is an excellent example of management and organized labor recognizing a common threat, arguing to deal with the threat, and attempting through joint action to confront the menace of substance abuse in the workplace.     

An invariance principle forU-statistics in simple random sampling without replacement

Summary Supplementing the well-known invariance principle forU-statistics based on i.i.d. observations (Miller and Sen 1972) we establish an invariance principle forU-statistics in case of simple random sampling from a sequence of finite populations. This generalizes the asymptotic normality-result of Nandi and Sen (1963), and permits e.g. to prove asymptotic normality ofU-statistics in the presence of random non-response.     

政策与策略主导市场 预期与技术搅动价格——2005年-2006年国际金融市场回顾与展望

2005年，国际金融市场呈现出美元汇率逆反走强、股票市场背离预期、主要货币体的政策和价格竞争更为激烈、金融产品与资源产品价格错落起伏、石油和黄金价格双双创出新高并带动其他资源产品价格上涨等突出特点。展望2006年，国际金融市场仍将充满风险与挑战，美国因素将依然是国际金融市场关注的焦点，欧元潜在的风险乃至危机将更为严峻，美元汇率、石油价格和黄金价格走势将依然是国际金融市场价格变动的风向标。     

How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR

Value at Risk (VaR) and stressed value at Risk (SVaR) or expected shortfall are important risk measures widely used in the financial services industry for risk management and market risk capital computation. Fundamental to any (S)VaR model is the choice of the return type model for each risk factor. Because the resulting SVaR numbers are highly sensitive to the chosen return type model it is important to make a prudent choice on the return type modelling. We propose to estimate the return type model from historic data without making an a priori model assumption on the return model. We explain the fundamentals of return type modelling and how it impacts the magnitude of SVaR. We further show how to obtain a global return type model from a set of similar return type models by using geometric calculus. Numerical simulations and illustrations are provided. In this paper, we consider interest rate data, but the proposed methodology is general and can be applied to any other asset class such as inflation, credit spread, equity or fx.     

供给管理和需求管理的理论演进与政策分析

古典经济学派推崇“供给创造自身的需求”,并断言经济不可能出现持久的生产过剩;供给学派强调减税和激励对经济增长的作用,他们的某些观点虽然存在争议,但其中的合理性与启发性也不可否认;（中国）新供给学派针对当前的经济形势,提出供给侧结构性改革的建议。凯恩斯主义的需求管理能够增加产出和提高就业水平,但并不总是有效。供给管理和需求管理的有机配合,是稳定经济繁荣、促进经济长期增长的客观要求,在经济实践中也取得了一定成效;但其有效实施存在若干难点,需要准确把握宏观经济形势,制定正确有效的政策措施, 才能保证宏观调控预期目标的实现。     

Stochastic equilibria for economies under uncertainty with intertemporal substitution

We consider the model of a stochastic pure exchange economy with a finite set of agents whose preferences exhibit local substitution in the sense of Hindy and Huang (1992). In order to prove the existence of Arrow–Debreu equilibria, it is assumed in Bank and Riedel (2001) that smooth subgradients exist (Assumption 1 in Bank and Riedel (2001)) and that they are uniformly bounded from above and away from zero (Assumption 2 in Bank and Riedel 2001). In this paper, we prove that the existence of smooth subgradients implies local properness of preferences. By a slight improvement of classical existence results of the literature, we prove that the local properness of preferences is a sufficient condition for the existence of equilibria, rendering Assumption 2 in Bank and Riedel (2001) superfluous. This work was partially done while F. Riedel was visiting Ceremade at Université Paris–Dauphine     

Learning about Risk: Some Lessons from Insurance

This paper argues that in the fundamental subject of financialrisk analysis, some valuable lessons may be drawn from insurance.The probability of ruin, defined as a first passage time, carriesa dynamic element whose absence in Value at Risk is one liability,among others. Extreme value theory, which has been successfullyapplied to insurance shortly after it was introduced in probability,may offer a coherent framework for analyzing the extreme movessuch as the ones observed in recent foreign exchange and financialcrises. Lastly, we show that the genuine hazards generated byglobal capital markets and illustrated by the events of summer1998, generate a market incompleteness that existing modelsof defaultable bonds do not fully address. In contrast, thelong experience of risk premium analysis in the insurance andreinsurance industry, as well as the existence of historicaldata on natural disasters, render the valuation of catastrophebonds less perilous than that of defaultable bonds.