Measuring the cost of liquidity in agricultural futures markets: Conventional and Bayesian approaches

Estimating the cost of liquidity in agricultural futures markets is challenging because bid‐ask spreads are usually not observed. Based on an ability to reflect simulated data from Roll's spread model, we assess the effectiveness of conventional and Bayesian bid‐ask spread estimators under different market conditions. Conventional serial covariance and absolute price change spread estimators appear to be biased. Hasbrouck's Bayesian estimator generates small costs of liquidity whose values depend on the correlation and noise in the data. The absolute value Bayesian estimator is precise and works well under conditions of high levels of noise and correlation usually found in agricultural futures markets. Using data from live cattle (LC) and lean hog (LH) contracts, we find similar patterns of performance that produce economically meaningful cost of liquidity differences.     

普通似然及经验似然情况下的结点问题

本文在普通似然及经验似然情况下,分别对数据无结点和有结点的情况做了计算,得出在普通似然及经验似然问题中,有结点与无结点情况完全相同的结论。     

施工方案措施的选取对最高投标限价影响研究

国有资金投资的建设工程招标,必须编制招标控制价(最高投标限价)[1],概预算定额在今后相当长的一段时间内还是最高投标限价的编制基础,估算指标还处于不断补充、不断更新的过程,有的地方甚至缺乏完整的体系.在完善工程计价依据,加强工程造价数据积累及施工合同履约管理的过程中,工程招标投标及最高投标限价如何自主报价、竞争定价成为...     

跳频信号的归一化多普勒频差最大似然估计

针对双站定位涉及的跳频信号多普勒频差估计问题,提出了归一化的频差最大似然估计算法,利用两个定位站接收到的跳频脉冲串信号,构建一个关于基准跳频频率多普勒频差的似然函数,通过网格搜索得到使似然函数最大的多普勒频差估计,既解决了跳频信号在不同跳频频率上多普勒频差不一致的问题,又充分利用在不同频率的脉冲串信号提高了多普勒频差估计精度。通过仿真对算法的性能进行了评估,结果表明,与基于子空间的算法比较,在脉冲数达到240个时,所提算法执行效率提升30%以上。     

Dynamic causality between the U.S. stock market,the Chinese stock market and the global gold market: implications for individual investors’ diversification strategies

This paper proposes a generalization of the prior VAR and EGARCH model to explore the linkage between returns and volatility transmissions in the U.S. stock market, the Chinese stock market, and the global gold market from 10 July 1996 to 20 July 2018. We found that past returns of the U.S. stock market can predict the current returns of the other two markets, and that significant reciprocal volatility transmission existed within and across all three markets. We further implemented average out-of-sample (OOS) forecasting to show that a risk-adjusted portfolio, such as mean-variance with sample estimator, does not outperform an equal-weighted portfolio. This provides insights for individual investors and helps to explain the ongoing disagreement in the portfolio literature concerning the effectiveness of risk-adjusted portfolios and equal-weighted portfolios when the number of assets is small.     

Consistent inference in fixed-effects stochastic frontier models

The classical stochastic frontier panel data models provide no mechanism to disentangle individual time invariant unobserved heterogeneity from inefficiency. Greene (2005a, b) proposed the so-called “true” fixed-effects specification that distinguishes these two latent components. However, due to the incidental parameters problem, his maximum likelihood estimator may lead to biased variance estimates. We propose two alternative estimators that achieve consistency for $n\to \infty$ with fixed $T$. Furthermore, we extend the Chen et al. (2014) results providing a feasible estimator when the inefficiency is heteroskedastic and follows a first-order autoregressive process. We investigate the behavior of the proposed estimators through Monte Carlo simulations showing good finite sample properties, especially in small samples. An application to hospitals’ technical efficiency illustrates the usefulness of the new approach.     

广义空间调制系统的正则化OMP检测算法

在广义空间调制（GSM）系统中,最大似然（ML）检测可以取得最优的检测性能,然而其计算复杂度随激活天线数的增加急剧增长。针对这一问题,提出了一种基于稀疏重构理论的低复杂度检测算法——正则化正交匹配追踪（ROMP）算法。该算法首先根据信道矩阵和当前残差的内积选取多个候选激活天线索引,接着对候选天线索引按正则化标准进行可靠性验证,剔除错误索引,缩小信号的搜索空间,最后通过求解最小二乘问题估计信号。仿真结果表明,与经典的正交匹配追踪（OMP）算法相比,所提算法以少许复杂度的增加为代价极大提升了检测性能,能够在检测性能与复杂度之间取得更好的折中。     

The effects of China's Sloping Land Conversion Program on agricultural households

In the late 1990s, China aimed to mitigate environmental degradation from agricultural production activities by introducing the world's largest “Payments for Environmental Services? program: the Sloping Land Conversion Program (SLCP). We develop a microeconomic Agricultural Household Model, which can model the production, consumption, and nonfarm labor supply decisions of agricultural households in rural China in a theoretically consistent fashion. Based on this theoretical model, we derive an empirical specification, which we econometrically estimate using the Hausman–Taylor method and a large longitudinal farm household data set. The empirical results significantly differ between regions, but are generally consistent with the results of our theoretical comparative static analysis, for example, that the SLCP significantly decreases agricultural production. While the SLCP only increases nonfarm labor supply and total consumption in some regions, these effects could not be observed in others. The recent reduction of the SLCP compensation payment rates generally had negligible effects on agricultural production and off‐farm work and only very small effects on household consumption.     

Gains from horizontal collaboration among ski areas

Ski areas are known to expand by linking their lifts to neighbouring systems. Based on data from approximately 250 winter sport destinations in Austria, pooled over the years 1998–2014, this study explores the effects of such horizontal collaboration on the number of overnights stays in the area. A difference-in-differences (DID) approach combined with propensity score matching shows that new lift-linkages or expansions lead to a consolidation in the number of overnight stays at a level 12 per cent higher than before the introduction of the lift-link. However, there is a certain degree of heterogeneity in the causal effects. Satellite ski areas, remote villages and those who combine lift-linking with new connecting slopes benefit the most. More recent lift-linkages seem to lead to smaller gains than those established in the early years.     

A new energy model to capture the behavior of energy price processes

Owing to the vague fluctuation of energy prices from time to time, a new energy model, which considers both the mean-reverting behavior and the long memory property, is proposed in this paper. Since the problem of estimating parameters, in discrete time for this model, plays a central role in forecast inference, the problem of estimating the unknown parameters has been dealt with for the fractional Ornstein–Uhlenbeck process observed discretely. The asymptotic properties of these estimates are also provided. The numerical simulation results confirm the theoretical analysis and show that our method is effective. To show how to apply our approach in realistic contexts, an empirical study of energy in China, namely Daqing crude oil, is presented. The empirical results seem reasonable when compared to the real data.