Efficient estimation of forecast uncertainty based on recent forecast errors

Multi-step-ahead forecasts of the forecast uncertainty of an individual forecaster are often based on the horizon-specific sample means of his recent squared forecast errors, where the number of past forecast errors available decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such samples are investigated. If the forecast uncertainty is estimated by seemingly unrelated regressions, it turns out that the covariance matrix of the squared forecast errors does not have to be estimated, but simply needs to have a certain structure, which is a very useful property in small samples. Considering optimal and non-optimal forecasts, it is found that the efficiency gains can be substantial for longer horizons in small samples. The superior performance of the seemingly-unrelated-regressions approach is confirmed in several empirical applications.     

Interpreting fluctuations in output growth in China

Unlike in OECD countries, fluctuations in output growth in China are not straightforward in their interpretation. On the one hand, they reflect the business cycle, which results from shocks to aggregate demand. On the other hand, they also reflect the structural transformations that have accompanied China’s transition to a market economy. Demand shocks can be identified by virtue of the persistence of their impact. This paper decomposes the variance in provincial, regional, and national output growth according to its persistence characteristics. The results suggest that during the reform period, only a minority of output growth variance can be attributed to demand shocks and business cycle fluctuations. It is also found that there is substantial heterogeneity in the persistence characteristics of output growth across provinces. Implications of the findings for macroeconomic policy are discussed.     

Shutting up shop: understanding the international exit process in retailing

Internationalisation is a much-studied phenomenon. Exit from international markets has been less analysed. Where it has been studied, most work has been on motives and causes, with relatively little on processes. This article explores the process of international exit in a retail context. It examines the run-up to, announcement of and fall-out from the decision by Marks and Spencer (one of Britain's leading retailers) to close its French stores. The article concludes that understanding the process of market exit is at least as important both for theoretical and practical reasons as understanding the decision to exit or divest. Further research needs to be undertaken on market exit and the processes involved, in order to contribute further to the theory and practice of internationalisation.     

HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET

This paper presents hedging strategies for European and exotic options in a Lévy market. By applying Taylor’s theorem, dynamic hedging portfolios are constructed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented. It is shown that perfect hedging can be achieved. Delta and gamma hedging strategies are extended to higher moment hedging by investing in other traded derivatives depending on the same underlying asset. This development is of practical importance as such other derivatives might be readily available. Moment swaps or power jump assets are not typically liquidly traded. It is shown how minimal variance portfolios can be used to hedge the higher order terms in a Taylor expansion of the pricing function, investing only in a risk‐free bank account, the underlying asset, and potentially variance swaps. The numerical algorithms and performance of the hedging strategies are presented, showing the practical utility of the derived results.     

MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET

In this paper, for a process S , we establish a duality relation between K_p , the     - closure of the space of claims in     , which are attainable by "simple" strategies, and     , all signed martingale measures     with     , where   p ≥ 1, q ≥ 1  and     . If there exists a     with     a.s., then K_p consists precisely of the random variables     such that ϑ is predictable S -integrable and     for all     . The duality relation corresponding to the case   p = q = 2  is used to investigate the Markowitz's problem of mean–variance portfolio optimization in an incomplete market of semimartingale model via martingale/convex duality method. The duality relationship between the mean–variance efficient portfolios and the variance-optimal signed martingale measure (VSMM) is established. It turns out that the so-called market price of risk is just the standard deviation of the VSMM. An illustrative example of application to a geometric Lévy processes model is also given.     

高业绩企业群体中的弱企业效应研究——以2002—2006中国500强企业为样本的分析

企业绩效差异的主要影响因素来自产业层面还是企业层面一直是企业战略理论关注的基本问题。自从Schmalensee(1985)应用方差分析技术得出其效应分布结论以来,对此问题的研究一直延续至今。战略管理学者较一致的结论是企业层面因素即企业效应是影响企业业务绩效差异的主要因素。然而,本文所作的数据分析表明,在我国高业绩企业群中,企业因素并不是绩效总差的主要解释因素,其解释能力弱于产业因素,即使是在充分竞争领域也是如此。通过对一组反馈回路的考察,本文分析了在我国弱企业效应产生和持续的原因、条件,并据此提出了一种新的关于企业经营策略性质的分类方法。     

Social Position and Behaviour: A Formalization

Modern society has witnessed anever-increasing development in the social sciences;partly due to changes in mentality, and partly due tothe growing requirements of the economic and political world – requirements which frequently takeon the guise of necessity, as for instance in thecases of market research and electoral opinion polls.Such development has produced an increasing paralleldemand for mathematical accuracy and exactitude inthese fields.The intention here is to rationalize the basic logicand methodology of the sociological procedure; anintention, it is hoped, which could be influential inimproving practical sociological work by rendering itmore comprehensible. This requires the employment offairly sophisticated mathematical and statisticalnotions.Section 1 outlines the definitions considered essential for the rationalization of the basiclogic framework previously described.Section 2 discusses the general concept of statisticalvariance. Section 3 introduces the notion of ``heterogeneity'and offers several propositions linked to this concept.Section 5 revolves around the notion of ``inaccuracy'.Section 6 presents a theorem relating to theimmersion of metric spaces in Banach spaces, andshows how the theorem can be used to constructtheoretically satisfactory immersion algorithms.Section 7 together with the material, which ispreviously introduced in Section 4, outlines thecluster analysis and the principal components methodologies.     

ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

We develop a theory of robust pricing and hedging of a weighted variance swap given market prices for a finite number of co‐maturing put options. We assume the put option prices do not admit arbitrage and deduce no‐arbitrage bounds on the weighted variance swap along with super‐ and sub‐replicating strategies that enforce them. We find that market quotes for variance swaps are surprisingly close to the model‐free lower bounds we determine. We solve the problem by transforming it into an analogous question for a European option with a convex payoff. The lower bound becomes a problem in semi‐infinite linear programming which we solve in detail. The upper bound is explicit. We work in a model‐independent and probability‐free setup. In particular, we use and extend Föllmer's pathwise stochastic calculus. Appropriate notions of arbitrage and admissibility are introduced. This allows us to establish the usual hedging relation between the variance swap and the “log contract” and similar connections for weighted variance swaps. Our results take the form of a FTAP: we show that the absence of (weak) arbitrage is equivalent to the existence of a classical model which reproduces the observed prices via risk‐neutral expectations of discounted payoffs.     

人民币新汇制改革的贸易效应之谜——基于我国对外经济贸易特征视角的协整研究和脉冲分解

关于人民币汇制改革在我国贸易均衡方面的表现,文章运用Johansen模型揭示出:人民币升值是近两年贸易顺差形成的主要推动因素,马歇尔-勒纳条件在我国并不适用;依托于我国现行的经济贸易特征,未来一段时间我国仍将唱响贸易顺差的主旋律;在人民币加速升值的今天注重升值节奏对于保持我国贸易收支的稳定不容忽视,这一观点通过脉冲响应函数与方差分解得到了有效印证.     

SUCCESSIVE MEASUREMENT EXPERIMENTS

Abstract. We consider methods for the analysis of successive measurements, with emphasis on practical usefulness. It is described how the methods can be applied by using common techniques like regression analysis and analysis of variance.