Model stability and forecast performance of Beta-t-EGARCH

We show that the model stability of the recent QAR(1) plus Beta-t-EGARCH(1,1) is superior to that of the well-known ARMA(1,1) plus t-GARCH(1,1) because QAR plus Beta-t-EGARCH discounts extreme observations, while ARMA plus t-GARCH accentuates them. Model stability of QAR plus Beta-t-EGARCH is an elegant property; however, we show that the out-of-sample density forecast performance of ARMA plus t-GARCH is superior to that of QAR plus Beta-t-EGARCH. We study model stability and density forecast performance for a set of rolling data windows. We use data on the S&P 500 index for the period 1990–2015. For robustness analysis, we also study Monte Carlo simulations of asset returns for the stochastic volatility model.     

西安市区域经济结构比较研究

文章从静态、动态等不同角度,重点对西安市内部四个区域的产业结构进行比较分析,对区域经济布局结构进行研究,以观察区域经济发展是否平衡,为提高产业间、区域间的资源配置效率,促进区域经济的可持续发展提供决策依据。     

论专利产品平行进口的合法性

根据专利权用尽和专利权许可规则 ,某些学者认为专利产品平行进口应予禁止 ;而基于权利穷竭原则和贸易自由化对商品自由流通的需求 ,有些学者强调应当允许。在TRIPs协议对此未作统一规定的情况下 ,各成员国都自行决定禁止与否 ,而我国则应密切关注世界各国对专利产品平行进口法律调控的发展态势 ,从维护本国利益出发 ,准予专利产品平行进口 ,以应对新的挑战     

Neural Networks and Empirical Research in Accounting

This article seeks to provide an overview of the potential role of neural network (connectionist) methodology in empirical accounting research. It highlights how the accounting task domain differs substantially from those for which neural network techniques were originally developed. A non-technical overview of neural network methodology is given, along with guidelines to help accounting researchers interested in applying these new tools to recognise the potential dangers and strengths underlying their use. An illustrative example is provided. The paper suggests research areas in accounting where neural network approaches could make a potential contribution. Explicit recommendations for prospective authors are made.     

移动通信室内外空间几何信道模型的分析与比较

针对频率非选择性无线多径衰落信道,基于室外通信环境下的空 心圆模型,提出了一种改进的适应于室内通信环境的空心圆模型。通过推导接收信号的空时 联合分布以及边缘分布概率密度函数,分析和比较了两种空心圆几何信道模型的空时统计特 性。通过空心圆的空心率以及收发机间距的信道参数变化,仿真结果阐明了空心圆模型在圆 盘模型和圆环模型之间过渡的变化机理,以及不同无线通信环境下的信道信息。     

Intelligent Patent Retrieval Model

This paper brings forward intelligent patent retrieval model to solve the problem of reading lots of abstract of patent documents and repeating patent retrieval during patent searching. This model may quicken patent retrieval, enhance quality of patent retrieval, reduce difficult of patent retrieval by recommending international patent class （IPC） and theme terms of searching patent.     

Beyond local search: boundary-spanning,exploration, and impact in the optical disk industry

Recognition of the firm's tendency toward local search has given rise to concepts celebrating exploration that overcomes this tendency. To move beyond local search requires that exploration span some boundary, be it organizational or technological. While several studies have encouraged boundary-spanning exploration, few have considered both types of boundaries systematically. In doing so, we create a typology of exploration behaviors: local exploration spans neither boundary, external boundary-spanning exploration spans the firm boundary only, internal boundary-spanning exploration spans the technological boundary only, and radical exploration spans both boundaries. Using this typology, we analyze the impact of knowledge generated by these different types of exploration on subsequent technological evolution. In our study of patenting activity in optical disk technology, we find that exploration that does not span organizational boundaries consistently generates lower impact on subsequent technological evolution. In addition, we find that the impact of exploration on subsequent technological evolution within the optical disk domain is highest when the exploration spans organizational boundaries but not technological boundaries. At the same time, we find that the impact of exploration on subsequent technological development beyond the optical disk domain is greatest when exploration spans both organizational and technological boundaries. Copyright © 2001 John Wiley & Sons, Ltd.     

A New Approach to Markov-Switching GARCH Models

The use of Markov-switching models to capture the volatilitydynamics of financial time series has grown considerably duringpast years, in part because they give rise to a plausible interpretationof nonlinearities. Nevertheless, GARCH-type models remain ubiquitousin order to allow for nonlinearities associated with time-varyingvolatility. Existing methods of combining the two approachesare unsatisfactory, as they either suffer from severe estimationdifficulties or else their dynamic properties are not well understood.In this article we present a new Markov-switching GARCH modelthat overcomes both of these problems. Dynamic properties arederived and their implications for the volatility process discussed.We argue that the disaggregation of the variance process offeredby the new model is more plausible than in the existing variants.The approach is illustrated with several exchange rate returnseries. The results suggest that a promising volatility modelis an independent switching GARCH process with a possibly skewedconditional mixture density.     

The exact density of a statistic related to the shape parameter of a gamma variate

The exact density of the statistic ln , where and denote, respectively, the arithmetic and the geometric means of a random sample from a two-parameter gamma distribution, is obtained in a computable form using the technique of the inverse Mellin transform. This statistic is related to the maximum likelihood estimator of the shape parameter of a gamma distribution.     

NONPARAMETRIC AND SEMIPARAMETRIC METHODS FOR ECONOMIC RESEARCH

Abstract. Developments in the vast and growing literatures on nonparametric and semiparametric statistical estimation are reviewed. The emphasis is on useful methodology rather than statistical properties for their own sake. Some empirical applications to economic data are described. The paper deals separately with nonparametric density estimation, nonparametric regression estimation, and estimation of semiparametric models.