StatModcMC反演在薄互层地震储层预测中的应用

地质统计学反演首先应用确定性反演方法得到波阻抗体,以了解储层的大致分布,并用于求取水平变差函数;然后从井点出发,井间遵从原始地震数据,通过随机模拟产生井间波阻抗,再将波阻抗转换成反射系数并与确定性反演方法求得的子波进行褶积产生合成地震道,该方法有效地综合了地质、测井和三维地震数据,反演结果是多个等概率的波阻抗数据体实现,符合输入数据的地质统计学特征并受地质模型的约束,具有测井数据的垂向分辨率高和地震数据的横向分辨率高的优势,可用于不确定性评价.     

Production Efficiency in the South African Banking Sector: A Stochastic Analysis

Econometric estimates of the level of efficiency at bank branches are likely to provide detailed insight into the overall level of efficiency in banking. Therefore this paper uses Bayesian stochastic frontier analysis to assess the production efficiency of 61 bank branches in the nine provinces of the Republic of South Africa. We find that every branch is operating at increasing returns to scale and that the level of production efficiency of bank branches is lower than it could be. We also find that at current levels of output, on average, bank branches can reduce their costs by about 17% if they improve the level of efficiency. In addition, we find that Gauteng Province has the lowest average level of returns to scale, while the Free State Province has the highest average level of the nine provinces. In addition, via estimates of the posterior mean for shares and price elasticities, we find that the price of capital is the largest predicted proportion of costs. These findings suggest that bank branches could also obtain cost reductions by increasing the level of output. Regulatory policy reforms and competitive incentives to enable banks to meet this objective should be encouraged.     

Invertible and non-invertible information sets in linear rational expectations models

Rational expectations solutions are usually derived by assuming that all state variables relevant to forward-looking behaviour are directly observable, or that they are “…an invertible function of observables” (Mehra and Prescott, 1980). Using a framework that nests linearised DSGE models, we give a number of results useful for the analysis of linear rational expectations models with restricted information sets. We distinguish between instantaneous and asymptotic invertibility, and show that the latter may require significantly less information than the former. We also show that non-invertibility of the information set can have significant implications for the time series properties of economies.     

Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations

Phenomena such as the Great Moderation have increased the attention of macroeconomists towards models where shock processes are not (log-)normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime shifts. We first show that, up to a second-order approximation using perturbation methods, regime switching in the variances has an impact only on the intercept coefficients of the decision rules. We then demonstrate how to derive the exact model likelihood for the second-order approximation of the solution when there are as many shocks as observable variables. We illustrate the applicability of the proposed solution and estimation methods in the case of a small DSGE model.     

Non‐Fundamentalness in Structural Econometric Models: A Review

Current economic theory typically assumes that all the macroeconomic variables belonging to a given economy are driven by a small number of structural shocks. As recently argued, apart from negligible cases, the structural shocks can be recovered if the information set contains current and past values of a large, potentially infinite, set of macroeconomic variables. However, the usual practice of estimating small size causal Vector AutoRegressions can be extremely misleading as in many cases such models could fully recover the structural shocks only if future values of the few variables considered were observable. In other words, the structural shocks may be non‐fundamental with respect to the small dimensional vector used in current macroeconomic practice. By reviewing a recent strand of econometric literature, we show that, as a solution, econometricians should enlarge the space of observations, and thus consider models able to handle very large panels of related time series. Among several alternatives, we review dynamic factor models together with their economic interpretation, and we show how non‐fundamentalness is non‐generic in this framework. Finally, using a factor model, we provide new empirical evidence on the effect of technology shocks on labour productivity and hours worked.     

浅析多时期证券投资组合价值与其收益的关系

文章从定量分析的角度,推导了多时期证券投资组合价值与收益过程之间的数学关系,同时还推导了折现价值过程中投资组合价值与收益过程的数学关系。     

A Production Model With Firm-Specific Temporal Variation in Technical Inefficiency: With Application to Spanish Dairy Farms

This paper introduces a stochastic frontier production model which accommodates firm-specific temporal variation in technical inefficiency. Unlike Cornwell, Schmidt and Sickles (1990), technical inefficiency is not modeled through the intercept of the production frontier, but through an error component model. The proposed model is a generalization of the Battese and Coelli (1992) model, which imposed a common temporal pattern upon all firms. In our application involving Spanish dairy farms, we find that the new model is preferred to the Battese and Coelli (1992) model on the basis of the likelihood ratio test. Results provide a new source of information on the different patterns of technical inefficiency change among the 82 farms in the sample.     

Stochastic volatility with leverage: Fast and efficient likelihood inference

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361–393] method that was developed for SV models without leverage can be extended to models with leverage. The approach relies on the novel idea of approximating the joint distribution of the outcome and volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions. The resulting posterior distribution is summarized by MCMC methods and the small approximation error in working with the mixture approximation is corrected by a reweighting procedure. The overall procedure is fast and highly efficient. We illustrate the ideas on daily returns of the Tokyo Stock Price Index. Finally, extensions of the method are described for superposition models (where the log-volatility is made up of a linear combination of heterogenous and independent autoregressions) and heavy-tailed error distributions (student and log-normal).     

期货市场交易量与收益及波动关系的分位分析

采用分位数回归方法对上海期货市场铜、铝和燃料油期货收益及波动与成交量的动态关系进行实证研究。该方法允许估计不同分位的方程,从而得到条件分布的完整描述。结果显示上海期货市场期货价格收益具有异方差的特点;存在量价齐扬和量价背离现象;收益波动和成交量之间随着波动增大呈现逐渐加强的正向关系,从而说明我国期货市场信息传播符合混合分布假说。     

我国权证对正股波动性影响的实证研究

选取我国市场的6只权证为研究对象,并以其日收益率和日均方差为指标,考察了我国资本市场中权证对正股波动性的影响。结论是:权证的上市对正股日收益率的影响并不显著,但对正股日收益率的波动性有显著影响,其中认购权证比认沽权证的影响更大。