Forecasting value at risk and expected shortfall with mixed data sampling

I propose applying the Mixed Data Sampling (MIDAS) framework to forecast Value at Risk (VaR) and Expected shortfall (ES). The new methods exploit the serial dependence on short-horizon returns to directly forecast the tail dynamics of the desired horizon. I perform a comprehensive comparison of out-of-sample VaR and ES forecasts with established models for a wide range of financial assets and backtests. The MIDAS-based models significantly outperform traditional GARCH-based forecasts and alternative conditional quantile specifications, especially in terms of multi-day forecast horizons. My analysis advocates models that feature asymmetric conditional quantiles and the use of the Asymmetric Laplace density to jointly estimate VaR and ES.     

“互联网+”背景下高校基层党建工作现状、面临问题、工作思路的深入思考

我国“互联网+”技术不断发展与广泛应用,其为高校基层党建工作带来了新的发展机遇,互联网的发展使得高校基层党建工作不断拓宽工作思路,在高校基层党建工作的探究和实践当中扮演着重要的角色。“互联网+”技术的使用能够使高校党委建工作以一种崭新的方式来开展,推动高校基层党建工作有效进行。     

江苏国内旅游客源市场空间结构研究

以江苏省国内旅游抽样调查资料为基础,运用ADod指标、数值模拟等方法分析了江苏国内旅游客源市场份额分布情况,发现2000—2008年各个年份一级客源市场都占有绝对的主导地位,但有不断下降的趋势;江苏客源地到目的地的平均距离总体上呈现出不断上升的趋势,对远距离客源地的吸引能力在不断的加强;江苏省国内旅游客源市场分布符合距离衰减规律,客源市场在500km以内衰减较快,距离效应比较明显,500km以内的区域的比重占到了60%以上,500—2300km客流量呈现波动减少的特征;江苏国内客源市场的衰减规律遵循幂指数衰减,其距离摩擦指数为1.2095。     

Anti‐immigration policy in the destination country and skilled–unskilled wage inequality in a source economy with or without unemployment

This paper is aimed at theoretically examining the consequence of the anti‐immigration policy adopted in the destination country on the skilled–unskilled wage inequality in a source nation using a couple of two‐sector, specific‐factor general equilibrium models in both the presence and absence of unemployment. Emigration requires incurring some capital cost for professional skill formation on the part of every prospective emigrant that adds to the opportunity cost of emigration. The authority of the destination country determines the number of visas to be granted and hence directly controls the magnitude of skilled emigration from the source country. In the migration equilibrium, the expected skilled wage income abroad is equal to the opportunity cost of emigration. In both the presence and absence of unemployment of unskilled labor, the outcome of the policy on the wage inequality crucially hinges on both the magnitude of the fixed cost of emigration and the technological factors. In the specific‐factor Harris–Todaro model, the degree of imperfection in the unskilled labor market is an additional factor. Finally, some policy recommendations have been made for protecting the interest of the poor unskilled workforce.     

Analysis of Shared and Sustainable Value Creation of Companies Providing Energy Solutions at the Base of the Pyramid (BoP)

This study was conducted to analyze the shared and sustainable value creation (SSVC) of 33 energy companies selling energy solutions at the base of the pyramid (BoP) markets. SSVC by selling energy technology solutions directed to address the cooking and lighting needs of BoP consumers were the main focus of analysis. Result showed that achieving profitability and affordability is affected by the kind of energy solution that is offered as well as the investment and level of commitment required. However, companies that fulfilled the profitable and affordable solutions were also able to deliver social and environmental sustainability benefits. Social sustainability benefits point to the ability of alleviating poverty by improving productivity or offering cost‐savings. Environmental sustainability benefits point to the energy savings. The findings show that inclusive business strategy is not necessarily required to reach the poor people profitably but a suitable business strategy depends on the type of energy solution. Copyright © 2014 John Wiley & Sons, Ltd and ERP Environment     

碳源对氮素在不同潜流带介质中的迁移转化规律研究

通过室内土柱实验模拟氮素在不同沉积物的潜流带中迁移转化途径,选取粗砂、细砂、粉砂三种介质,以浓度为65.5mg/L的硝酸钾溶液为原水,研究硝态氮在不同沉积物的潜流带中的环境行为;再通过补充碳源,研究碳源对氮的迁移转化过程的影响。实验结果表明,在不同的沉积物介质中,氮的迁移转化不同,主要受介质孔隙度和介质中有机质的制约。由于粉砂介质中孔隙度较小,有利于微生物的附着,且有机质含量较多,反硝化作用和异化还原作用强烈,所以硝酸盐氮下降的最多,而在粗砂介质中孔隙度相对较大,不利于微生物附着,且有机质含量相对较低,反硝化作用和异化还原作用较弱,硝酸盐氮下降的较少。而添加碳源后,反硝化作用和异化还原作用增强,三根柱子中的硝酸盐氮都降到很低的值,说明碳源对潜流带中硝态氮的去除起着重要的作用。     

浅论我国国家审计体制的改革

随着我国民主政治制度的发展,人民对于政府权力的制约与监督,特别是对预算的监督与控制越来越关注。而现有的国家审计体制只是将国家的审计机构作为政府的内部审计机构,其独立性受到了一定程度的制约。文中就国家审计体制改革进行了探究,提出了双重审计体制。     

基于交易成本视角的企业第四利润源泉研究

在市场分工日益深化、企业竞争日趋激烈、核心价值链日益复杂的微利时代,第四利润源泉是继第一、二、三利润源后,提升竞争优势、创新赢利模式、赢得利润先机的又一战略利器。交易领域蕴藏的大量交易成本表明,降低交易成本能够成为增加利润的第四个源泉。     

水源地生态补偿机制构建研究:基于市场视角

生态补偿作为水源地保护的一种有效手段应运而生。生态补偿的目的是调动水源地生态建设与保护者的积极性,政策或法律手段的实行,使水源区生态保护外部性的内部化,是促进水源保护的利益驱动机制、激励机制和协调机制的综合体。水源地生态补偿的运作模式亟待研究,以期为解决资源与环境保护领域的外部性问题提供参考,使水资源被适度、持续地开发、利用和建设,从而达到经济发展与保护生态平衡协调的最终目标。     

基于EGARCH模型和Bootstrap方法的在险价值度量

针对孤立使用传统的历史模拟法及GARCH类模型进行风险分析的不足,把EGARCH参数模型与Boostrap非参数方法结合起来,给出了基于EGARCH模型和Bootstrap的VaR测度的半参数方法。实证结果表明,基于EGARCH模型和Bootstrap的VaR度量方法比传统的历史模拟法计算的效果更好。