Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models

We extend Diebold and Li’s dynamic Nelson-Siegel three-factor model to a broader empirical prospective by including the evaluation of the state space approach and by using nine different ratings for corporate bonds. We find that the dynamic Nelson-Siegel factor AR(1) model outperforms other competitors on the out-of-sample forecast accuracy, especially on the investment-grade bonds for the short-term forecast horizon and on the high-yield bonds for the long-term forecast horizon. The dynamic Nelson-Siegel factor state space model, however, becomes appealing on the high-yield bonds in the short-term forecast horizon, where the factor dynamics are more likely time-varying and parameter instability is more probable in the model specification.     

Scoring rules and survey density forecasts

This article provides a practical evaluation of some leading density forecast scoring rules in the context of forecast surveys. We analyse the density forecasts of UK inflation obtained from the Bank of England’s Survey of External Forecasters, considering both the survey average forecasts published in the Bank’s quarterly Inflation Report, and the individual survey responses recently made available to researchers by the Bank. The density forecasts are collected in histogram format, and the ranked probability score (RPS) is shown to have clear advantages over other scoring rules. Missing observations are a feature of forecast surveys, and we introduce an adjustment to the RPS, based on the Yates decomposition, to improve its comparative measurement of forecaster performance in the face of differential non-response. The new measure, denoted RPS*, is recommended to analysts of forecast surveys.     

Mixture of MLP-experts for trend forecasting of time series: A case study of the Tehran stock exchange

A new method for forecasting the trend of time series, based on mixture of MLP experts, is presented. In this paper, three neural network combining methods and an Adaptive Network-Based Fuzzy Inference System (ANFIS) are applied to trend forecasting in the Tehran stock exchange. There are two experiments in this study. In experiment I, the time series data are the Kharg petrochemical company’s daily closing prices on the Tehran stock exchange. In this case study, which considers different schemes for forecasting the trend of the time series, the recognition rates are 75.97%, 77.13% and 81.64% for stacked generalization, modified stacked generalization and ANFIS, respectively. Using the mixture of MLP experts (ME) scheme, the recognition rate is strongly increased to 86.35%. A gain and loss analysis is also used, showing the relative forecasting success of the ME method with and without rejection criteria, compared to a simple buy and hold approach. In experiment II, the time series data are the daily closing prices of 37 companies on the Tehran stock exchange. This experiment is conducted to verify the results of experiment I and to show the efficiency of the ME method compared to stacked generalization, modified stacked generalization and ANFIS.     

北京市人地关系现状及预测——基于生态足迹和GM模型的分析

采用改进过的生态足迹模型对北京市的人地关系现状进行了分析,并应用GM(1,1)模型对其耕地面积和人口数量的未来变动趋势进行了预测。结果表明,北京市近十年来耕地生态足迹逐年增加,其中区域耕地生态足迹的变化幅度比人均耕地生态足迹的变化幅度大;耕地生态承载力逐年降低,其中人均耕地生态承载力的降幅较区域耕地生态承载力的降幅更加明显。耕地生态足迹与耕地承载力异向变化,加剧了生态赤字逐年加大的幅度。在此基础上提出了控制人口规模、提高耕地产出能力及保持耕地产品地区间流动性等措施。     

基于DEA的物流公司绩效评价

鉴于传统绩效评价方法的局限性,运用数据包络分析（DEA）法,并以2008和2009年19家中国物流上市公司为样本进行实证研究,为各物流企业客观了解和评价自身物流竞争力和相对物流绩效水平提供参考。     

高速公路智能交通系统(ITS)组成与应用

本文介绍了智能交通系统的主要研究内容,通过对智能交通系统主要研究内容的分析,总结出ITS在高速公路上的应用。     

Usage‐based insurance and its acceptance: An empirical approach

This study aims to explore the motor insurance market's attitude towards usage‐based insurance (UBI), and thus its readiness for a launch in the near future. Data on client perception was collected using a structured questionnaire. On the basis of this, an initial selection of factors, other than income, that could influence the declared attitude of drivers was demonstrated showing that it is primarily dependent on certain demographic characteristics like their age, sex, or place of residence. A strong relationship was also demonstrated with respect to the intensity of the vehicle's use, to the amount of the insurance premium they have paid, and to the self‐assessment of the respondents' driving skills. Clients are likely to accept the concept of UBI once implemented, but that they are not ready yet to give up the traditionally used methods of premium calculation. Their attachment to discounts granted can be very strong in particular to the no‐claims bonus.     

Network embeddedness,headquarters entrepreneurial orientation,and MNE international performance

The aim of this paper is to examine the role played by external and internal network embeddedness in the headquarters entrepreneurial orientation of multinational enterprises (MNEs), and the role of the latter in MNE performance. Drawing on responses from CEOs in a sample of 143 European MNEs, our study offers evidence for the antecedent role of network embeddedness on headquarters entrepreneurial orientation on the one hand, and for the positive impact of headquarters entrepreneurial orientation on international performance on the other. Our findings contribute to the network view of MNEs in the international business and international entrepreneurship literature by disentangling the complex phenomenon of entrepreneurship in MNEs, partly explained by its multiple embeddedness in external and internal networks, and by studying its impact on international performance.     

新一轮退耕还林对农户收入影响的机理研究 ——基于赣南、鄂北农户调查的实证分析

研究目的：新一轮退耕还林补助资金即将到期之际,分析新一轮退耕还林对农户家庭收入的净效应并揭示其内在机制。研究方法：理论上阐述了新一轮退耕还林政策促进农户收入增长的作用机理,基于赣南、鄂北地区农户调查数据,利用倾向得分匹配法进行实证分析。研究结果：（1）无论是否包含退耕补贴,新一轮退耕还林政策对农户收入有正向影响;（2）退耕林种对农户收入的作用机理不同：种植经济林的农户增加了林果业收入和非农经营收入,减少了工资性收入;种植生态林的农户通过提高工资性收入,进而提高总收入水平。研究结论：新一轮退耕还林加快了农户生计转型的进程。政策实施5年后,农户形成与生态环境相适应且稳定的生产方式,为补偿政策的逐步退出创造有利条件,实现了新一轮退耕还林政策的造血功能。