Bivariate mixed normal GARCH models and out-of-sample hedge performances

This study compares bivariate mixed normal GARCH models with standard bivariate GARCH models in terms of the percentage variance reduction of the out-of-sample hedged portfolio and also statistical significance tests of performance improvements using Superior Predictive Ability statistics. All competing models are applied to corn and wheat futures and empirical results demonstrate that the standard BEKK-GARCH model significantly outperforms the other competing GARCH models at shorter horizons. However, as the hedge horizon is extended to longer than 10 days, it is evident that the mixed normal BEKK-GARCH model is the best at the usual significance level of 5%.     

Measuring the Volatility of Wheat Futures Prices on the LIFFE

Agricultural prices rose dramatically in 2007 and have subsequently fluctuated at high levels. This paper estimates the volatility of daily wheat futures prices on the Euronext/London International Financial Futures and Options Exchange for 1996–2012 using an exponential generalised autoregressive conditional heteroscedasticity model with a constant (price) elasticity of variance (CEV) and a broken trend. Results show that volatility is highly persistent; there is a structural break in volatility in June 2007 when volatility rose by 10%; subsequently, the wheat futures price has become more volatile; and the CEV is 0.04.     

西宁近48a来气温变化的多时间尺度分析

利用Morlet小波分析了1954￣2001年西宁市年平均气温距平时间序列的小波变化特征,揭示了气温变化的多时间尺度结构,分析了其中存在的主要周期振荡和突变点,并与功率谱分析结果进行比较。结果表明:西宁市年平均气温存在多时间尺度的周期变化特征,西宁市年平均气温存在3.5a,准11a和准24a的主周期。西宁市的气温变化存在着明显的多时间尺度,即年代际尺度和年际尺度的周期性变化,20￣32a时间尺度具全域性外,其它尺度的局部化特征则很强。西宁市的气温变化还显示出突变点分布和及其位相结构。21世纪初西宁市年均气温还将处在一个偏冷期。通过功率谱和小波变换方法在诊断气温变化上的应用,得出功率谱在诊断气温变化中一些缺点,而小波变换方法能分析气温序列随时间变化的多层次结构,功率谱分析方法由于自身原因难以做到这一点。     

我国海洋资源开发综合效益的评价探讨

从海洋资源开发形成的产业产值效益角度，选取海米岸线产值、人均产值、占GDP比重等3个相对指标，采用均方差权重法对我国沿海备省、市区海洋资源开发的综合效益做出评价；依据沿海各省、市区海洋资源开发的综合效益评价值及排序结果，把该区划分为3种类型：。低等综合效益开发区，中等综合效益开发区，高等综合效益开发区；得出海洋资源开发的综合效益不仅与资源条件有关，还与各地的经济发展水平、人口数量及其协调程度有关等结论。     

我国房地产价格影响因素及其作用效应的计量检验

目前,房地产价格的过快增长已经成为影响民生的突出问题,房地产价格的增长远远超过了居民消费和收入水平的增长。我国政府已经将遏制部分城市房价过快上涨势头、满足人民群众的基本住房需求、促进房地产市场平稳健康发展作为房地产市场的宏观调控目标。因此对房地产价格的影响因素进行实证研究,可以为我国宏观政策的制定与实施提供经验证据。     

城市住宅价格与宏观经济变量的关系分析——基于VAR模型的实证研究

通过分析选取住宅价格指数(HPI)、国内生产总值增长率(GDP)、1-3年期银行贷款利率(IR)作为内生变量,滞后两期的广义货币供应量(M2)作为外生变量,建立了向量自回归模型。并在此基础上,运用协整分析、脉冲响应函数、方差分解和格兰杰因果检验等研究方法对住宅价格指数与宏观经济变量之间的动态相关关系进行了研究。研究结果表明,我国的住宅价格与所选用的宏观经济变量之间存在一定交互响应作用,并就此提出了相关建议。     

Marketing metrics' usage: Its predictors and implications for customer relationship management

This research aims to determine the conditions that foster use of marketing metrics in customer relationship management (CRM) and identify the organizational factors that strengthen/weaken the impact of usage of marketing metrics on CRM performance. Based on the customer value-based theory of the firm and the contingency perspective, a research framework was developed to shed light on the predictor roles of customer value-based organizational culture and processes in determining usage of marketing metrics, and foster an understanding of the moderating roles of marketing-supply chain conflict, and innovative value proposition on the marketing metric-performance relationships. Empirical evidence from a sample of 209 business firms confirmed the main effect that customer value-based organizational culture and processes support a firm's use of marketing metrics that in turn enhance its CRM performance. Notable moderating effects were also identified. Although marketing-supply chain conflict weakens the impact of marketing metrics usage in achieving superior CRM performance, innovative value proposition strengthens the conversion of marketing-metric-related knowledge into superior CRM performance.     

从企业价值链看电网企业“三集五大”集约化管理

用企业价值链理论分析了电网企业实施“三集五大”集约化管理的内在价值链模型,厘清了“三集”和“五大”2类活动的特性及其关系,分析了“三集五大”集约化管理的内涵和意义,从组织实施、业务整合、重点选择和信息化建设等方面提出了保障措施建议。     

Waiting time probabilities in the M/G/1 + M queue

We consider an M/G/1 queueing system where the customers may leave the queue if their services do not commence before an exponentially distributed random time. The (conditional) offered waiting time distribution is approximated by a gamma distribution via matching the first and second moments of the actual waiting time. A simulation study is conducted to assess the accuracy of the approximation and it reveals that the approximation performs satisfactorily under general conditions on service time distributions.     

The Asset Pricing Palette: Cash Flows, Returns and Trading Behavior

Asset pricing is the topic of the 2001 Eastern Finance Association Symposium and the five papers selected for this collection, which are summarized below, span a broad range of subjects that fall under the umbrella of the determinants of market prices. For example, the Schwartz and Moon article that introduces the symposium uses real options methodology to value firms whose cash flows are subject to multiple sources of uncertainty while the Luders and Peisl and Mixon analytical models that close the selections incorporate dual stochastic processes to derive relationships between information flow, trading volume and price volatility that are consistent with empirical evidence. In between, Mishra and O'Brien present new evidence on the important of index and factor selection when estimating the required return on equity and Spahr and Schwebach revisit the issue of time diversification by reintroducing a statistical construct from earlier times. Each of the works included here makes an important contribution to our understanding of the asset pricing process in a distinct area and opens new doors onto avenues for future research.