基于灰色理论的企业风险评估模型

市场不确定性给企业带来很大风险隐患。为有效防范企业财务风险,提出基于灰色理论的企业风险评估模型,并选取56家企业样本验证,在MATLAB7.1平台上利用BP网络进行训练和检验,结果显示该模型在企业风险评估中的有效性。     

公允价值对上市公司会计信息价值相关性影响实证研究

本文根据费森-奥尔森估值模型(Feltham&Olson,1995)演化定价模型,分析了我国上市公司2007年年报中运用公允价值计量后会计信息的价值相关性。研究发现,净资产与净收益对股价具有正的价值相关性,相互之间具有增量价值相关性;公允价值调整额对股价具有正相关性,但对净收益的增量价值相关性较弱;公允价值调整对利润的影响额对股价没有价值相关性,对净资产也没有增量价值相关性。     

公司治理视角下的内部控制研究

在研究公司治理结构与内部控制相互联系和影响的基础上,把内部控制置于公司治理的环境申,将两者有机结合起来探讨在公司治理下实现有效内部控制的机制。从实践上看,那些出现内部控制乏力或失控的企业,一般都在企业管理上比较薄弱,缺乏有效的公司治理。内部控制失控的深层次原因在于企业缺乏完善、健全的公司治理。有效内部控制的建立离不开完善的公司治理。     

The balance between size and power in testing for linear association for two stationary AR(1) processes

The classical statistical procedure in testing the null hypothesis of zero correlation for two independent stationary AR(1) processes produces spurious correlations, contrast to the alternative testing approach that has been proposed by Agiakloglou and Tsimpanos (2012). This study examines the trade-offs between size distortions and power using both testing techniques, including the case where the true values of the autoregressive parameters are replaced by their estimates.     

Comment on “Improper use of endogenous formative variables”

Cadogan and Lee's point can be made simpler by referring to the basic math underlying these relationships. The larger problem with this paper, as with the bulk of the formative measurement literature, is a failure of imagination, which is holding back progress in a variety of fields.     

Directional time-varying partial correlation with the Gaussian copula–DCC–GARCH model

This article suggests a directional time-varying partial correlation based on the dynamic conditional correlation (DCC) method. A recent study proposed the copula DCC based on the vine structure. Due to the arbitrary variable selection, their method can produce unnecessary dependence in the multivariate structure, with extra economic and computational burdens. To overcome this limitation, we incorporate directional dependence by copula to track the causal relationship among multiple variables and then extend the copula bivariate DCC method to a directional time varying partial correlation in the multivariate structure. Our proposed method provides a reasonable and efficient conditional dependence structure, without the trial and error process. We offer an application of our method to the U.S. stock market as an illustrated example.     

基于伪相关函数的cosine-BOC调制信号无模糊跟踪算法

针对余弦二进制偏移载波（cosine-BOC）调制信号自相关函数的多峰特性会导致导航接收机同步阶段产生跟踪模糊度问题，提出了一种基于伪相关函数（PCF）的cosine-BOC调制信号无模糊跟踪算法。该算法通过分析cosine-BOC信号的时域模型，在本地设计两路辅助信号波形，与接收到的cosine-BOC信号进行相关运算，再将得到的两互相关函数利用伪相关函数表达式进行组合，从而消除cosine-BOC信号自相关函数的边峰。仿真结果表明，该算法能够消除cosine-BOC信号鉴相曲线中存在的误锁点，实现伪码无模糊跟踪，提高跟踪可靠性，且该算法适用于任意阶数的cosine-BOC信号。     

粳稻谷品质指标之间相关性分析

为研究稻谷品质指标之间的相关性,本文选择100份粳稻谷样品,检测食味品质指标食味值,直链淀粉含量与蛋白质含量,质量品质指标水分、出糙率、整精米率、不完善粒、垩白、千粒重等,进行相关性分析。结果表明,食味值、直链淀粉与蛋白质、出糙率、垩白、千粒重都有显著负相关性,其中与蛋白质的负相关性最强;出糙率与整精米率有显著正相关性;不完善粒与出糙率、整精米率均呈极显著负相关;千粒重与不完善粒呈极显著负相关。各指标间存在相互联系与制约的关系,同一指标在不同范围内显示的相关性程度可能不同。     

Time varying integration of European stock markets and monetary drivers

This study analyzes time-varying integration of stock markets among fourteen European countries and its monetary drivers relevant to the two contrasting events — the introduction of Euro in 1999 and banking crisis of GIIPS in 2011. Our panel analysis reports evidence that monetary performance convergence, lower differentials in interest rates and inflation among EU countries, has been a key driver for the increase in integration of EU stock markets post EMU. Our qualitative analysis indicates that post EMU, the GDP differences among the EU countries have reverse relations with monetary performance convergence. This finding is in line with those of our quantitative study with a price-based indicator for integration.     

The term structure of systematic and idiosyncratic risk

We study the term structure of variance (total risk), systematic, and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little indication of a time-varying term premium. Turning the focus to individual stocks, we cannot reject the expectations hypothesis for systematic variance, but we strongly reject it for idiosyncratic variance. Our results are robust to jumps and potential statistical biases.