Forecasting the volatility of asset returns: The informational gains from option prices

A new class of forecasting models is proposed that extends the realized GARCH class of models through the inclusion of option prices to forecast the variance of asset returns. The VIX is used to approximate option prices, resulting in a set of cross-equation restrictions on the model’s parameters. The full model is characterized by a nonlinear system of three equations containing asset returns, the realized variance, and the VIX, with estimation of the parameters based on maximum likelihood methods. The forecasting properties of the new class of forecasting models, as well as a number of special cases, are investigated and applied to forecasting the daily S&P500 index realized variance using intra-day and daily data from September 2001 to November 2017. The forecasting results provide strong support for including the realized variance and the VIX to improve variance forecasts, with linear conditional variance models performing well for short-term one-day-ahead forecasts, whereas log-linear conditional variance models tend to perform better for intermediate five-day-ahead forecasts.     

建筑施工企业效绩评价研究

针对一般竞争性状态的大型建筑施工企业,从出资人角度出发,通过对企业效绩问题的深入研究,探索一套适合我国国情的建筑施工企业效绩评价体系,建立和完善科学规范的建筑施工企业效绩评价体系,引导企业树立正确的经营理念。     

"长三角"区域金融风险分析

在对区域金融风险本质特征和影响因素进行分析的基础上,构造评价指标体系并用粗集方法约简、根据模糊数层次模型(FAHP)对"长三角"区域两省一市的金融稳定状况进行比较分析.     

Multivariate Hill Estimators

We propose two classes of semi‐parametric estimators for the tail index of a regular varying elliptical random vector. The first one is based on the distance between a tail probability contour and the observations outside this contour. We denote it as the class of separating estimators. The second one is based on the norm of an arbitrary order. We denote it as the class of angular estimators. We show the asymptotic properties and the finite sample performances of both classes. We also illustrate the separating estimators with an empirical application to 21 worldwide financial market indexes.     

Methods for Scalar‐on‐Function Regression

Recent years have seen an explosion of activity in the field of functional data analysis (FDA), in which curves, spectra, images and so on are considered as basic functional data units. A central problem in FDA is how to fit regression models with scalar responses and functional data points as predictors. We review some of the main approaches to this problem, categorising the basic model types as linear, non‐linear and non‐parametric. We discuss publicly available software packages and illustrate some of the procedures by application to a functional magnetic resonance imaging data set.     

THE GINI CONCENTRATION INDEX: A REVIEW OF THE INFERENCE LITERATURE

More than a century ago, Corrado Gini proposed his well-known concentration index for measuring the degree of inequality in the distribution of income and wealth. His index is still extremely relevant and widely used in several fields of research and application. In this paper, we focus on the inferential properties of the Gini index, and discuss the main directions of analysis proposed in the literature. The aim of the paper is to provide a comprehensive review of the main developments on the inferential aspects of the Gini concentration ratio. We feel that this work can provide a valuable contribution to those scholars who are approaching the large amount of literature on the inferential properties of the Gini index.     

军事后勤管理效益评价指标体系研究

在分析评价军事后勤管理效益特点的基础上,确立了建立军事后勤评价指标体系的原则。通过研究军事后勤管理效益的内容,建立了从军事后勤管理投资效益、军事后勤保障水平效益、军事后勤科研管理的经济效益、军事后勤维护修理效益4个方面分析,包含14个评价指标的后勤管理效益的评价指标体系。     

论党政领导干部任期经济责任审计功能拓展

党政领导干部的任期经济责任愈加明确与强化促使党政领导干部任期经济责任审计功能从简单的“合法性”监督向“四E性”评价方向拓展,进而引起任期经济责任审计评价内容、评价方法、评价指标上的创新。     

基于熵值法的人居环境质量评价研究——以徐州市为例

在分析城市人居环境系统构成的基础上,构建了人居环境质量评价指标体系,利用熵值法对1991-2005年徐州市区的人居环境质量进行了分析与评价。结果表明,1990年代以来,徐州市区人居环境质量有了较大的提升和改善,并据此就徐州市区城市规划、基础设施建设、生态环境建设和保护等方面,提出了优化人居环境的措施和对策。     

基于计算机仿真的仓库与停车场布局方案评价

首先明确了系统的研究对象及设施布局方案,提出了评价指标体系。通过基于布局方案的系统状态变化流程图的分析和状态变化间隔时间的确定,建立了仓库与停车场作业系统仿真模型。运用离散系统仿真技术中事件调度法提出了实现系统状态变化的基本步骤,并通过状态变化间隔时间设置、布局方案设置、仿真演示三个模块完成了仿真模型的程序实现。最后运用仿真模型得出了布局方案中装卸月台、车辆、停车场等相关指标,并分析评价了方案的优劣性。