The Local Whittle Estimator of Long-Memory Stochastic Volatility

We propose a new semiparametric estimator of the degree of persistencein volatility for long memory stochastic volatility (LMSV) models.The estimator uses the periodogram of the log squared returnsin a local Whittle criterion which explicitly accounts for thenoise term in the LMSV model. Finite-sample and asymptotic standarderrors for the estimator are provided. An extensive simulationstudy reveals that the local Whittle estimator is much lessbiased and that the finite-sample standard errors yield moreaccurate confidence intervals than the widely-used GPH estimator.The estimator is also found to be robust against possible leverageeffects. In an empirical analysis of the daily Deutsche Mark/USDollar exchange rate, the new estimator indicates stronger persistencein volatility than the GPH estimator, provided that a largenumber of frequencies is used.     

安徽非公经济发展研究

在当代中国,非公经济发展与改革开放及制度变迁原本是相通的,欠发达地区经济发展的实质就是非公经济的发展;安徽非公经济发展滞后的深层机理在于既定制度格局下的路径依赖。本课题深入分析了既定制度格局影响安徽非公经济发展的机制过程,以此为基础,提出了进一步加快发展的思路和对策。     

Modelling soccer matches using bivariate discrete distributions with general dependence structure

In this paper copulas are used to generate bivariate discrete distributions. These distributions are fitted to soccer data from the English Premier League. An interesting aspect of these data is that the primary variable of interest, the discrete pair shots-for and shots-against, exhibits negative dependence; thus, in particular, we apply bivariate Poisson-related distributions that allow such dependence. The paper focuses on Archimedian copulas, for which the dependence structure is fully determined by a one-dimensional projection that is invariant under marginal transformations. Diagnostic plots for copula fit based on this projection are adapted to deal with discrete variables. Covariates relating to within-match contributions such as numbers of passes and tackles are introduced to explain variability in shot outcomes. The results of this analysis would appear to support the notion that playing the 'beautiful game' is an effective strategy—more passes and crosses contribute to more effective play and more shots on the goal.     

The Random Walk Hypothesis in the Emerging Indian Stock Market

This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted portfolio show significant non–linear dependence and persistent volatility effects. The non–linear dependence takes the form of ARCH–type conditional heteroskedasticity and does not appear to be caused by nonstationarity of underlying economic variables. Though conditional volatility is time varying, it does not explain expected returns.     

慈善组织理事会治理对会计信息质量的权变影响研究

利用2005-2019年中国慈善基金会数据,基于权变理论视角,探讨慈善组织理事会治理对会计信息质量的影响效应。研究发现：理事会规模越大、理事的平均年龄越大、理事中国家工作人员越多、女性理事占比越低,慈善基金会会计信息质量越高;而理事长和秘书长两职合一对慈善基金会会计信息质量不存在显著影响;理事会治理对会计信息质量的影响随着慈善基金会捐赠依赖度和外部审计质量的不同而发生权变,捐赠依赖度越小、外部审计质量越高的慈善基金会,理事会治理对会计信息质量的监督效应越强。     

Preferences in the Future

Environmental economics has been much occupied with the discount rate, which is the value of future costs and benefits relative to present costsor benefits. But at least as important is the question of whatshould be discounted, that is, what the value of those future environmentalbenefits is to future generations. This paper analyzes the role for futurepreferences and discusses the state of knowledge. I argue that theappropriate discount rate is the market one, and that the real problemis determining future willingness-to-pay. This approach makes clearerthe connection between discounting and the valuation debate.This paper focuses on two features that have been prominent in that debate:existence value and reference dependence. I argue that thereis a vital connection between the two constructs and that this link yieldsimportant implications for future willingness-to-pay.     

积极财政政策执行效果及隐忧问题研究——H省执行情况个案分析

基于凯恩斯主义国民收入决定理论 ,通过对H省经济运行数据的实证模拟 ,分析H省积极财政政策的执行情况 ,并结合H省省情和我国国情 ,我们得到了九个基本命题 :命题 1∶H省经济处于投资陷阱之中 ,因而货币政策无效 ,财政政策充分有效。命题 2∶H省的财政政策乘数为 5 596,投资需求拉动乘数为 2 3 945,消费需求拉动乘数为2 2 0 1 5,财政支出回馈乘数为 0 2 2 66。命题 3∶H省国债转贷与补助资金拉动的经济增长率为 :1 988年 0 6个百分点 ,1 999年 0 9个百分点 ,2 0 0 0年 0 6个百分点 ,2 0 0 1年 0 5个百分点。命题 4:乘数愈大 ,积极财政政策的效果愈大 ,但积极财政政策退出造成的负作用也愈大 ,总需求和经济增长对积极财政政策的依赖程度也愈强。命题 5,民营化程度愈低 ,投资的利率弹性愈低 ,货币政策愈无效 ,反之亦然。命题 6,民营化程度愈低 ,财政依赖程度愈强 ,反之亦然。命题 7:我国的积极财政政策必然会退出 ;退出的最佳方式是淡出 ;维持现有国债规模是淡出的最可能的形式 ,是一个聚点均衡。命题 8:H省的民营化程度低于全国的平均水平 ,财政依赖程度高于全国的平均水平 ,自主性增长动力尤显不足。命题 9:如果没有激励民间投资的有效措施出台 ,积极财政政策淡出将使H省经济增长速度下滑。     

Panel unit root tests under cross-sectional dependence

In this paper alternative approaches for testing the unit root hypothesis in panel data are considered. First, a robust version of the Dickey-Fuller t -statistic under contemporaneous correlated errors is suggested. Second, the GLS t -statistic is considered, which is based on the t -statistic of the transformed model. The asymptotic power of both tests is compared against a sequence of local alternatives. To adjust for short-run serial correlation of the errors, we propose a pre-whitening procedure that yields a test statistic with a standard normal limiting distribution as N and T tends to infinity. The test procedure is further generalized to accommodate individual specific intercepts or linear time trends. From our Monte Carlo simulations it turns out that the robust OLS t -statistic performs well with respect to size and power, whereas the GLS t -statistic may suffer from severe size distortions in small and moderate sample sizes. The tests are applied to test for a unit root in real exchange rates.     

Diversity in foresight: Insights from the fostering of innovation ideas

Foresight activities have often provided support for objectives such as priority-setting, networking and consensual vision-building. In this paper, we draw upon complementary evolutionary perspectives and discuss these objectives from the viewpoint of diversity which may be vital in contexts characterized by technological discontinuities and high uncertainties. We also argue that although the scanning of weak signals has been widely advocated in such contexts, the solicitation of ideas for prospective innovations may provide more focused, action-oriented, and comparable reflections of future developments. For the analysis of such ideas, we develop a collaborative foresight method RPM Screening which consists of phases for the generation, revision, multi-criteria evaluation, and portfolio analysis of innovation ideas. We also report experiences from a pilot project where this method was employed to enhance the work of the Foresight Forum of the Ministry of Trade and Industry in Finland. Encouraging results from this project and other recent applications suggest that RPM Screening can be helpful in foresight processes and the development of shared research agendas.     

Risk management under extreme events

This article presents two applications of extreme value theory (EVT) to financial markets: computation of value at risk (VaR) and cross-section dependence of extreme returns (i.e., tail dependence). We use a sample comprised of the United States, Europe, Asia, and Latin America. Our main findings are the following. First, on average, EVT gives the most accurate estimate of VaR. Second, tail dependence of paired returns decreases substantially when both heteroscedasticity and serial correlation are filtered out by a multivariate GARCH model. Both findings are in agreement with previous research in this area for other financial markets.