Leverage of modem enterprise＇s financial management includes operating leverage and financial leverage. Both of them exist objectively, are not changeable with human＇s minds. They enlarge enterprise＇s benefit and r...Leverage of modem enterprise＇s financial management includes operating leverage and financial leverage. Both of them exist objectively, are not changeable with human＇s minds. They enlarge enterprise＇s benefit and risk, so they have both positive and negative effects. The degrees of them are measured as DOL and DFL. In financial management, the relationship between DOL and operating risk has regularity in quantity, and so does the relationship between DFL and financial risk.展开更多
A standard approach for analyses of survival data is the Cox proportional hazards model. It assumes that covariate effects are constant over time, i.e. that the hazards are proportional. With longer follow-up times, t...A standard approach for analyses of survival data is the Cox proportional hazards model. It assumes that covariate effects are constant over time, i.e. that the hazards are proportional. With longer follow-up times, though, the effect of a variable often gets weaker and the proportional hazards (PH) assumption is violated. In the last years, several approaches have been proposed to detect and model such time-varying effects. However, comparison and evaluation of the various approaches is difficult. A suitable measure is needed that quantifies the difference between time-varying effects and enables judgement about which method is best, i.e. which estimate is closest to the true effect. In this paper we adapt a measure proposed for the area between smoothed curves of exposure to time-varying effects. This measure is based on the weighted area between curves of time-varying effects relative to the area under a reference function that represents the true effect. We introduce several weighting schemes and demonstrate the application and performance of this new measure in a real-life data set and a simulation study.展开更多
The time-varying periodic variations in Global Navigation Satellite System(GNSS)stations affect the reliable time series analysis and appropriate geophysical interpretation.In this study,we apply the singular spectrum...The time-varying periodic variations in Global Navigation Satellite System(GNSS)stations affect the reliable time series analysis and appropriate geophysical interpretation.In this study,we apply the singular spectrum analysis(SSA)method to characterize and interpret the periodic patterns of GNSS deformations in China using multiple geodetic datasets.These include 23-year observations from the Crustal Movement Observation Network of China(CMONOC),displacements inferred from the Gravity Recovery and Climate Experiment(GRACE),and loadings derived from Geophysical models(GM).The results reveal that all CMONOC time series exhibit seasonal signals characterized by amplitude and phase modulations,and the SSA method outperforms the traditional least squares fitting(LSF)method in extracting and interpreting the time-varying seasonal signals from the original time series.The decrease in the root mean square(RMS)correlates well with the annual cycle variance estimated by the SSA method,and the average reduction in noise amplitudes is nearly twice as much for SSA filtered results compared with those from the LSF method.With SSA analysis,the time-varying seasonal signals for all the selected stations can be identified in the reconstructed components corresponding to the first ten eigenvalues.Moreover,both RMS reduction and correlation analysis imply the advantages of GRACE solutions in explaining the GNSS periodic variations,and the geophysical effects can account for 71%of the GNSS annual amplitudes,and the average RMS reduction is 15%.The SSA method has proved to be useful for investigating the GNSS timevarying seasonal signals.It could be applicable as an auxiliary tool in the improvement of nonlinear variations investigations.展开更多
The study is on a linear model of the relationship between the systematic risk and the micro-economic leverage and analyzed the data from the steel, energy source and chemical fibre industry listed companies in the Ch...The study is on a linear model of the relationship between the systematic risk and the micro-economic leverage and analyzed the data from the steel, energy source and chemical fibre industry listed companies in the Chinese stock market in 2002 and 2001. Using the linear regression method, empirical equations were found. The portfolio effect was shown so that some empirical evidence had been found to support the micro-economic leverage portfolio effect theory, which was that the listed companies balanced the operating and financial leverage to minimize the systematic risk.展开更多
Vibrator excitation generates not only reflections and refractions of wave fields on the subsurface interfaces but also electromagnetic waves with different frequencies. In this paper, we address the vibration-induced...Vibrator excitation generates not only reflections and refractions of wave fields on the subsurface interfaces but also electromagnetic waves with different frequencies. In this paper, we address the vibration-induced effects on the spontaneous potential field. The effects of controllable vibration on the spontaneous potential field were studied under real field geologic conditions. Experimental data confirmed that the vibration-induced effects on the spontaneous potential field do exist under field conditions. Monitoring records over a long time interval showed that there exist three information zones in the vibration-induced effects on the spontaneous potential field. These are the signal-varying zone, the extremestable zone, and the relaxation-recovery zone. Combined with different well-site data, it was concluded that the time-varying features of the anomalies in the information zones was closely related to the properties of the subsurface liquid （oil and water）.展开更多
The most appropriate heteroskedastic models for predicting volatility of daily stocks prices of 10 major Nigerian banks are proposed. The banks are Access, United Bank for Africa (UBA), Guaranty Trust, Skye, Diamond, ...The most appropriate heteroskedastic models for predicting volatility of daily stocks prices of 10 major Nigerian banks are proposed. The banks are Access, United Bank for Africa (UBA), Guaranty Trust, Skye, Diamond, Fidelity, Sterling,?Union, ETI and Zenith banks;and these are examined from 2004 to 2014.?The models employed are Autoregressive Conditional Heteroscedastic (ARCH(1)), Generalized Autoregressive Conditional Heteroscedastic (GARCH(1, 1)),?Exponential Generalized Autoregressive Conditional Heteroscedastic?(EGARCH(1, 1))?and Glosten, Jagananthan and Runkle-Generalized Autoregressive Conditional Heteroscedastic?(GJR-GARCH(1, 1)). The results show that all the?bank returns are highly leptokurtic, significantly skewed and thus non-normal across the four periods except for Fidelity bank during financial crises;findings similar to those of other global markets. Also noticed is the strong evidence for the presence of heteroscedasticity, and that volatility persistence during crisis?is?higher than before the crisis across the 10 banks, with that of UBA taking the lead, about 11 times higher during the crisis. The same with persistence?levels in volatility, which were relatively higher during financial crises across the ten banks compared to before the crises.?Findings further indicate that Asymmetric GARCH models outperformed the symmetric GARCH models, especially during the financial crises and post the crises. Thus with these findings, one could generally conclude that Nigerian banks’?returns are volatility persistent during and after the crises, and are characterized by leverage effects of negative and positive shocks during these periods.展开更多
Increasing attention has been focused on the analysis of the realized volatil- ity, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a pr...Increasing attention has been focused on the analysis of the realized volatil- ity, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged stochastic volatility model using the realized volatility computed from five popular methods across six sampling-frequency transaction data （from 1-min to 60- min） based on the trust region method. Availability of the realized volatility allows us to estimate the model parameters via the MLE and thus avoids computational challenge in the high dimensional integration. Six stock indices are considered in the empirical investigation. We discover some consistent findings and interesting patterns from the empirical results. In general, the significant leverage effect is consistently detected at each sampling frequency and the volatility persistence becomes weaker at the lower sampling frequency.展开更多
The time-varying difference-in-difference model is used to identify the impact of payment technology on residents’consumption,and the moderation effect analysis method is used to identify its mechanism.It is found th...The time-varying difference-in-difference model is used to identify the impact of payment technology on residents’consumption,and the moderation effect analysis method is used to identify its mechanism.It is found that payment technology promotes consumption capacity expansion and quality improvement(CEQI)through three pathways of alleviating liquidity constraints,reducing transaction costs and weakening the payment of pain.The parallel and serial mechanisms of the three are further explored.The effect of payment technology on the CEQI of residents’consumption shows obvious heterogeneity due to differences in urban and rural household registration and financial literacy.Based on the empirical research results and the national conditions of China,targeted policy recommendations are proposed from the demand side,the supply side and the technological side.展开更多
文摘Leverage of modem enterprise＇s financial management includes operating leverage and financial leverage. Both of them exist objectively, are not changeable with human＇s minds. They enlarge enterprise＇s benefit and risk, so they have both positive and negative effects. The degrees of them are measured as DOL and DFL. In financial management, the relationship between DOL and operating risk has regularity in quantity, and so does the relationship between DFL and financial risk.
文摘A standard approach for analyses of survival data is the Cox proportional hazards model. It assumes that covariate effects are constant over time, i.e. that the hazards are proportional. With longer follow-up times, though, the effect of a variable often gets weaker and the proportional hazards (PH) assumption is violated. In the last years, several approaches have been proposed to detect and model such time-varying effects. However, comparison and evaluation of the various approaches is difficult. A suitable measure is needed that quantifies the difference between time-varying effects and enables judgement about which method is best, i.e. which estimate is closest to the true effect. In this paper we adapt a measure proposed for the area between smoothed curves of exposure to time-varying effects. This measure is based on the weighted area between curves of time-varying effects relative to the area under a reference function that represents the true effect. We introduce several weighting schemes and demonstrate the application and performance of this new measure in a real-life data set and a simulation study.
基金supported by the National Natural Science Foundation of China(NO.42104028,42174030 and 42004017)the Open Fund of Hubei Luojia Laboratory(No.220100048 and 230100021)the Scientific Research Project of Hubei Provincial Department of Education,and Research Foundation of the Department of Natural Resources of Hunan Province(No.20230104CH)。
文摘The time-varying periodic variations in Global Navigation Satellite System(GNSS)stations affect the reliable time series analysis and appropriate geophysical interpretation.In this study,we apply the singular spectrum analysis(SSA)method to characterize and interpret the periodic patterns of GNSS deformations in China using multiple geodetic datasets.These include 23-year observations from the Crustal Movement Observation Network of China(CMONOC),displacements inferred from the Gravity Recovery and Climate Experiment(GRACE),and loadings derived from Geophysical models(GM).The results reveal that all CMONOC time series exhibit seasonal signals characterized by amplitude and phase modulations,and the SSA method outperforms the traditional least squares fitting(LSF)method in extracting and interpreting the time-varying seasonal signals from the original time series.The decrease in the root mean square(RMS)correlates well with the annual cycle variance estimated by the SSA method,and the average reduction in noise amplitudes is nearly twice as much for SSA filtered results compared with those from the LSF method.With SSA analysis,the time-varying seasonal signals for all the selected stations can be identified in the reconstructed components corresponding to the first ten eigenvalues.Moreover,both RMS reduction and correlation analysis imply the advantages of GRACE solutions in explaining the GNSS periodic variations,and the geophysical effects can account for 71%of the GNSS annual amplitudes,and the average RMS reduction is 15%.The SSA method has proved to be useful for investigating the GNSS timevarying seasonal signals.It could be applicable as an auxiliary tool in the improvement of nonlinear variations investigations.
文摘The study is on a linear model of the relationship between the systematic risk and the micro-economic leverage and analyzed the data from the steel, energy source and chemical fibre industry listed companies in the Chinese stock market in 2002 and 2001. Using the linear regression method, empirical equations were found. The portfolio effect was shown so that some empirical evidence had been found to support the micro-economic leverage portfolio effect theory, which was that the listed companies balanced the operating and financial leverage to minimize the systematic risk.
文摘Vibrator excitation generates not only reflections and refractions of wave fields on the subsurface interfaces but also electromagnetic waves with different frequencies. In this paper, we address the vibration-induced effects on the spontaneous potential field. The effects of controllable vibration on the spontaneous potential field were studied under real field geologic conditions. Experimental data confirmed that the vibration-induced effects on the spontaneous potential field do exist under field conditions. Monitoring records over a long time interval showed that there exist three information zones in the vibration-induced effects on the spontaneous potential field. These are the signal-varying zone, the extremestable zone, and the relaxation-recovery zone. Combined with different well-site data, it was concluded that the time-varying features of the anomalies in the information zones was closely related to the properties of the subsurface liquid （oil and water）.
文摘The most appropriate heteroskedastic models for predicting volatility of daily stocks prices of 10 major Nigerian banks are proposed. The banks are Access, United Bank for Africa (UBA), Guaranty Trust, Skye, Diamond, Fidelity, Sterling,?Union, ETI and Zenith banks;and these are examined from 2004 to 2014.?The models employed are Autoregressive Conditional Heteroscedastic (ARCH(1)), Generalized Autoregressive Conditional Heteroscedastic (GARCH(1, 1)),?Exponential Generalized Autoregressive Conditional Heteroscedastic?(EGARCH(1, 1))?and Glosten, Jagananthan and Runkle-Generalized Autoregressive Conditional Heteroscedastic?(GJR-GARCH(1, 1)). The results show that all the?bank returns are highly leptokurtic, significantly skewed and thus non-normal across the four periods except for Fidelity bank during financial crises;findings similar to those of other global markets. Also noticed is the strong evidence for the presence of heteroscedasticity, and that volatility persistence during crisis?is?higher than before the crisis across the 10 banks, with that of UBA taking the lead, about 11 times higher during the crisis. The same with persistence?levels in volatility, which were relatively higher during financial crises across the ten banks compared to before the crises.?Findings further indicate that Asymmetric GARCH models outperformed the symmetric GARCH models, especially during the financial crises and post the crises. Thus with these findings, one could generally conclude that Nigerian banks’?returns are volatility persistent during and after the crises, and are characterized by leverage effects of negative and positive shocks during these periods.
文摘Increasing attention has been focused on the analysis of the realized volatil- ity, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged stochastic volatility model using the realized volatility computed from five popular methods across six sampling-frequency transaction data （from 1-min to 60- min） based on the trust region method. Availability of the realized volatility allows us to estimate the model parameters via the MLE and thus avoids computational challenge in the high dimensional integration. Six stock indices are considered in the empirical investigation. We discover some consistent findings and interesting patterns from the empirical results. In general, the significant leverage effect is consistently detected at each sampling frequency and the volatility persistence becomes weaker at the lower sampling frequency.
基金Foundation items:National Natural Science Foundation of China(No.71874027)Ministry of Education Humanities and Social Sciences Research Youth Fund Project(No.23YJC760028)。
文摘The time-varying difference-in-difference model is used to identify the impact of payment technology on residents’consumption,and the moderation effect analysis method is used to identify its mechanism.It is found that payment technology promotes consumption capacity expansion and quality improvement(CEQI)through three pathways of alleviating liquidity constraints,reducing transaction costs and weakening the payment of pain.The parallel and serial mechanisms of the three are further explored.The effect of payment technology on the CEQI of residents’consumption shows obvious heterogeneity due to differences in urban and rural household registration and financial literacy.Based on the empirical research results and the national conditions of China,targeted policy recommendations are proposed from the demand side,the supply side and the technological side.
