In the paper, a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independentl...In the paper, a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common deterministic and stochastic factors. Monte Carlo results strongly support the proposed methodology, validating its use also for relatively small cross-sectional and temporal samples.展开更多
The present paper studies China＇s national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi （RMB） to move towards greater flexibility. Using generalized a...The present paper studies China＇s national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi （RMB） to move towards greater flexibility. Using generalized autoregressive conditional heteroskedastic and constant conditional correlation-generalized autoregressive conditional heteroskedastic methods to estimate the augmented capital asset pricing models with orthogonalized stock returns, we find that China equity indexes are significantly exposed to exchange rate movements. In a static setting, there is strong sensitivity of stock returns to movements of China＇s trade- weighted exchange rate, and to the bilateral exchange rates except the RMB/dollar rate. However, in a dynamic framework, exposure to all the bilateral currency pairs under examination is significant. The results indicate that under the new exchange rate regime, China＇s gradualist approach to moving towards greater exchange rate flexibility has managed to keep exposure to a moderate level. However, we find evidence that in a dynamic setting, the exposure of the RMB to the dollar and other major currencies is significant. For China, the challenge of managing currency risk exposure is looming greater.展开更多
以湖南省黄丰桥国有林场103块样地共2461株杉木为例,建立单木冠幅模型。由于所调查数据是在不同立地条件下相同样地中重复观察得到,数据间存在明显相关性,为解决此问题,将考虑立地指数和样地对冠幅生长的随机影响,即建立嵌套2水平非线...以湖南省黄丰桥国有林场103块样地共2461株杉木为例,建立单木冠幅模型。由于所调查数据是在不同立地条件下相同样地中重复观察得到,数据间存在明显相关性,为解决此问题,将考虑立地指数和样地对冠幅生长的随机影响,即建立嵌套2水平非线性混合冠幅模型。从12个常用林分模型中选出较好的冠幅直径模型作为构建混合模型的基础模型。除胸高直径外,还考虑其他17个林分或树木因子对冠幅的影响。通过指标AIC(akaike information criterion)和对数似然确定最佳形式参数随机效应组合类型,用指数函数、幂函数以及常数加幂函数3种形式的残差方差模型消除异方差,最后对混合模型和传统回归模型进行比较及评价。结果表明:逻辑斯蒂形式的冠幅直径模型[模型(13)]拟合效果较好,选择为基础模型;胸径、冠底高、树高和样地优势高是影响冠幅的主要因子;幂函数消除异方差效果最好;与立地指数相比,立地指数与样地的嵌套效应对冠幅影响更大;模型(15)的嵌套2水平比总体平均水平和立地指数水平预测精度高,相比于模型(13)有明显改进。本文主要为方法研究,对于其他树种可以用相似方法构建冠幅模型。展开更多
文摘In the paper, a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common deterministic and stochastic factors. Monte Carlo results strongly support the proposed methodology, validating its use also for relatively small cross-sectional and temporal samples.
文摘The present paper studies China＇s national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi （RMB） to move towards greater flexibility. Using generalized autoregressive conditional heteroskedastic and constant conditional correlation-generalized autoregressive conditional heteroskedastic methods to estimate the augmented capital asset pricing models with orthogonalized stock returns, we find that China equity indexes are significantly exposed to exchange rate movements. In a static setting, there is strong sensitivity of stock returns to movements of China＇s trade- weighted exchange rate, and to the bilateral exchange rates except the RMB/dollar rate. However, in a dynamic framework, exposure to all the bilateral currency pairs under examination is significant. The results indicate that under the new exchange rate regime, China＇s gradualist approach to moving towards greater exchange rate flexibility has managed to keep exposure to a moderate level. However, we find evidence that in a dynamic setting, the exposure of the RMB to the dollar and other major currencies is significant. For China, the challenge of managing currency risk exposure is looming greater.
文摘以湖南省黄丰桥国有林场103块样地共2461株杉木为例,建立单木冠幅模型。由于所调查数据是在不同立地条件下相同样地中重复观察得到,数据间存在明显相关性,为解决此问题,将考虑立地指数和样地对冠幅生长的随机影响,即建立嵌套2水平非线性混合冠幅模型。从12个常用林分模型中选出较好的冠幅直径模型作为构建混合模型的基础模型。除胸高直径外,还考虑其他17个林分或树木因子对冠幅的影响。通过指标AIC(akaike information criterion)和对数似然确定最佳形式参数随机效应组合类型,用指数函数、幂函数以及常数加幂函数3种形式的残差方差模型消除异方差,最后对混合模型和传统回归模型进行比较及评价。结果表明:逻辑斯蒂形式的冠幅直径模型[模型(13)]拟合效果较好,选择为基础模型;胸径、冠底高、树高和样地优势高是影响冠幅的主要因子;幂函数消除异方差效果最好;与立地指数相比,立地指数与样地的嵌套效应对冠幅影响更大;模型(15)的嵌套2水平比总体平均水平和立地指数水平预测精度高,相比于模型(13)有明显改进。本文主要为方法研究,对于其他树种可以用相似方法构建冠幅模型。
