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The Return-Volatility Relation in Commodity Futures Markets 商品期货市场的收益-波动关系
Pub Date : 2015-06-11 DOI: 10.2139/ssrn.2617525
C. Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos, Thuy-Duong Tô
By employing a continuous time multi‐factor stochastic volatility model, the dynamic relation between returns and volatility in the commodity futures markets is analyzed. The model is estimated by using an extensive database of gold and crude oil futures and futures options. A positive relation in the gold futures market and a negative relation in the crude oil futures market subsist, especially over periods of high volatility principally driven by market‐wide shocks. The opposite relation holds over quiet periods typically driven by commodity‐specific effects. According to the proposed convenience yield effect, normal (inverted) commodity futures markets entail a negative (positive) relation. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:127–152, 2016
利用连续时间多因素随机波动率模型,分析了商品期货市场收益与波动率之间的动态关系。该模型是通过使用一个广泛的黄金和原油期货和期货期权数据库来估计的。黄金期货市场的正相关关系和原油期货市场的负相关关系存在,特别是在主要由市场冲击驱动的高波动性时期。在通常由商品特定效应驱动的平静期,相反的关系则成立。根据提出的便利收益率效应,正常(倒挂)商品期货市场存在负(正)关系。©2015 Wiley期刊公司[j] [j] [j], 2016
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引用次数: 22
Avaliação De Artigos Científicos EM Marketing: Uma Proposição Do Comitê Científico De Marketing Da Anpad (2015-2016) (Review of Scientific Articles in Marketing: A Proposition of the Anpad's Sciencifc Committee (2015-2016)) 《市场营销科学文章评论:Anpad科学委员会的提案》(2015-2016)
Pub Date : 2015-05-09 DOI: 10.2139/SSRN.2604521
V. Brei, S. Farias, C. Matos, J. Mazzon
Portuguese Abstract: Nesse artigo, o Comite Cientifico de Marketing da ANPAD (2015-2016) propoe um conjunto de reflexoes e sugestoes para avaliacao e elaboracao de pareceres para artigos cientificos submetidos aos congressos e aos periodicos cientificos de marketing. Analisamos o processo de submissao e revisao de artigos nos principais congressos – o Encontro Nacional da ANPAD (EnANPAD) e o Encontro de Marketing da ANPAD (EMA) – e periodicos de marketing. Mostramos quais sao os diferentes papeis e como atuam num processo de revisao os cientistas da academia brasileira de marketing – autores, editores, revisores, Comite Cientifico e Lideres de Tema da ANPAD. Tracamos algumas sugestoes a respeito do comportamento/postura de um revisor e analisamos quais sao os elementos essenciais de um bom artigo. Por fim, propomos uma grade de avaliacao (criterios) com o objetivo de ajudar os revisores a elaborarem seus pareceres a pesquisas teorico-empiricas, ensaios teoricos e casos de ensino.English Abstract: The ANPAD's Marketing Scintific Comitee (2015-2016) proposes a set of reflections and suggestions for evaluation and review of scientific papers submitted to the marketing congress and scientific journals. We analyze the submission and peer-review process in the most important Brazilian marketing congresses (ENANPAD and EMA). We show the different roles and how each scientist of the Brazilian marketing academy -- authors, editors, reviewers, Scientific Committee, and Theme Leaders -- participate in the review process. We develop some suggestions about the behavior/actions of the reviewers, and analyze which are the essential elements of a good academic paper. Finally, we propose a evaluation framework to help reviewers to elaborate their paper evaluations of about theoretical-empirical, and theoretical papers, as well as case studies.
摘要:在本文中,ANPAD科学营销委员会(2015-2016)提出了一套反思和建议,以评估和准备提交给大会和科学营销期刊的科学文章的意见。我们分析了在主要会议- ANPAD全国会议(EnANPAD)和ANPAD营销会议(EMA) -和营销期刊上提交和审查文章的过程。我们展示了巴西营销学院的科学家——ANPAD的作者、编辑、审稿人、科学委员会和主题领袖——在审查过程中扮演的不同角色和他们是如何工作的。我们对审稿人的行为/态度提出了一些建议,并分析了一篇好文章的基本要素。最后,我们提出了一个评估网格(标准),以帮助审稿人阐述他们对理论-实证研究、理论论文和教学案例的意见。英语文摘:ANPAD'的营销Scintific委员会(2015 - -2016)proposes组对称,suggestions是评估和审查的科学论文。带给营销国会和科学期刊。我们分析了巴西最重要的营销大会(ENANPAD和EMA)的提交和同行评审过程。我们展示了巴西营销学院的每个科学家——作者、编辑、审稿人、科学委员会和主题领导人——参与审查过程的不同角色和方式。我们对审稿人的行为/行动提出了一些建议,并分析了一篇好的学术论文的基本要素。最后,我们提出了一个评估框架,以帮助审稿人准备他们的论文评估的理论-实证,理论论文和案例研究。
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引用次数: 0
It's Raining Men! Hallelujah? 下雨了!哈利路亚?
Pub Date : 2015-04-17 DOI: 10.2139/ssrn.2445285
Pauline Grosjean, Rose Khattar
We document the implications of missing women in the short and long run. We exploit a natural historical experiment, which sent large numbers of male convicts and far fewer female convicts to Australia in the 18th and 19th century. In more male-biased areas, women historically married more and were less likely to work. Today, in areas that were more male-biased historically, people have more conservative attitudes towards women working, women are less likely to have high-ranking occupations, and women earn a lower wage income. We document the role of vertical cultural transmission and of marriage homogamy in sustaining cultural persistence.
我们记录了失踪妇女在短期和长期的影响。我们利用了一项自然历史实验,该实验在18世纪和19世纪将大量男性囚犯和少得多的女性囚犯送往澳大利亚。在男性更偏向的地区,女性历来结婚更多,工作的可能性更小。今天,在历史上更偏向男性的地区,人们对女性工作的态度更加保守,女性不太可能担任高级职位,女性的工资收入也更低。我们记录了垂直文化传播和婚姻同性婚姻在维持文化持久性中的作用。
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引用次数: 37
A Multivariate Tweedie Lifetime Model: Censoring and Truncation 一个多变量Tweedie寿命模型:删减和截断
Pub Date : 2015-01-15 DOI: 10.2139/ssrn.2550507
Daniel H. Alai, Z. Landsman, M. Sherris
We generalize model calibration for a multivariate Tweedie distribution to allow for censored observations; estimation is based on the method of moments. The multivariate Tweedie distribution we consider incorporates dependence in a pool of lives via a common stochastic component. Pools may be interpreted in various ways, from nation-wide cohorts to employer-based pension annuity portfolios. In general, the common stochastic component is representative of systematic longevity risk, which is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving.
我们推广了多元Tweedie分布的模型校准,以允许审查的观测;估计是基于矩量法。我们考虑的多变量Tweedie分布通过一个共同的随机分量将生命池中的依赖性纳入其中。从全国范围内的群体到以雇主为基础的养老金年金组合,资金池可以有多种解释。一般来说,常见的随机成分代表了系统寿命风险,这在用于年金定价和预留的标准生命表和精算模型中没有考虑到。
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引用次数: 7
Enhancing the Auditor's Report: To What Extent is there Support for the IAASB's Proposed Changes? 加强审计报告:在多大程度上支持国际会计准则理事会建议的变更?
Pub Date : 2014-04-17 DOI: 10.2308/ACCH-50791
R. Simnett, Anna Huggins
SYNOPSIS:  This article outlines proposed reforms to auditor reporting currently being considered by the International Auditing and Assurance Standards Board (IAASB), and other key national and transnational standard-setters and regulatory bodies. It adds to recent academic contributions on reforming the auditor's report by analyzing the 165 stakeholder responses to the IAASB's 2012 Invitation to Comment: Improving the Auditor's Report to determine levels of support for the IAASB's proposed reforms, and the differences, if any, between the views of various respondents based on stakeholder groups (e.g., audit and assurance firms, users, preparers, regulators, etc.) and regional classifications. Guided by insights from communication theory, our results show the levels of stakeholder support for the IAASB's proposed reforms addressing auditors' expectations, information, and communication gaps are mixed. The strongest overall support was for enhanced auditor reporting on other information attached to, or int...
摘要:本文概述了国际审计与鉴证准则理事会(IAASB)以及其他主要的国家和跨国准则制定机构和监管机构目前正在考虑的审计报告改革建议。通过分析165个利益相关方对IAASB《2012年征求意见:改进审计报告》的回应,以确定对IAASB拟议改革的支持程度,以及基于利益相关方群体(如审计和鉴证公司、使用者、编制人、监管机构等)和地区分类的不同回执意见之间的差异(如果有的话),该报告增加了最近关于审计报告改革的学术贡献。在沟通理论见解的指导下,我们的结果显示,利益相关者对IAASB提出的解决审计人员期望、信息和沟通差距的改革的支持程度参差不齐。总体上最有力的支持是加强审计人员对附属于……的其他信息的报告。
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引用次数: 59
Why Myths in Neoclassical Economics Threaten the World Economy: A Post-Keynesian Manifesto 新古典经济学中的神话为何威胁世界经济:后凯恩斯主义宣言
Pub Date : 2013-12-17 DOI: 10.2139/ssrn.2374960
G. Harcourt, Peter Kriesler, J. Nevile
There is a myth underlying neoclassical economic analysis of a 'Western' economy, which is that in anything but the relatively short run, defined as the length of a business cycle, the economy reaches an equilibrium position determined entirely by supply side factors and unaffected by measures taken to increase aggregate demand during a slump. This myth is not based on any factual analysis, it is simply assumed. It threatens the wellbeing of the world economy because it allows those who hold it to deny there is any need to change the deregulated state of the international financial sector, that caused the global crisis which started in 2007 and the effects of which have persisted ever since. The fundamental myth has a number of corollaries, which are worth calling associated myths. One of the most important is that the composition of spending to increase aggregate demand during a slump is irrelevant, so that it does not matter if the spending is directed towards consumer goods or to increasing physical and human capital. Another is that monetary policy has a more desirable impact on the economy than does fiscal policy. The paper focuses on neo-classical growth theory; comparative static implications are not considered. Finally, the policy implications are discussed.
新古典经济学对“西方”经济的分析背后有一个神话,即在相对短期(定义为商业周期的长度)之外的任何情况下,经济都会达到完全由供给侧因素决定的均衡位置,而不受在衰退期间采取措施增加总需求的影响。这个神话不是基于任何事实分析,只是假设而已。它威胁到世界经济的福祉,因为它允许持有这种观点的人否认有必要改变国际金融部门的放松管制状态,这种状态导致了始于2007年的全球危机,其影响一直持续至今。基本神话有许多推论,这些推论值得称为关联神话。其中最重要的一点是,在经济衰退期间,增加总需求的支出构成是无关紧要的,因此,支出是用于消费品还是用于增加物质和人力资本都无关紧要。另一个原因是,货币政策对经济的影响比财政政策更可取。本文主要研究新古典增长理论;不考虑比较静态的影响。最后,讨论了政策影响。
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引用次数: 1
Constructive Representation of Trust: Single Rule Paradigm 信任的建设性表征:单一规则范式
Pub Date : 2013-11-08 DOI: 10.2139/ssrn.2356013
A. Ramer, R. Marks
A constructive computational framework for trust and reputation assessments is presented. It is proven free from any inconsistent or contradictory assessments under any scenarios of its application. A prototype implementation has been developed. The framework focuses on a single information-theoretical rule as inference mechanism, thus avoiding any biases or spurious constraints in the solutions. The users of our model will find its results intuitively plausible, free from clustering or drift to the extrema. The entire framework is suited for a direct use in economic, financial and intelligence analyses.
提出了一种用于信任和声誉评估的建设性计算框架。它被证明在其应用的任何情况下没有任何不一致或矛盾的评估。已经开发了一个原型实现。该框架将单个信息理论规则作为推理机制,从而避免了解决方案中的任何偏差或虚假约束。我们模型的用户会发现它的结果直观可信,没有聚类或漂移到极值。整个框架适合直接用于经济、金融和情报分析。
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引用次数: 0
On the Interpretation of Giving, Taking, and Destruction in Dictator Games and Joy-of-Destruction Games 论“独裁者游戏”和“毁灭之乐”游戏中给予、索取和破坏的含义
Pub Date : 2013-10-31 DOI: 10.2139/ssrn.2190240
Le Zhang, A. Ortmann
The literature on dictator [D] and joy-of-destruction [JoD] games demonstrates that people can be nice and nasty. We study, by way of an experiment with between-subjects and within-subjects features, to what extent behaviors are context dependent and consistent. We find that, for one-shot D and JoD games, our participants' niceness and nastiness depend on the choice set. Contradicting the observed altruism and nastiness, participants tend to be selfish but nonetheless make choices that increase social welfare when given the opportunity.
关于《独裁者》和《毁灭之乐》游戏的文献表明,人们可以是好人,也可以是坏人。我们通过实验研究了受试者之间和受试者内部的特征,研究了行为在多大程度上依赖于语境和一致性。我们发现,在一次性D和JoD游戏中,参与者的善良和邪恶取决于选择集。与观察到的利他主义和肮脏相反,参与者往往是自私的,但当有机会时,他们会做出增加社会福利的选择。
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引用次数: 17
Increasing Marginal Revenue and Demand Elasticity 增加边际收入和需求弹性
Pub Date : 2013-10-16 DOI: 10.2139/ssrn.2342858
R. Marks
If social “harm” is an inverse-U function against the degree of control of illicit drug markets, and if revenue can proxy “harm,” what demand functions result in increasing marginal revenue?
如果社会“危害”是对非法毒品市场控制程度的反u函数,如果收入可以代表“危害”,那么什么需求函数导致边际收入增加?
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引用次数: 0
A Closed-Form Formula for the Skewness Estimation of Non-Life Reserve Risk Distribution 非寿险准备金风险分布偏度估计的封闭公式
Pub Date : 2013-09-15 DOI: 10.2139/ssrn.2344297
Eric Dal Moro
In the same spirit as the Mack standard deviation for non-life reserves, which can be estimated with a closed-form formula applied to a loss development triangle (see Mack 1993), this article introduces a closed-form formula to estimate the skewness of non-life reserves which can also be applied to a loss development triangle. This closed-form formula is tested on 41 triangles and estimators of skewness per different lines of business are derived. These estimators are used to calibrate skew-normal and Generalized Extreme Value ("GEV") distributions for a fictitious reinsurance company so that a capital amount related to the reserve risk of this company using an internal model is calculated. This capital amount is then compared to the capital amount which would result from the use of lognormal distributions instead of skew-normal or GEV distributions. An excel sheet developed to estimate the presented closed-form formula is available on the internet.
非寿险储备的Mack标准差可以用一个适用于损失发展三角的封闭公式来估计(参见Mack 1993),本文与Mack标准差的精神相同,引入了一个封闭公式来估计非寿险储备的偏度,该公式也可以应用于损失发展三角。这个封闭形式的公式在41个三角形上进行了测试,并推导了每个不同业务线的偏度估计。这些估计器用于校准一个虚构的再保险公司的偏正态分布和广义极值(“GEV”)分布,以便使用内部模型计算与该公司准备金风险相关的资本金额。然后将该资本额与使用对数正态分布而不是斜正态分布或GEV分布所产生的资本额进行比较。在互联网上可以找到一个用于估计所提出的封闭形式公式的excel表格。
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引用次数: 4
期刊
UNSW Business School Research Paper Series
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