检索结果-南通市图书馆

Journal of Systems Science & Complexity 2023年第3期36卷 1169-1188页

作者： YUAN Jing DONG Yajing ZHAI Weijie cai zongwu School of Statistics Shandong Technology and Business UniversityYantai 264005China School of Statistics and Data Science Nankai UniversityTianjin 300071China Department of Economics University of KansasLawrenceKS 66045USA

With the increase of economic environment uncertainty,it is of great importance to study the linkage and spillover effects of economic policy uncertainty among ***,this article selects eight countries along the Belt and Road as the core countries(China,Korea,Croatia,India,Russia,Greece,Pakistan,and Singapore)and four countries(Germany,France,Japan,and UK)as the peripheral countries,and then copula technique and mixed-frequency global vector autoregressive model are employed to analyze the correlation and the spillover effect of the economic policy uncertainty(EPU)for the twelve selected countries,*** proposed empirical findings show clearly that the EPU correlation among the eight core Belt and Road countries is stronger and the spillover effect of the core countries to the peripheral countries is statistically *** a result,for harmonious and win-win development,the Belt and Road countries should pay a close attention to the EPU,because the stability of the EPU promotes greatly the economy development.

关键词： Belt and road initiative copula functions economic policy uncertainty global VAR spillover effects

Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients

在线全文

学校读者我要写书评

暂无评论

Journal of Management Science and Engineering 2018年第4期3卷 183-213页

作者： zongwu cai Ying Fang Dingshi Tian Department of Economics University of Kansas1460 Jayhawks BlowhardLawrenceKS 66045USA Wang Yanan Institute for Studies in Economics Department of StatisticsSchool of EconomicsMinistry of Education Key Laboratory of Econometrics and Fujian Key Laboratory of Statistical ScienceXiamen University422 Siming South RoadXiamenFujian 361005China

To characterize heteroskedasticity,nonlinearity,and asymmetry in tail risk,this study investigates a class of conditional (dynamic) expectile models with partially varying coefficients in which some coefficients are allowed to be constants,but others are allowed to be unknown functions of random variables.A three-stage estimation procedure is proposed to estimate both the parametric constant coefficients and nonparametric functional *** asymptotic properties are investigated under a time series context,together with a new simple and easily implemented test for testing the goodness of fit of models and a bandwidth selector based on newly defined cross-validatory estimation for the expected forecasting expectile *** proposed methodology is data-analytic and of sufficient flexibility to analyze complex and multivariate nonlinear structures without suffering from the curse of ***,the proposed model is illustrated by simulated data,and applied to analyzing the daily data of the S&P500 return series.

关键词： Expectile Heteroskedasticity Nonlinearity Varying coefficients Tail risk

A new quantile treatment effect model for studying smoking effect on birth weight during Mother's pregnancy

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Journal of Management Science and Engineering 2021年第3期6卷 336-343页

作者： Shengfang Tang zongwu cai Ying Fang Ming Lin Wang Yanan Institute for Studies in Economics and Fujian Key Laboratory of Statistical Sciences Xiamen UniversityXiamen361005China Department of Economics University of KansasLawrenceKS66045USA Department of Statistics and Data Science School of EconomicsXiamen UniversityXiamen361005China

This paper proposes a new quantile regression model to characterize the heterogeneity for distributional effects of maternal smoking during pregnancy on infant birth weight across different the mother's *** imposing a parametric restriction on the quantile functions of the potential outcome distributions conditional on the mother's age,we estimate the quantile treatment effects of maternal smoking during pregnancy on her baby's birth weight across different age groups of *** results show strongly that the quantile effects of maternal smoking on low infant birth weight are negative and substantially heterogenous across different ages.

关键词： Birth weight Heterogeneity Quantile regression Smoking Treatment effect

ON COMPLETE CONVERGENCE OF NONPARAMETRIC REGRESSION M-QUANTILES

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Systems Science and Mathematical Sciences 1992年第3期5卷 227-232页

作者： cai zongwu (Department of Mathematics,Hangzhou University,Hangzhou 310028,China) 杭州大学浙江杭州

Consider the nonparametric regression model Y_i=m(x_i)+ε_i,i=1,…,n,where m(?)is an unknown function,and the design points x_i are knownand *** robust nonparametric estimators were introduced by H(?)rdleand Gasser in *** estimators can be viewed as regression *** then establish complete convergence for such quantiles under only the finitemoment condition.

关键词： Nonparametric kernel type estimator M-smoother quantile complete convergence

Econometric Modeling and Economic Forecasting

在线全文

学校读者我要写书评

暂无评论

Journal of Management Science and Engineering 2018年第4期3卷 179-182页

作者： zongwu cai Yongmiao Hong Shouyang Wang Department of Economics University of KansasLawrenceKS 66045USA Department of Economics and Department of Statistical Sciences Cornell UniversityIthacaNY 14850USA Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190China

Editorial Introduction This special issue is dedicated to forecasting and modeling which are well regarded as two of the most challenging tasks in economics and finance because of the complexities of economic and financial data,such as nonlinearity,non-stationarity,and *** to forecast economic and financial data accurately is still an open question in the profession and practice.

关键词： finance nonlinearity forecasting

企业社会责任对现金持有价值的影响——基于分位数回归模型的研究

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

系统工程理论与实践 2019年第4期39卷 893-905页

作者：杨洁吴武清蔡宗武厦门国家会计学院"一带一路"财经发展研究中心厦门361005 中国人民大学商学院北京100872 堪萨斯大学经济系 ks66045

随着环境和社会问题日益严峻,企业社会责任的重要性凸显.本文研究了企业社会责任水平对现金持有价值在资本市场与产品市场中的影响.基于企业异质性和分布的厚尾特征,本文采用分位数回归模型克服一般均值模型的模型设定限制,发现:1)在资... 详细信息

随着环境和社会问题日益严峻,企业社会责任的重要性凸显.本文研究了企业社会责任水平对现金持有价值在资本市场与产品市场中的影响.基于企业异质性和分布的厚尾特征,本文采用分位数回归模型克服一般均值模型的模型设定限制,发现:1)在资本市场中,企业社会责任提升了现金持有的价值,并且随着企业市值的增加,这种正相关效果更加显著. 2)在产品市场中,企业社会责任能显著提升高销售增长率企业的现金持有价值;在低销售增长率企业中,低水平社会责任则会损害现金持有价值.本文的实证结果支持利益相关者理论提出的企业社会责任活动能够缓解管理者与利益相关群体之间的矛盾,从而改善利益相关者对公司的认知并赋予更高价值.本文的结论也为管理者自觉从事社会责任活动提供了部分证据.

关键词：企业社会责任异质性分位数回归现金持有价值

Forty's years of quantitative research in China:Retrospectives and perspectives

在线全文

学校读者我要写书评

暂无评论

Journal of Management Science and Engineering 2021年第3期6卷 247-248页

作者： zongwu cai Ying Fang Yingfei Qi Department of Economics University of Kansas Lawrence KS 66045 USA Wang Yanan Institute for Studies in Economics Xiamen University Xiamen Fujian 361005 China School of Economics Dongbei University of Finance and Economics Dalian Liaoning 116025 China

This special issue is dedicated to annual conference,“the 2019 CES China Conference”in Dalian,hosted by the Chinese Economists Society(CES)and School of Economics of Dongbei University of Finance and *** theme of this conference is on quantitative economic research,which has received an increasing attention in the last 40 years in China and its focus is on original contributions to quantitative methods and empirical studies on important economic issues in *** to apply and/or initiate quantitative methods to conduct empirical studies on important China economic issues is still an open question in the profession and practice.

关键词： China. Economics economic

基于面板数据的处置效应估计的计量方法最新进展

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

计量经济学报 2021年第2期1卷 233-249页

作者：蔡宗武堪萨斯大学经济系美国堪萨斯劳伦斯66045

本文着重介绍了基于面板数据的处置效应估计的计量方法最新进展.首先,简要介绍了面板数据的项目评估或经济政策评价的现代计量分析的基本模型及其性质和应用.其次,主要关注估计面板数据的平均和分位数处置效应的最新方法和模型.最后,从... 详细信息

本文着重介绍了基于面板数据的处置效应估计的计量方法最新进展.首先,简要介绍了面板数据的项目评估或经济政策评价的现代计量分析的基本模型及其性质和应用.其次,主要关注估计面板数据的平均和分位数处置效应的最新方法和模型.最后,从理论、方法和实证方面探讨了基于面板数据的经济政策评价的计量经济学和统计学未来可能的研究方向,特别地,如何结合三者:机器学习、经济政策评价和面板数据的未来的研究方向展开讨论,为年轻学者提供参考.

关键词：平均处置效应双重差分机器学习面板数据分位数处置效应双因素固定效应

条件密度双重核估计的积分均方误差的中心极限定理

在线全文

学校读者我要写书评

暂无评论

杭州大学学报（自然科学版） 1989年第2期16卷 123-131页

作者：蔡宗武杭州大学数学系

条件密度函数f(y|x)的双重核估计的积分均方误差为在适当条件下,本文讨论了I_n的渐近正态性。

关键词：条件密度双重核估计积分均方差

企业风险信息披露与债券风险溢价——基于债券募集说明书的文本分析

在线全文

学校读者我要写书评

暂无评论

系统工程理论与实践 2021年第7期41卷 1650-1671页

作者：吴武清甄伟浩杨洁蔡宗武中国人民大学商学院会计系北京100872 厦门国家会计学院"一带一路"财经发展研究中心厦门361005 堪萨斯大学经济系 KS 66045

目前鲜有关于债券市场中企业风险信息披露的研究文献.本文以2006-2017年间在上交所和深交所发布的债券募集说明书为样本,通过对企业风险信息进行文本分析,研究了公司风险信息披露行为对债券风险溢价的影响及其作用机制.实证结果表明,债... 详细信息

目前鲜有关于债券市场中企业风险信息披露的研究文献.本文以2006-2017年间在上交所和深交所发布的债券募集说明书为样本,通过对企业风险信息进行文本分析,研究了公司风险信息披露行为对债券风险溢价的影响及其作用机制.实证结果表明,债券募集说明书的风险披露程度与债券风险溢价之间存在显著的正相关关系.进一步研究发现,债券的担保条款、产权性质、发债企业绩效以及投资者的风险敏感性,对风险披露程度与债券风险溢价的正相关关系具有调节作用.这证实了债券募集说明书的风险披露程度上升会提高投资者的违约风险感知,从而导致债券风险溢价上升的影响机制.

关键词：风险信息披露债券风险溢价文本分析