用于异质用户出行管理的可交易许可证研究

针对公共交通与私家车出行方式并行的双模式交通系统,在考虑不同用户的时间价值情况下,通过引进可交易的道路许可证政策,建立了均衡出行交通模型.研究发现,许可证政策将拥挤产生的交通成本内部化,在缓解交通拥堵的同时,通过经济手段,降低了系统总成本.进一步地,本文证明如果汽车比公交快,那么时间价值较高的人会选择私家车出行;反之,如果公交比汽车快,时间价值相对较高的有车族会选择公交出行.通过与OD收费进行比较,我们得到在收费为正的情况下,许可证政策可以得到与基于OD收费相同的效果.最后,算例结果表明,许可证政策使得部分人选择公交出行的成本更低,达到鼓励公交出行的目的;甚至在许可证发放数量少于临界数量的情况下,选择公交出行的人会获得正收益.     

欧美股票市场对我国股票市场的传染效应研究——基于次贷与欧债危机背景

近年来,金融危机频频爆发且易表现出传染性,这使得金融传染引起国内外学者的高度关注.本文选取合适的动态条件相关模型研究欧美市场与A股、港股市场的条件相关性,结合内生多重结构突变模型与T检验方法划分危机传染期与平稳期,选用考虑外部影响的CCK模型研究A股、港股市场的羊群行为,随后,引入收益率分散度指标,研究两次危机的羊群行为传染渠道.研究结果表明:港股市场受两次危机传染的速度均快于A股市场,受传染的持续时间均长于A股市场,但受传染的程度均弱于A股市场:次贷危机传染程度强于欧债危机的传染程度,但传染的持续时间短于欧债危机:羊群行为传染渠道是两次危机对A股、港股市场的传染渠道之一.     

Forecasting the Daily Time‐Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter

This intention of this paper is to empirically forecast the daily betas of a few European banks by means of four generalized autoregressive conditional heteroscedasticity (GARCH) models and the Kalman filter method during the pre‐global financial crisis period and the crisis period. The four GARCH models employed are BEKK GARCH, DCC GARCH, DCC‐MIDAS GARCH and Gaussian‐copula GARCH. The data consist of daily stock prices from 2001 to 2013 from two large banks each from Austria, Belgium, Greece, Holland, Ireland, Italy, Portugal and Spain. We apply the rolling forecasting method and the model confidence sets (MCS) to compare the daily forecasting ability of the five models during one month of the pre‐crisis (January 2007) and the crisis (January 2013) periods. Based on the MCS results, the BEKK proves the best model in the January 2007 period, and the Kalman filter overly outperforms the other models during the January 2013 period. Results have implications regarding the choice of model during different periods by practitioners and academics. Copyright © 2016 John Wiley & Sons, Ltd.     

The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises

The paper investigates the determinants of the US dollar/euro within the framework of the asset pricing theory of exchange rate determination, which posits that current exchange rate fluctuations are determined by the entire path of current and future revisions in expectations about fundamentals. In this perspective, we innovate by conditioning on Fama–French and Carhart risk factors, which directly measures changing market expectations about the economic outlook, on new financial condition indexes and macroeconomic variables. The macro‐finance augmented econometric model has a remarkable in‐sample and out‐of‐sample predictive ability, largely outperforming a standard autoregressive specification. We also document a stable relationship between the US dollar/euro Carhart momentum conditional correlation (CCW) and the euro area business cycle. CCW signals a progressive weakening in economic conditions since June 2014, consistent with the scattered recovery from the sovereign debt crisis and the new Greek solvency crisis exploded in late spring/early summer 2015. Copyright © 2016 John Wiley & Sons, Ltd.     

基于组织支持感知的事业单位人力资源管理研究

针对我国事业单位人力资源管理改革面临着管理者角色重新定位、人才流动性加快、员工忠诚度降低等的挑战,本文从组织支持感知角度,构建事业单位人力资源管理模型。通过结构方程研究发现,我国事业单位员工的薪酬满意度、对LMX的理解、对于单位职业发展机会的理解、员工认为单位的工作家庭支持以及工作绩效与POS水平正相关;与离职意愿负相关。结论有利于事业单位制定正确的人力资源管理战略。     

Scientists and their cultural heritage: Knowledge,politics and ambivalent relationships

For many years, scientific heritage has received attention from multiple actors from different spheres of activity—archives, museums, scientific institutions. Beyond the heterogeneity revealed when examining the place of scientific heritage in different places, an authentic patrimonial configuration emerges and takes the form of a nebula of claims and of accomplishments that result, in some cases, in institutional and political recognition at the national level, in various country all around the world. At the international level, the creation of the international committee dedicated to University Museums and Collections (UMAC) within the International Council of Museums (ICOM) certainly testified from this raising interest in academic heritage and the existence of a specific community concern with it.This article presents numerous initiatives for the preservation of scientific heritage in France, with the goal of analysing the relationship scientists have with their heritage. We argue that scientific communities have a special relationship with heritage, which is characterized by a number of ambiguities. We show that such ambivalences allow analysis of identity, discipline, professional, and social issues operative in defining heritage and being redefined by heritage. To explore these dimensions, we have chosen to present three different case studies. The first traces the institutional uses of heritage by a scientific institution, the Commissariat à l’énergie atomique (CEA), through the transformation of the first French atomic reactor (ZOE) into a museum. The second example describes the initiatives of French astronomers from the mid-1990s to construct a national programme for the protection of astronomy heritage. Lastly, we recount the case of universities, with the example of the Université de Strasbourg.     

On the Difficulty of Measuring Forecasting Skill in Financial Markets

The use of correlation between forecasts and actual returns is commonplace in the literature, often used as a measurement of investors' skill. A prominent application of this is the concept of the information coefficient (IC). Not only can the IC be used as a tool to rate analysts and fund managers but it also represents an important parameter in the asset allocation and portfolio construction process. Nevertheless, a theoretical understanding of it has typically been limited to the partial equilibrium context where the investing activities of each agent have no effect on other market participants. In this paper we show that this can be an undesirable oversimplification and we demonstrate plausible circumstances in which conventional empirical measurements of IC can be highly misleading. We suggest that improved understanding of IC in a general equilibrium setting can lead to refined portfolio decision making ex ante and more informative analysis of performance ex post. Copyright © 2015 John Wiley & Sons, Ltd.     

A Neuro‐wavelet Model for the Short‐Term Forecasting of High‐Frequency Time Series of Stock Returns

We propose a wavelet neural network (neuro‐wavelet) model for the short‐term forecast of stock returns from high‐frequency financial data. The proposed hybrid model combines the capability of wavelets and neural networks to capture non‐stationary nonlinear attributes embedded in financial time series. A comparison study was performed on the predictive power of two econometric models and four recurrent neural network topologies. Several statistical measures were applied to the predictions and standard errors to evaluate the performance of all models. A Jordan net that used as input the coefficients resulting from a non‐decimated wavelet‐based multi‐resolution decomposition of an exogenous signal showed a consistent superior forecasting performance. Reasonable forecasting accuracy for the one‐, three‐ and five step‐ahead horizons was achieved by the proposed model. The procedure used to build the neuro‐wavelet model is reusable and can be applied to any high‐frequency financial series to specify the model characteristics associated with that particular series. Copyright © 2013 John Wiley & Sons, Ltd.     

澳大利亚的科技管理体系初探

自2007年澳大利亚联邦政府设置了“创新、工业和科研部(DIISR)”,较传统科技管理体系,现今澳大利亚的科技管理体系发生了重大变革.本文重点介绍了新时期澳大利亚的“单核心多元科技管理体系”——绝对核心,各决策咨询机构和政府科研机构.     

韩国科技管理体制发展与演变探析

自20世纪60年代以来,韩国的科技发展取得了巨大的成就,其科技管理体制发挥了重要的作用.针对韩国科技管理体制形成与发展演变过程中经历的科技管理体系初步形成,以科技部为宏观管理决策部门的集中协调型管理体制,以及李明博政府对科技管理体制的重大调整等三个重要阶段进行了系统的分析研究,并对韩国科技管理体制的特点进行了总结和讨论.