19世纪后期美国农业危机成因探析

19世纪晚期在美国农业现代化取得巨大成就的过程中爆发了持续二三十年的农业危机.造成这次农业危机的直接原因是由于盲目扩大生产导致农产品供过于求,而垄断资本的控制和剥削、联邦政府的土地、财政金融政策等也对这次农业危机的发生起了推波助澜的作用.     

时变脉冲微分方程初值问题解的存在性

首先给出了脉冲微分方程初值问题的解与相对应的常微分方程初值问题的解之间的关系,然后利用常微分方程理论讨论了一类时变脉冲微分方程初值问题,并在相对较弱的条件下建立了解的存在性定理,所得解允许和某些Sk相遇多次,推广了相关问题的已有结果.     

非Lipschitz条件下的倒向重随机微分方程

利用Bihair不等式、Jensen不等式给出非Lipschitz条件下倒向重随机微分方程解的存在唯一性定理,推广Pardoux和Peng 1994年的结论;同时也得到了此类方程在非Lipschitz条件下的比较定理,推广了Shi,Gu和Liu 2005年的结果.从而推广倒向重随机微分方程在随机控制及随机偏微分方程在粘性解方面的应用.     

二阶微分方程唯一正周期解的存在性

应用不动点定理,研究了一类二阶时滞微分方程,给出了其唯一周期正解的存在性定理.     

非线性二阶差分方程三点边值问题的研究

为了拓展非线性离散边值问题的基本理论,研究了一类非线性二阶差分方程三点边值问题正解存在性的充分条件.首先,给出了相应的二阶差分方程三点边值问题解的表达式并证明其性质;其次,在Banach空间中构造合适的锥和积分算子,运用锥上的Krasnoselskii's不动点定理,在非线性项允许变号的条件下,获得非线性二阶差分方程三...     

关于《区间上三段单调扩张自映射的周期轨道》的注记

设m≥0是任一整数.对每一正奇数n≥3,设λn,sn,rn分别是方程xn-2xn-2-1=0,xn-2xn-1-1=0和xn 2-3xn-x2-1=0的唯一正根.记tn0=rn,tni=sn,i≥1,iN,λ=nl→i∞mλn,s=nli→∞msn,t=nli→∞mtn.设λ为f C0(I,I)的扩张常数.利用实分析学中的极限理论,得到了:(1)若f F2(I)∪G2(I),且λ>λ1/2m,则存在最小的奇数n0≥3,使得f有2m.n0-周期点.(2)若f F3(I),且λ>s1/2m,则存在最小的奇数n0≥3,使得f有2m.n0-周期点.(3)若f G3(I),且λ>t1/2m,则存在最小的奇数k0≥3,使得f有2m.k0-周期点.     

关于捕食者-食饵系统正周期解存在性的一个反例

举出一个具有时滞和功能反应的两种群捕食者-食饵扩散系统的反例,并证明该系统不存在正的ω-周期解.这个反例说明了,2003年LI Bin-wen在《Ann.of Diff.Eqs.》上得出的结论是错误的.     

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.