本文關(guān)鍵詞：智力資本與公司績效的相關(guān)性——基于分量回歸的實證分析，，由筆耕文化傳播整理發(fā)布。

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宏觀經(jīng)濟管理與可持續(xù)發(fā)展

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計算機軟件及計算機應(yīng)用

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社會學(xué)及統(tǒng)計學(xué)

石油天然氣工業(yè)

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quantile

    The upper control limit(UCL) is obtained by determining the α/2 quantile of the T~2 distribution to give a false alarm rate of α/2.The upper prediction control limit(UPCL) is obtained by determining the 1 - λα/ 2 quantile of the T_2 distribution.

    控制上限(UCL)取Hotelling的T2統(tǒng)計量的α/2上側(cè)分位數(shù)。 預(yù)控上限(UPCL)取Hotelling的T2統(tǒng)計量的λα/2上側(cè)分位數(shù)。

短句來源

    A New Perspective on the Cross-sectional Return in China' s Stock Market: Quantile Regression

    中國股市截面收益率再研究:分位數(shù)回歸方法

短句來源

    Value at risk is a tool which be widely used in application to financial risk management and regarded as extreme quantile method.

    風(fēng)險價值(VaR)是金融風(fēng)險管理中應(yīng)用最廣泛的一種工具，其測量方法可以看作是一種極端分位數(shù)的方法。

短句來源

    The computation of VaR and ES is essentially the computation of quantile of return series. Therefore, having finished the quantile regression procedures, we can evaluate the VaR and ES almost with no effort.

    另一方面，風(fēng)險管理問題中的風(fēng)險度量標(biāo)準VaR(Value of Risk)和ES(Expected Shortfall)的計算，本質(zhì)上是對損益系列的分位數(shù)(Quantile)的計算，所以，Quantile回歸是VaR類和ES類風(fēng)險管理問題中天然的計算工具。

短句來源

    It can be included that normalcopula is fit for the quantile of 90%,95% and t-copula is fit for the quantile of 99%.

    在99%分位數(shù)下使用t相關(guān)結(jié)構(gòu)擬合比較合適。

短句來源

更多       

    Endogenous Quantile Level in VaR Modeling

    VaR模型中的分位點水平內(nèi)生化

短句來源

    Therefore, we propose toinvestigate the choice of confidence level basing on the inner factors of the models andconsider setting the quantile level endogenously.

    因此,本文建議依 VaR據(jù)模型的內(nèi)部因素考察分位點水平的選擇,并提出兩個統(tǒng)計量以選取最優(yōu)分位點水平取值區(qū)間,從而將分位點水平內(nèi)生化。

短句來源

    Basing on the ideaof backtesting, we expanded the application of DQ (dynamic quantile) test proposed byEngle and Manganelli(1999), and through a serial of Mont Carlo simulation we testifiedthat many models’ DQ values are very flexible to confidence level. We pick out the stableregions where theDQθ values are consecutively significant.

    基于后續(xù)檢驗的思想,本文拓展了 Engel 和 Manganelli(1999)提出的樣本外 DQ(Dynamic quantile)統(tǒng)計量的應(yīng)用,并通過一系列蒙特卡羅試驗證實,很多模型的 DQ 統(tǒng)計量的取值對分位點水平的變化是非常敏感的。

短句來源

    Anatural inference of this research is, a corresponding variation is apt to occur to VaRmodel’s prediction ability in according to the domain of quantile selected.

    研究的一個自然的推論是,由于分位點所區(qū)間不同,不同的模型預(yù)測能力可能發(fā)生特定的變化。

短句來源

    Secondly, we proposed the indirect-adequacy-of-fit statistics to fill the gap ofgoodness-of-fit in quantile regression, and its rationality and effectiveness is to bestudied and testified further.

    第二,本文提出了間接擬合優(yōu)度(IAF)指標(biāo),填補了分位點回歸方法缺乏擬合優(yōu)度指標(biāo)的空白,但其合理性和有效性尚待進一步驗證。

短句來源

    The Association between Intellectual Capital and Corporate Performance——An Empirical Analysis Based on Quantile Regression

    智力資本與公司績效的相關(guān)性——基于分量回歸的實證分析

短句來源

    State Ownership,Soft Budget Constrains,and Frim Value:Empirical Analysis Based on Quantile Regression Approach

    國有股權(quán)、預(yù)算軟約束與公司價值:基于分量回歸方法的經(jīng)驗分析

短句來源

    Quantile Regression and Its Applications in Statistical Analysis of the Log-return Series of the Stock Prices and VaR Type Modelling

    Quantile回歸及其在金融收益率分析和VaR類風(fēng)險管理模型中的運用

短句來源

    In this article, we apply the Quantile regression method to both the determining the empirical conditional distributions of log return series of some Chinese stock prices and the VaR type modelling in risk management.

    本文首次利用Quantile回歸思想研究了金融收益率(log return)的分布問題和風(fēng)險管理問題。

短句來源

    As a demonstration, this article also carries out an extensive study of the conditional distribution of SA (600104, Shanghai Automotive Co.,Ltd) by quantile regression.

    作為例子，本文利用線性Quantile回歸模型擬合了上海汽車的收益率條件分布，將這個結(jié)果與用Quantile分布族擬合的結(jié)果做了比較，發(fā)現(xiàn)結(jié)果基本一致，因此可以用第一類分布作為上海汽車日收益率的真實條件分布。

短句來源

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  quantile

A Linear Two-Stage Stochastic Programming Problem with Quantile Criterion: Its Discrete Approximation

Algorithms for solving a linear two-stage stochastic programming problem with quantile criterion are designed.

The distribution of the logarithm of the estimate ratio to the true quantile is asymptotically normal.

The logarithmic and quantile strategies belonging to the class of program strategies and aimed at overcoming this paradox were compared.

The design of optimal confidence sets is reduced to optimization of a quantile function.

更多          

OLS (Ordinary Least Square) regression merely reports the conditional expectation. However, QR (Quantile Regression) makes use of local information of the entire distribution, thus is superior in most applications, especially for fat-tailed financial data. In this paper, by utilizing both OLS and QR, we investigate systematic risk factors, such as market betas, size and book-to market ratio, for cross-sectional returns in China' s stock market. As expected, the QR method tells more stories. There is a...

OLS (Ordinary Least Square) regression merely reports the conditional expectation. However, QR (Quantile Regression) makes use of local information of the entire distribution, thus is superior in most applications, especially for fat-tailed financial data. In this paper, by utilizing both OLS and QR, we investigate systematic risk factors, such as market betas, size and book-to market ratio, for cross-sectional returns in China' s stock market. As expected, the QR method tells more stories. There is a positive size effect, which becomes stronger for higher quantiles. With respect to book-to-market effect, we find positive effect in lower quantile, yet negative effect in higher quantiles.

分位數(shù)回歸方法因為考慮了分布函數(shù)的各局部信息而比只考慮條件期望的普通最小二乘回歸方法更具有優(yōu)勢,特別是在具有厚尾分布的金融數(shù)據(jù)分析方面,提供了更詳盡的信息。本文通過分位數(shù)回歸方法重新審視中國股市截面收益率的共同風(fēng)險因子,查看是否存在規(guī)模效應(yīng)與帳面市值比效應(yīng)。結(jié)果發(fā)現(xiàn),分位數(shù)回歸結(jié)果與普通最小二乘結(jié)果顯著不同,不同分位數(shù)下回歸系數(shù)及其統(tǒng)計顯著性都存在巨大差異。股票收益率與規(guī)模正相關(guān)的規(guī)模效應(yīng)顯著,且高收益率部分的正規(guī)模效應(yīng)更加強烈。帳面市值比效應(yīng)在低收益率部分正相關(guān),高收益率階段負相關(guān),中間部分不顯著。

The issue of disparity in income per capita between rural and urban China is attractive.Based on the household surveys and the methods of decomposition of Theil index,G·Fields method,Blinder,and quantile regression,the article discusses the pure "urban-rural" effect on national inequality.The results show the urban-rural disparity is expanding,and quantile regression implies the urban-rural disparity will have more negative effects on the lower income rural households.

中國城鄉(xiāng)居民收入差距已經(jīng)引起廣泛關(guān)注。文章以住戶調(diào)查數(shù)據(jù)為基礎(chǔ),利用泰爾指數(shù)分解、G.Fields分解、Blinder分解、分位回歸分解等多種方法討論了1988年、1995年和2002年“城鄉(xiāng)”因素本身對城鄉(xiāng)居民收入差距的貢獻。這些分解結(jié)果表明我國的城鄉(xiāng)差距較顯著并在不斷擴大;而且城鄉(xiāng)差距更不利于農(nóng)村中的低收入人群。

This paper compare portfolio optimization models based on different risk measurement using data from Shanghai securities market.We compares the global minimum risk portfolios of the different models:semi-absolute deviation model,weighted absolute deviation from the quantile model(Ruszczynski & Vanderbei,2003)and mean-variance model.The empirical study shows that semi-absolute deviation model is superior to the other two models and weighted absolute deviation from the quantile model is better than...

This paper compare portfolio optimization models based on different risk measurement using data from Shanghai securities market.We compares the global minimum risk portfolios of the different models:semi-absolute deviation model,weighted absolute deviation from the quantile model(Ruszczynski & Vanderbei,2003)and mean-variance model.The empirical study shows that semi-absolute deviation model is superior to the other two models and weighted absolute deviation from the quantile model is better than the mean-variance model.

利用上海證券市場的實際交易數(shù)據(jù)對半絕對離差模型,基于分位數(shù)的絕對離差模型(Ruszczynski&Vanderbei,2003)以及MV模型進行了實證比較.通過分析各模型的全局最小風(fēng)險組合,計算發(fā)現(xiàn),半絕對離差模型比其他模型具有更好的樣本外業(yè)績.

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  本文關(guān)鍵詞：智力資本與公司績效的相關(guān)性——基于分量回歸的實證分析，由筆耕文化傳播整理發(fā)布。