基于幂律型分布的动态VaR模型及实证研究

针对金融资产回报时间序列的尖峰厚尾性和波动集聚性,提出了基于AR(1)-GARCH(1,1)模型与幂律型分布相结合计算VaR的方法。用GARCH模型对时间序列建模刻画波动集聚性,用基于幂律型分布的扩展形式拟合GARCH模型的残差分布尾部,刻画回报时间序列的厚尾特征,二者结合更好地描述回报时序的动态波动现象。对上证综指进行实证分析,结果表明本文提出的方法比基于正态分布的GARCH模型和静态幂律尾法更精确。     

GAS-SKST-F模型及其在高频多元波动率预测中的应用

假定日收益率服从多元有偏学生t分布、已实现协方差矩阵服从矩阵F分布，本文构建了一种新的得分驱动模型：GAS-SKST-F模型。在该有偏厚尾多元波动率模型中，我们基于广义自回归得分(GAS)模型的基本思想对收益率和已实现协方差矩阵进行联合动态设定，协方差矩阵的更新过程依赖于收益率分布和已实现协方差矩阵分布联合似然函数的得分函数。已实现协方差测度在协方差矩阵的更新过程中发挥了重要的作用。基于20支上证50成分股高频数据的实证分析研究结果显示，与GAS-N-Wishart模型和GAS-tF模型相比，无论样本内还是样本外，GAS-SKST-F模型有着更加良好的样本内估计和样本外预测能力。     

有信息冲击、无信息冲击与波动率非对称性

本文将金融市场的冲击(innovations)分成有信息冲击和无信息冲击,构建了一种新的非对称GARCH类模型,区间均值GARCH模型(sectional mean GARCH,SM-GARCH).在中国股票市场的实证分析中发现:SM-GARCH模型能够更好地捕捉波动率特征和预测波动率;条件均值预测误差用于描述新到来的冲击对条件方差的影响,所提供的信息是有限的,在无信息冲击的情况下可以忽略它在波动率预测中的作用.     

区间均值条件波动率模型

本文讨论了有、无冲击（Innovations）对资产波动率的不对称性影响,它是现有研究关于正、负冲击不对称性影响的扩展。本文以GARCH模型为基础,假设条件均值为一个区问,建立了基于区间均值的GARCH模型及其非对称形式,并讨论了该类模型的估计方法。在中国债券市场的实证分析中发现,本文提出的模型能够更好地捕捉市场上波动特征;以已实现波动率为基准,区间均值GARCH模型取得了比GARCH模型更好的预测效果。     

双长记忆GARCH族模型的预测能力比较研究——基于沪深股市数据的实证分析

GARCH族模型在金融风险的度量中有着广泛的应用。在考虑股市收益率和波动率序列双长记忆性的基础上,基于上证综合指数和深圳成份指数的日收盘价序列,从证券投资风险量化的角度,引入受险值VaR和相对正确符号指标PCS作为模型预测误差衡量指标,比较分析了双长记忆GARCH族模型在不同分布假设情况下的的拟合与预测精度。结果显示:偏t分布能较好描述沪深股市的厚尾特征;在较小的VaR水平下ARFIMA(2,d₁,0)-FIAPARCH(1,d₂,1)-skt模型对股市波动风险具有较强的预测能力,而ARFIMA(2,d₁,0)-HYGARCH(1,d₂,1)-skt对股市的涨跌趋势具有较强的预测能力。     

基于数据驱动平滑检验的密度预测评估方法——以香港恒生指数、上证综指和台湾加权指数为例

本文提出了样本内和样本外密度预测评估的数据驱动平滑检验（data-driven smooth test）方法，并分别采用Newey-Tauchen的方法以及West-McCracken的方法来纠正参数估计对样本内和样本外密度预测评估的影响。运用本文提出的检验方法，我们比较了各种最大熵GARCH模型对中国三个股指数据（香港恒生指数、上证综合指数和台湾加权指数）的样本内和样本外预测绩效。结果显示：（1）最大熵GARCH模型可以用来刻画中国股指数据的典型化事实，GARCH模型中考虑了厚尾和偏态特征的Pearson IV分布对中国股指收益率的样本外预测绩效是很重要的；（2）具有较好样本内拟合优度和样本内预测效果的模型未必有很好的样本外密度预测效果，考虑到样本外预测的重要性，实际应用中我们应采用具有较好样本外预测效果的模型。     

传统业绩评价法与基于VaR的RAROC指标的比较

本文在将在险价值(Va R)作为风险衡量指标,引入风险调整资本回报率(RAROC)作为基金业绩评价指标。通过实证分析发现,基金收益率不满足正态分布的假设,因此选择厚尾分布的GARCH模型来刻画基金收益率序列的波动,进而计算出Va R。最后通过基于Va R的RAROC指标与传统基金业绩指标进行对比,得出RAROC指标能更好的反映基金业绩中的潜在风险,对基金业绩评价有一定的参考意义。     

基于SKT-ARFIMA-HYGARCH-VaR模型的股票型基金投资风格漂移风险测度研究

投资风格漂移是把双刃剑,基金在获取短期超额收益的同时,其背后也折射出巨大的漂移风险。本文以2004年成立的8只开放式股票型基金为研究样本,在量化基金投资风格漂移收益及分析其序列呈尖峰、厚尾与有偏特征的基础上,通过引入skt分布来刻画新生变量的分布,构建ARFIMA-HYGARCH-VaR模型来测度基金投资风格漂移风险值,并与skt分布下的RiskMetrics及GARCH族等5种VaR模型的风险测度能力做了比较实证分析,同时对各种VaR模型进行失败频率回测检验与动态分位数测试。研究结果表明:在不同显著性水平下,skt分布下的各种模型基本都有较好的风险测度能力,但ARFIMA-HYGARCH模型的VaR风险测度更加精确与稳定;Person吻合度检验也证实了skt分布能较好刻画投资风格漂移日收益序列的分布。本研究为控制较严重的投资风格漂移及规范基金产品创新设计与发行无疑具有重要的理论价值与现实意义。     

基于非参数方法的银行操作风险度量

金融业全球化竞争和金融管制放松,导致商业银行面临的操作风险不断增加,操作风险已成为金融监管的焦点.因此,对商业银行和其它金融机构来说,可靠的操作风险度量正变得越来越重要.文章采用基于厚尾分布的非参数方法度量我国商业银行操作风险,给出了VaR的点估计方法和3种区间估计方法(正态近似法NA,经验似然法EL,数据倾斜法DT).此方法的优点在于不用假设操作风险损失分布,这样可以消除参数化模型设定差异而带来的估计偏差.同时,根据厚尾分布的特征,提出了新的厚尾分布样本均值求法,调整后均值更注重对尾部的描述和刻画.实证结果表明:调整后的厚尾分布样本均值大于简单算术平均值,更符合右偏厚尾的分布特征;非参数方法得到的VaR点估计和区间估计考虑了厚尾的因素,解决了传统VaR低估风险的问题,更接近真实情况;VaR 3种区间估计的方法能够提升对风险衡量的准确性,其中DT方法所得到的区间估计最为准确.     

我国农产品期货市场的风险测度模型及其后验分析

近年来,我国农产品期货市场取得快速发展,但有关该市场波动特征和风险状况的研究却非常缺乏.以我国农产品期货市场中的4种代表性价格指数为例,首先对其价格变化统计特征及波动模式进行了全面深入的检验,然后运用严谨系统的后验分析(Backtesting analysis)方法,分别在多头和空头两种头寸状况以及5种不同分位数水平下,实证对比了8种风险测度模型对VaR (Value at Risk)和ES (Excepted shortfall)两种不同风险指标估计的精度差异.研究结果表明,我国农产品期货市场的价格波动不存在显著的杠杆效应(Leverage effect),但却具有明显的有偏(Skewed)和条件厚尾(Conditional fat-tail)特征.另外,在综合考虑了模型估计效率和风险测度精度后,基于有偏学生t分布的普通GARCH模型是一个相对合理的风险测度模型选择.     

Power,authority and legitimacy

Management, human resources, organization, control, leadership, etc., all seem to be just so many euphemisms for power, and this suggests a discourse of management and organization that calls things by their proper name. This paper on the contrary stresses the need to resolve the concept of ‘power’ itself into more differentiated notions, and proposes that clarification may be derived from distinctions once explicit in the vocabulary of Classical antiquity, but lost in modern European languages. It argues that nothing but confusion in thinking about organizations, management and legitimation can result from the failure to recognize that the phenomena this vocabulary identifies and distinguishes are irreducibly different.     

A new lease for life? The return of vitalism in management and organization studies

This paper starts from a growing interest in the concept of concern, lived experience or “inhabiting” as part of the so-called “affective turn”. My main argument is that the notion of concern cannot be thought or understood without the concept of life. The concept of life, however, is somewhat of a taboo topic in the social sciences. I hold, nevertheless, that in order to reflect on their assumptions and to define concern for their own studies, scholars need to think about life and make a choice regarding the various approaches that can be taken. I therefore present and compare four vitalist approaches: romanticism and Lebensphilosophie, vitalism as ethos and pathos, neuroecosociality as well as vitalism as becoming.     

Effects of the implementation of information technology on employees' strain and job satisfaction: a context-dependent approach

The effects on staff of the implementation of new office information technology were investigated in ten companies in Vienna using a longitudinal design. Strain and satisfaction of 331 employees (implementation sample: n = 212; control sample: n = 119) were measured at five points in time over a period of 22 months. The study is based on a context-dependent approach. Personal factors (individual differences, external load) were assessed by questionnaires, and situational factors (job design, implementation content and implementation context) by objective measures. The impact of these factors on employees' strain responses was tested using structural equation modelling (SEM). While the implementation of new technology as such made no significant contribution to the explanation of strain variables, a reasonable model fit was achieved when implementation characteristics were taken into account. The data suggest that negative effects of implementations must be expected if (1) adaptational demands do not include the enhancement of employee qualifications, (2) character-based user interfaces are not replaced, and (3) employees have few or no opportunities to participate in the implementation process.     

Consequences of work-family conflict on employee well-being over time

The effects of work-family conflict on the well-being of a diverse sample of 342 non-professional employees from the greater Los Angeles area were examined. Data were collected at two points in time, and a rigorous research design was employed. The effects of self-report bias were considered by controlling for social desirability bias, and by collecting two sources of data (i.e. self-reports and co-workers reports). The results revealed that work-family conflict predicted employee well-being over and above social desirability bias. In addition, analyses were consistent when both self-reports and co-workers reports were utilized. Finally, work-family conflict was a longitudinal predictor of employee's positive well-being. Both cross-sectional and longitudinal analyses were consistent across self-reports and co-worker reports.     

Policy Goals for Health and Safety

Health management and safety regulation are separate disciplines but share the aim to extend expectancy of life in good health. The need to improve cost-effectiveness calls for their co-ordinated management according to a unified rationale. Three guiding principles of accountability, demonstrable net benefit and a uniform measure of performance, have been laid out in Canada by the Joint Committee on Health and Safety. They call for open accounting in terms of (health-related quality-adjusted) life expectancy. The principles are utilitarian in format but, it is argued, inequity is naturally diminished in the process of optimizing cost-effectiveness through maximum marginal returns. Comments are made on practical implementation. The need for public consent in practice calls for two additional principles reflecting fair procedure and sovereignty of the citizens. It is concluded that public health and safety measures should be surveyed, documented for cost-effectiveness and prioritized for improvement.     

Ethical Mindsets of Christianity and Confucianism: A Comparative Study

This study investigates the application of an organizational mindset instrument to compare the ethical mindsets between Italy and Taiwan. Results suggest that there are not significant differences, but Italian business is perceived to practice some Machiavellianism that puts results ahead of ethical concerns.     

Defining Spirituality of Work

There is a current surge of writings on spirituality and related topics. For instance, Woodward (1997) has pointed out that since Thomas Moore's publication of Care of the Soul in 1994 there have been nearly 800books published with the word soul in the title. These run all the way from Chicken Soup for theWoman's Soul (Canfield et al., 1996) to A Guide to Liberating YourSoul (Barrett, 1995). Spirituality of work is a big part of this surge. Definitionsof spirituality of work seem to vary widely. Bowman (1998, p. 8) in his `reviewof the phenomenon of spirituality of work' found `Definitions of the term spirituality in the context of the Spirituality of Work troublesome and particularly subjective. Many writers do not even attempt definitions.' The purpose of this article is to review the concept of spirituality of work in its historical and current use and to propose a comprehensive definition.     

WebStress: a web interface to explore a multidatabase bibliographic corpus on occupational stress

A bibliographic study on a multidisciplinary subject, such as occupational stress, requires a multidatabase query facility. Given this, we searched eight databases belonging to different fields (medicine, psychology, etc.) and from different countries. Thus, more than 26000 references on occupational stress were gathered. A bibliographic corpus of this sort is unusable because of the heterogeneous format of the records and the number of duplicate entries. Considering the limitations of commercial programs, we have developed a system, called WebStress, for reformatting the data and removing duplicates. The huge number of references and the research needs of updating and searching have necessitated the addition of several other functions to WebStress. Therefore WebStress comprises a web interface that makes it possible to search the corpus with advanced features (using clustering, a specialized thesaurus on stress and Boolean queries). In addition to the usual bibliographic queries on a specific database such as Medline, WebStress provides bibliometric analysis of the corpus, which might contribute to a detailed analysis on occupational stress in order to highlight the networks of researchers and to find the main topics studied in this area. WebStress is not yet available to researchers in general. It is being further developed, and also permission needs to be obtained from the eight commercial bibliographic databases that it consults.     

The myth of change management: A reflection on personal change and its lessons for leadership development

Abstract

In this article I reflect upon my own personal learning when faced with significant individual change, leaving a corporate role to start my own business and returning to serious study after twenty-five years of neglect. I look at the relationship between individual and organizational change, trying to reconcile the mechanistic models of change ingrained by years of practice with new insights gleaned from my own personal transition. Implications for change agents include taking a more adaptive and multi-dimensional approach to change, rather than vainly trying to manage it. For people developers it may question the way we develop leaders and managers to cope with change. And all of us may decide we can be better at learning how to embrace perpetual change and perpetual learning as part of the same unpredictable process.