2018
2017

傅承德

Fuh, C. D. and Tartakovsky, A. G. “Asymptotic Bayesian theory of quickest change de- 
tection for hidden Markov models.” IEEE Transactions on Information Theory, accepted, 2018. 摘要

In the 1960s, Shiryaev developed a Bayesian theory of change-point detection in the i.i.d. case, which was generalized in the early 2000s by Tartakovsky and Veeravalli and recently by Tartakovsky (2017) for general stochastic models assuming a certain stability of the loglikelihood ratio process. Hidden Markov models represent a wide class of stochastic processes in a variety of applications. In this paper, we investigate the performance of the Bayesian Shiryaev change-point detection rule for hidden Markov models. We propose a set of regularity conditions under which the Shiryaev procedure is firstorder asymptotically optimal in a Bayesian context, minimizing moments of the detection delay up to certain order asymptotically as the probability of false alarm goes to zero. The developed theory for hidden Markov models is based on Markov chain representation for the likelihood ratio and r-quick convergence for Markov random walks. In addition, applying Markov nonlinear renewal theory, we present a high-order asymptotic approximation for the expected delay to detection and a first-order asymptotic approximation for the probability of false alarm of the Shiryaev detection rule. We also study asymptotic properties of another popular change detection rule, the Shiryaev– Roberts rule, and provide some interesting examples.

高华声

“萨班斯-奥克斯利法案404条款对企业创新的影响”,合作者:张瑾,即将发表于《金融数量分析杂志》(Journal of Financial and Quantitative Analysis)。 摘要

本文分析了美国萨班斯-奥克斯利法案(Sarbanes-Oxley Act)对企业创新的影响,发现这项旨在加强公司治理的法案对企业创新有很大的负面影响。此项研究帮助人们更好地理解公司治理是如何影响企业的创新行为。

汤海涵

“拥有近似稀疏性固定效应的高维动态面板数据的均匀推断”,合作者:Anders Bredahl Kock,即将发表于《计量经济理论》(Econometric Theory)。 摘要

在高维固定效应动态面板模型里,我们建立一个Lasso版本的神喻不等式。这些神喻不等式适应于动态的和外生性的回归量的参数。固定效应的神喻不等式也另外给出。接着,我们展示学者可以对模型的参数进行均匀推断和对误差带有条件异方差的渐近协方差矩证建立均匀估计量。允许条件异方差在动态模型中是重要的,因为误差的条件方差可能在时间轴上并不是一个常数,也可能和因变量有关系。另外,我们的方法允许对参数向量里一个维度在增长的高维子集作推断。我们证明由我们方法得到的置信带是渐近诚实的,并且以最优速度收敛。这个速度对于固定效应和其他参数是不同的。

张纯信

Charles Chang, Hung-Wen Cheng, and Cheng-Der Fuh, "Ensuring More is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model," Journal of Derivatives forthcoming. 摘要

We show via asymptotic derivation and simulation that traditional methods of applying stock or options data separately to estimate GARCH models of implied volatility generate inefficient or biased estimates. Estimation error impacts risk management metrics as options deltas and gammas vary substantially depending on the method used. We resolve this dilemma by introducing an error term to the options pricing model, lending slack to the estimation process and allowing simultaneous application of stock and options data. The result is unbiased estimates that are maximally efficient and that dominate those obtained when using stock and options data separately. Finally, we demonstrate the consistency and asymptotic normality of the quasi-maximum likelihood estimator in stationary EGARCH and NAGARCH settings.

周思力

“中国反腐运动对上市公司信息披露行为的影响”,合作者:曹夏平、王雨辰,即将发表于《公司金融杂志》(Journal of Corporate Finance)。 摘要

中共中央纪律检查委员会(CCDI)主导的反腐运动受到政界人士的高度关注。本文主要把中纪委在各省巡视作为事件,根据Chen, Hong and Stein (2001)的方法,得出位于被巡视省份的上市公司在巡视期间更容易去抑制自身负面信息的披露。这种抑制负面信息的政策策略与该上市公司的政治关联和政治激励(例如国有企业或者有政治关联的非国有企业)相一致。我们还发现在中央巡视组巡视结束后的三个月内,当地国有企业继续抑制负面信息的释放,而非国有企业却不再抑制。最后我们发现良好的公司治理和外部审计的质量可以缓解公司管理层对于坏消息打压的行为。