We employ the static and dynamic copula models to investigate whether technical indicators provide information on volatility in the next trading day, where the volatility is measured by daily realized volatility. Our empirical results, based on long samples of 8 well-known stock indexes, suggest that a significant and asymmetric tail dependence between the technical indicators based on moving average and the next day volatility. The level of dependence change over time in a persistent manner. And the dependence structure presents some distinct differences between emerging market indexes and developed market indexes. These results indicate that the technical indicators can provide information on the next day volatility at extremes, and are less informative at normal market.
This paper takes a closer look at the consequences of using a market index as a proxy for the latent market return in the capital asset pricing model. In particular, the consequences of two major sources of misspecification are analyzed: (i) the use of inaccurate weights and (ii) the use of only a subset of the asset universe to construct the index. The consequences resulting from the use of a badly chosen market proxy reach from inconsistent parameter estimates to misinterpretation of test outcomes indicating the existence of abnormal returns.
A minimum distance approach of estimating the CAPM under measurement error is presented, which identifies the CAPM parameters by exploiting the cross-equation cross-sectional restrictions resulting from a common measurement error. The new approach allows for quantifying the impact of measurement error and for testing the presence of spurious abnormal returns. Practical guidelines are presented to mitigate potential biases in the estimated CAPM parameters.
Our article discusses a class of Jump-diffusion stochastic differential system under Markovian switching (JD-SDS-MS). This model is generated by introducing Poisson process and Markovian switching based on a normal stochastic differential equation. Our work dedicates to analytical properties of solutions to this model. First, we give some properties of the solution, including existence, uniqueness, non-negative and global nature. Next, boundedness of first moment of the solution to this model is considered. Third, properties about coefficients of JD-SDS-MS is proved by using a right continuous markov chain. Last, we study the convergence of Euler-Maruyama numerical solutions and apply it to pricing bonds.
We investigate sources of educational differences in smoking. Using a large German data set containing retrospective information on the age at smoking onset, we compare age-specific hazard rates of starting smoking between (future) low and high educated individuals. We find that up to 90 % of the educational differences in smoking develop before the age of 16, i. e. before compulsory schooling is completed. This education gap persists into adulthood. Further, we examine the role of health-related knowledge (proxied by working in health-related occupations) and find it hardly explains smoking decisions. Our findings suggest that (unobserved) factors determining both the selection into smoking and education are almost exclusively responsible for educational differences in smoking. Only small parts of the education gap seem to be caused by general or health-specific education. The effectiveness of education policy to combat smoking is thus likely limited.
Reduction of carbon dioxide (CO2) emissions is one of the biggest challenges for global sustainable development, in which economic growth characterized by industrialization plays a formidable role. We innovatively adopted the input and output (I-O) table of 41 countries released by World I-O Database to determine the industrial structure change and analyze its impact on CO2 emission evolution by developing a cross-country panel model. The empirical results show that industrial structure change has a significantly negative effect on CO2 emissions; to be specific, 0.1 unit increase in the linkage of manufacturing sector and service sector will lead to a decrease of 0.94 metric tons per capita CO2 emissions, indicating that upgrading industrial structure contributes to carbon mitigation and sustainable development. Further, urbanization, technology and trade openness have significantly negative impact on CO2 emissions, while economy growth and energy use take positive impacts. In particular, a 1% increase in per capita income will contribute to an increase of 8.6 metric tons per capita CO2 emissions. However, the effect of industrial structure on environment degradation is moderated by technology level. These findings fill the gaps of previous literature and provide valuable references for effective policies to mitigate CO2 emissions and achieve sustainable development.
In this paper, we propose and analyze a cooperation model with harvesting and state-dependent delay, which is assumed to be an increasing function of the population density with lower and upper bound. The main purpose of this article is to obtain the dynamics of our model analytically by controlling the harvesting. We present results on positivity and boundedness of all populations. Criteria for the existence of all equilibria and uniqueness of a positive equilibrium are given by controlling the harvesting. Finally, the global exponentially asymptotical stability criteria of model is obtained by the improved Hanalay inequality.