计量经济分析 = Econometric analysis

Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

The hypothesis that dopamine is important for reward has been proposed in a number of forms, each of which has been challenged. Normally, rewarding stimuli such as food, water, lateral hypothalamic brain stimulation and several drugs of abuse become ineffective as rewards in animals given performance-sparing doses of dopamine antagonists. Dopamine release in the nucleus accumbens has been linked to the efficacy of these unconditioned rewards, but dopamine release in a broader range of structures is implicated in the 'stamping-in' of memory that attaches motivational importance to otherwise neutral environmental stimuli.

Dopamine, learning and motivation

This paper proposes a new generalized autoregressive conditionally heteroskedastic (GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) model The AG-DCC process extends previous specifications along two dimensions: it allows for series-specific news impact and smoothing parameters and permits conditional asymmetries in correlation dynamics The AG-DCC specification is well suited to examine correlation dynamics among different asset classes and investigate the presence of asymmetric responses in conditional variances and correlations to negative returns We employ the AG-DCC model to analyze the behavior of international equities and government bonds While equity returns show strong evidence of asymmetries in conditional volatility, little is found for bond returns However, both equities and bonds exhibit asymmetries in conditional correlations, with equities responding stronger than bonds to joint bad news The article also finds that, during periods of financial turmoil, equity market volatilities show important linkages, and conditional equity correlations among regional groups increase dramatically Furthermore, in January 1999 with the introduction of the euro, we document significant evidence of a structural break in correlation although not in

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Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Size, Value, and Momentum in International Stock Returns §

We examine whether portfolios of domestically traded securities can mimic foreign indices so that investment in assets that trade only abroad is not necessary to exhaust the gains from international diversification. We use monthly data from 1976 to 1993 for seven developed and nine emerging markets. Return correlations, mean-variance spanning, and Sharpe ratio test results provide strong evidence that gains beyond those attainable through home-made diversification have become statistically and economically insignificant. Finally, we show that the incremental gains from international diversification beyond home-made diversification portfolios have diminished over time in a way consistent with changes in investment barriers. THE BENEFITS OF INTERNATIONAL DIVERSIFICATION have been emphasized over the past 40 years by financial economists, who have shown that investing in foreign indices reduces the volatility of U.S. market portfolios, with gains attributed to low return correlations between national equity indices.1 Such investment in foreign indices requires holding securities that trade abroad, involving additional costs and potential barriers to international investment. Yet, over the past 20 years, an increasing number of country funds and depository receipts have started trading in the U.S. that, along with shares of multinational corporations, can be used to gain benefits from international diversification. In this paper, we examine whether investors can take advantage of the gains of international diversification by forming a portfolio of securities that trade in the United States, and we find that this * Errunza is from McGill University, Montreal; Hogan is from Barclays Global Investors, San Francisco; and Hung is from National Taiwan University, Taipei. Our special thanks to Ren6 Stulz (the editor) and an anonymous referee for many insightful suggestions. We also thank Warren Bailey, Geert Bekaert, Jin-Chaun Duan, Campbell Harvey, Andrew Karolyi, Ken Kroner, Usha Mittoo, and Michael Rebello, Marcia Roitberg, and Jahangir Sultan for helpful comments. Research assistance from Carlton Osakwe and Yuxing Yan is gratefully acknowledged. The authors thank the Social Sciences and Humanities Research Council of Canada and the Faculty of Management at McGill University for financial support. We are grateful to the capital markets department of the International Finance Corporation for providing the data on emerging markets.

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Can the Gains from International Diversification Be Achieved without Trading Abroad

In this paper, the stochastic dynamic programming approach is used to investigate the optimal asset allocation for a defined-contribution pension plan with downside protection under stochastic inflation. The plan participant invests the fund wealth and the stochastic interim contribution flows into the financial market. The nominal interest rate model is described by the Cox–Ingersoll–Ross ( Cox et al., 1985 ) dynamics. To cope with the inflation risk, the inflation indexed bond is included in the asset menu. The retired individuals receive an annuity that is indexed by inflation and a downside protection on the amount of this annuity is considered. The closed-form solution is derived under the CRRA utility function. Finally, a numerical application is presented to characterize the dynamic behavior of the optimal investment strategy.

Optimal asset allocation for DC pension plans under inflation

Convertible bonds are commonplace securities, but valuing them properly is tricky. In addition to being exposed to interest rate risk like any bond in a stochastic interest rate environment, they contain both an option to convert them into shares of the issuing firm, and also exposure to the risk of default. In this article, Hung and Wang present a lattice technique that allows relatively straightforward valuation, even in the presence of these three sources of risk. After describing their technique in general, they put it to use to evaluate a convertible bond issued by Lucent.

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Pricing Convertible Bonds Subject to Default Risk

Many financial data series are found to exhibit stochastic volatility. Some of these time series are constructed from contracts with time-varying maturities. In this paper, we focus on index futures, an important subclass of such time series. We propose a bivariate GARCH model with the maturity effect to describe the joint dynamics of the spot index and the futures-spot basis. The setup makes it possible to examine the Samuelson effect as well as to compare the hedge ratios under scenarios with and without the maturity effect. The Nikkei-225 index and its futures are used in our empirical analysis. Contrary to the Samuelson effect, we find that the volatility of the futures price decreases when the contract is closer to its maturity. We also apply our model to futures hedging, and find that both the optimal hedge ratio and the hedging effectiveness critically depend on both the maturity and GARCH effects. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 895–909, 1999

Volatility and maturity effects in the Nikkei index futures

This paper follows the framework of P. Klein (1996) to price vulnerable options when the market is incomplete. Vulnerable options, which are usually traded in the over-the-counter market, may not only face the risk of default but also the risk of illiquidity. Thus, pricing such options under the assumption of market completeness, as was done by H. Johnson and R. Stulz (1987) and P. Klein (1996), seems to be a mistake. Accordingly, the proposed model uses the methodology proposed by J. H. Cochrane and J. Saa-Requejo (2000) to price vulnerable options under both deterministic and stochastic interest rates in an incomplete market. The model is found to perform well when the interest rate is stochastic. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:135–170, 2005

Mao-Wei Hung

Papers

Can the Gains from International Diversification Be Achieved without Trading Abroad

Optimal asset allocation for DC pension plans under inflation

Pricing Convertible Bonds Subject to Default Risk

Volatility and maturity effects in the Nikkei index futures

Pricing vulnerable options in incomplete markets