Most often, the supervision cost-efficiency of project is ignored by people and department. The supervision responsible parties can classify supervision work. Designing the supervision responsibility and right centers, building evaluation index systems of responsibility center. With that, supervision cost-efficiency of responsibility center of one project was evaluated. Supervision efficiency’s improvement was discussed based on the learning curve and TDABC. The results show that the evaluation results change from “medium” to “optimum”. It reveal that dynamic evaluation of TDABC is efficiency. This will make the supervision department or personnel to improve supervision cost-efficiency through adjusting supervision mode and time.

Evaluation and improvement of the supervision cost-efficiency to project based on learning curve—Angle of time driven activity-based costing

This paper studied the hedging of European indexed stock options, whose exercise price is a variable varying with the market index. Firstly, using the expectation of the squared error between optio...

Research on the indexed stock options’ quadratic hedging under jump-diffusion settings

This paper applies autoregressive heteroscedasticity (ARCH) family models for the purpose of comparing stylized facts such as volatility clustering, leverage effect, long memory volatility and risk-return tradeoff for energy and stock markets. Empirical results have found that the presences of volatility clustering in both markets and the impact of volatility shocks to the conditional volatility display hyperbolic rather than exponential rate of decay. Meanwhile, only stock markets denote the leverage effect, which implies that ‘bad’ news has a greater impact on volatility than ‘good’ news at the same magnitude. Additionally, empirical results also highlighted that Kerosene and Brent crude oil are the only energy commodities exhibit risk-return tradeoff. For forecast evaluations, the FIAPARCH model indicates superior out of sample forecasts over short and long time horizon for stock markets. Nevertheless, FIAPARCH model suits better over long term as compared to short term for energy markets. Fina...

Siow Hooi Tan

Papers

Empirical Stylized Facts Modelling and Forecast Evaluations for Energy and Stock Markets