期刊：
Expert Systems with Applications,2022年197:116615 ISSN：0957-4174
通讯作者：
Zhou, Yuanyuan(zyy_xx@126.com)
作者机构：
[Zhou, Yuanyuan; Zheng, Chengli] Cent China Normal Univ, Financial Engn Res Ctr, Sch Econ & Business Adm, Wuhan 430079, Peoples R China.;[Chen, Huayou; Zhou, Ligang] Anhui Univ, Sch Math Sci, Hefei 230601, Anhui, Peoples R China.;[Zhou, Ligang] Anhui Univ, Ctr Appl Math, Hefei 230601, Peoples R China.
通讯机构：
[Yuanyuan Zhou] S;School of Economics and Business Administration, Financial Engineering Research Center, Central China Normal University, Wuhan 430079, China
关键词：
Clustering;Compatibility measure;Hesitant fuzzy linguistic preference relation;Large-scale group decision making;Similarity measure
期刊：
Borsa Istanbul Review,2022年22(6):1221-1237 ISSN：2214-8450
通讯作者：
Yu, X
作者机构：
[Li, Yanyan; Rao, Yunjie; Yu, Xing; Shen, Xilin] Cent China Normal Univ, Sch Econ & Business Adm, Wuhan 430079, Peoples R China.;[Liu, Yongjun] South China Univ Technol, Sch Business Adm, Guangzhou 510640, Peoples R China.
通讯机构：
[Yu, X ] C;Cent China Normal Univ, Sch Econ & Business Adm, Wuhan 430079, Peoples R China.
关键词：
Model -driven hedging strategy;PSO-HMM;State -dependent hedging strategy;State identi fi cation
摘要：
Relying on the hidden Markov model improved by the particle swarm optimization algorithm (PSO-HMM), we develop a dual-decision method to address the issue of state-dependent futures hedging. Our approach is attractive in two ways. First, it uses the PSO algorithm to overcome the shortcomings of the traditional algorithm, which can easily fall into the local optima to estimate parameters in a hidden Markov mode. Second, this paper proposes a new hedge position adjustment method based on the identified market states, instead of sticking to the hedge position calculated by the commonly used GARCH-type models to achieve a better trade-off between risk hedging and return acquisition. Specifically, we first improve the accuracy of parameter measurement and employ the PSO-HMM to identify two market states, bear and bull, and fully illustrate the rationality and effectiveness of the proposed model. Based on the market states identified, we then adjust the hedge ratio estimated by GARCH-type models and compare the hedging effects of no hedge, model-driven, and state-dependent strategies. Our empirical results show that the PSO-HMM method can improve the accuracy of state identification over the classical HMM. The market state-dependent hedging strategy has better performance than other strategies when it comes to the trade-off between the return and the risk of a hedged portfolio. Furthermore, robustness checks under different conditions confirm that the state-dependent hedging strategy outperforms the model-driven hedging and no hedge strategies. Thus, our research sheds new light on conventional hedging models. Copyright (c) 2022 Borsa Istanbul Anonim S,irketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
期刊：
OXFORD BULLETIN OF ECONOMICS AND STATISTICS,2022年84(2):300-333 ISSN：0305-9049
通讯作者：
Zhao, Qing
作者机构：
[Xiang, Jingjie] Cent China Normal Univ, Sch Econ & Business Adm, Wuhan, Peoples R China.;[Guo, Gangzheng] China Construct Bank, Int Inst, Beijing, Peoples R China.;[Guo, Gangzheng] Tsinghua Univ, Sch Econ & Management, Beijing, Peoples R China.;[Zhao, Qing] Dongbei Univ Finance & Econ, Sch Finance, Dalian, Peoples R China.
摘要：
This paper studies large sample properties of a moderately explosive autoregression with a structural change in the unobservable drift term, and develops asymptotic tests for the null of moderate explosiveness under different dependence structures. When the innovation sequence is independently and identically distributed (i.i.d.), we show that the t statistic is asymptotically standard normal. When the innovations are weakly dependent in the form of homoskedasticity or conditional heteroskedasticity, we invoke the fixed-smoothing asymptotics to construct the heteroskedasticity and autocorrelation robust standard error, under which the t statistic follows Student's t distribution in large samples. Monte Carlo simulations show that our tests have small size distortion and high power in finite samples. As we impose no restrictions on the occurrence time and magnitude of the drift, our proposed asymptotic tests enjoy strong robustness and applicability.
期刊：
ENVIRONMENT AND DEVELOPMENT ECONOMICS,2022年27(4):357-373 ISSN：1355-770X
通讯作者：
Feng Qiu
作者机构：
[Tong, Qingmeng] School of Economics and Business Administration, Central China Normal University, Wuhan, Hubei, China;College of Economics and Management, Huazhong Agricultural University, Wuhan, Hubei, China;International Joint Laboratory of Climate Change Response and Sustainable Agriculture, Huazhong Agricultural University, Wuhan, Hubei, China;[Qiu, Feng] Department of Resource Economics and Environmental Sociology, University of Alberta, Edmonton, Alberta, Canada;[Zhang, Junbiao] College of Economics and Management, Huazhong Agricultural University, Wuhan, Hubei, China<&wdkj&>International Joint Laboratory of Climate Change Response and Sustainable Agriculture, Huazhong Agricultural University, Wuhan, Hubei, China
通讯机构：
[Feng Qiu] D;Department of Resource Economics and Environmental Sociology, University of Alberta, Edmonton, Alberta, Canada
关键词：
global spillover;land conservation;local spillover;natural land loss;resource governance;spatial econometrics;C21;Q24
