期刊：
International Journal of Finance & Economics,2023年28(2):1201-1213 ISSN：1076-9307
通讯作者：
Huang, Chuangxia
作者机构：
[Yang, Xin; Chen, Shan; Huang, Chuangxia] Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Hunan, Peoples R China.;[Liu, Hong] Cent South Univ Forestry & Technol, Sch Econ, Changsha, Hunan, Peoples R China.;[Yang, Xiaoguang] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China.
通讯机构：
[Huang, Chuangxia] C;Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Hunan, Peoples R China.
关键词：
Financial institution network;jump volatility;panel data regression model
摘要：
The identification of systemically important financial institutions (SIFIs) is an important measure to deal with systemic risks. To achieve this goal, we first use generalized variance decomposition method and granger causality test to construct jump volatility spillover networks of Chinese financial institutions based on the 5-min high-frequency data. Then, out-strength and in-strength are adopted to analyze the SIFI. Finally, we use panel data regression model to investigate the determinant of the SIFIs. The empirical results show that: (a) The network density reaches a peak when the financial system under pressure during the China's stock market disaster of 2015. (b) Large banks and insurances usually display systemic importance, while some small financial institutions are also SIFIs due to their high value of out-strength and in-strength. (c) There are obvious differences in the factors that affect the out-strength and in-strength based on panel data regression model, but turnover rate, jump volatility, firm size and growth rate of total assets are the common driving factors.
期刊：
Energy Economics,2023年124:106880 ISSN：0140-9883
通讯作者：
Dai, Zhifeng(zhifengdai823@163.com)
作者机构：
[Dai, Zhifeng; Tang, Rui] College of Mathematics and Statistics, Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha University of Science and Technology, Hunan, 410114, China;[Zhang, Xiaotong] School of Economics and Management, Changsha University of Science and Technology, Hunan, 410114, China
通讯机构：
[Zhifeng Dai] C;College of Mathematics and Statistics, Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha University of Science and Technology, Hunan 410114, China
摘要：
We present a meshless method to assess the inverse heat problem (IHP) on multi-dimensional (multi -D) by the correcting functions. Fulfillment of the scheme is a reformulation of the IHP equation as an operator equation subjected to the boundary condition. The solution of ill-conditioned IHP is expressed in the term of the trigonometric basis function (TBF) on the available boundary data which is corrupted with a small parameter in the noisy data. When the data contain noise or extra measured data, we try out the practical performance of the scheme with different values of parameters and illustrate acceptable estimates for the local error.(c) 2023 Elsevier Ltd. All rights reserved.
通讯机构：
[Zhifeng Dai] S;School of Economics and Management, Changsha University of Science and Technology, Hunan, China<&wdkj&>College of Mathematics and Statistics, Changsha University of Science and Technology, Hunan, China
摘要：
This paper studies the relationship between three types of risk borne by banks and climate policy uncertainty (CPU). We use panel data for 210 commercial banks in China from 2009 to 2020. This paper has the following main conclusions: Firstly, climate policy uncertainty significantly reduce the passive and active risks borne by banks and increase the insolvency risks borne by banks; Secondly, the impact of CPU on the passive risks borne by listed banks is greater than that of unlisted banks, and the impact of CPU on the active and insolvency risks borne by listed banks is less than that of unlisted banks; Thirdly, the impact of CPU on the three types of risks borne by banks is most pronounced among rural banks and state-owned banks and least pronounced among joint-stock banks. After a series of robustness tests, such as the system GMM approach, different sample periods and controlling for endogeneity, the results of this paper remain robust. We also used the difference in difference (DID) method to study the policy dynamic effects of the 2016 Paris Agreement, and we passed a parallel trend test. Our results provide insights for policy makers and investors. Policy makers should formulate visionary policies in order to minimize the adverse effects of CPU; investors should keep an eye on the implementation of climate policies and pay attention to the impact of policies on the economy, so that they can adjust their in-vestment strategies rationally.
期刊：
Communications in Statistics - Theory and Methods,2023年 ISSN：0361-0926
通讯作者：
Li, YQ
作者机构：
[Li, Yingqiu; Wang, Hesong; Tang, Xinping] Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Hunan, Peoples R China.;[Li, Yingqiu; Li, YQ] Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410004, Hunan, Peoples R China.
通讯机构：
[Li, YQ ] C;Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410004, Hunan, Peoples R China.
关键词：
Branching processes with immigration;random environment;central limit theorem;exact convergence rate
摘要：
Let {Zn} be a supercritical branching process with immigration in an independent, identically distributed(i.i.d.) environment xi. The Berry-Esseen bound for logZn has been established by Wang et al. (2021). To refine that, under the less restrictive moment conditions, we calculate the exact convergence rate in the central limit theorem for logZn under the annealed law.
摘要：
Synchronization of memristive neural networks (MNNs) by using network control scheme has been widely and deeply studied. However, these researches are usually restricted to traditional continuous-time control methods for synchronization of the first-order MNNs. In this paper, we study the robust exponential synchronization of inertial memristive neural networks (IMNNs) with time-varying delays and parameter disturbance via event-triggered control (ETC) scheme. First, the delayed IMNNs with parameter disturbance are changed into first-order MNNs with parameter disturbance by constructing proper variable substitutions. Next, a kind of state feedback controller is designed to the response IMNN with parameter disturbance. Based on feedback controller, some ETC methods are provided to largely decrease the update times of controller. Then, some sufficient conditions are provided to realize robust exponential synchronization of delayed IMNNs with parameter disturbance via ETC scheme. Moreover, the Zeno behavior will not happen in all ETC conditions shown in this paper. Finally, numerical simulations are given to verify the advantages of the obtained results such as anti-interference performance and good reliability.
作者机构：
[Li, Yingqiu; Wei, Yushao; Hu, Yangli] Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410004, Hunan, Peoples R China.;[Li, YQ] Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410004, Hunan, Peoples R China.
通讯机构：
[Li, YQ ] ;Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410004, Hunan, Peoples R China.
关键词：
spectrally negative Levy process;last exit time;occupation time;Poisson approach;perturbation approach
摘要：
For spectrally negative Levy processes (often abbreviated as SNLP), using the Poisson approach and perturbation approach, we find some joint Laplace transforms of the last exit time by their joint occupation times over semiinfinite intervals (-& INFIN;, 0) and (0,& INFIN;). These expressions are in terms of the associated scale functions.
作者机构：
[Chen, Ye] Hunan Univ Arts & Sci, Coll Math & Phys, Hunan Prov Cooperat Innovat Ctr Construction & Dev, Changde 415000, Peoples R China.;[Li, Yingqiu] Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410114, Peoples R China.;[Li, Yingqiu; Chen, Ye] Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Peoples R China.
通讯机构：
[Chen, Y ] H;Hunan Univ Arts & Sci, Coll Math & Phys, Hunan Prov Cooperat Innovat Ctr Construction & Dev, Changde 415000, Peoples R China.;Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Peoples R China.
关键词：
Last exit time;occupation time;Laplace transform;diffusion process
摘要：
Adopting a Poisson approach in Li and Zhou [Statist. Probab. Lett., 2014, 94: 48–55], for one-dimensional diffusion processes, we consider some joint distributions, including the last exit time from a semi-infinite interval, the value of the process at the last exit time and the associated occupation time. Our results are expressed in term of solutions to the differential equations associated with the diffusion generator.
作者机构：
[Li, Jun; Li, Ke; Xie, Yongqin] Hunan Univ Informat Technol, Sch Gen Educ, Changsha 410151, Hunan, Peoples R China.;[Xie, Yongqin; Ren, Yong] Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410114, Hunan, Peoples R China.
通讯机构：
[Xie, YQ ] H;Hunan Univ Informat Technol, Sch Gen Educ, Changsha 410151, Hunan, Peoples R China.;Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410114, Hunan, Peoples R China.
关键词：
nonclassical diffusion equation;time-dependent global attractor;memory;unbounded domain
摘要：
In this paper, we consider the asymptotic behavior of nonclassical diffusion equations with hereditary memory and time-dependent perturbed parameter on whole space Rn. Under a general assumption on the memory kernel k, the existence and regularity of time-dependent global attractors are proven using a new analytical technique. It is remarkable that the nonlinearity f has no restriction on the upper growth.
期刊：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,2023年64:101845 ISSN：1062-9408
通讯作者：
Zhifeng Dai
作者机构：
[Dai, Zhifeng; Zhang, Xiaotong; Li, Tingyu] Changsha Univ Sci & Technol, Sch Math & Stat, Changsha, Hunan, Peoples R China.;[Dai, Zhifeng] Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Hunan, Peoples R China.
通讯机构：
[Zhifeng Dai] S;School of Mathematics and Statistics, Changsha University of Science and Technology, China<&wdkj&>Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha 410114, Hunan, China
摘要：
We forecast stock return volatility by using the partial least squares approach that extract a powerful predictor from data-rich environment. Empirical results indicate that the new index has superior out-of-sample forecasting performance than the existing indexes, and the discovery is consistent with the in-sample predictive power. Specifically, the application of the new-index is extended to the allocation of investment portfolios to support mean–variance investors obtain considerable economic gains. In addition, our results are robust to various checks. Overall, our findings confirm that the partial least squares approach can effectively improve stock return volatility forecasts in a data-rich environment, successfully outperforming the competitive models and far surpassing the benchmark model.
关键词：
New energy;Spillover effects;Hedging effectiveness;Investment strategies
摘要：
Promoting green and low-carbon development with new energy, and resource related sectors is an important way for mankind to deal with global climate change. With the marketization of new energy, the public and regulators have paid extensive attention to market relevance and risk contagion in China. In order to analyze the risk contagion mechanism, this paper examines the dynamic conditional correlation and the volatility spillover effect between crude oil, new energy, and resource related sectors. In addition, we compared the optimal diversification strategy by calculating hedging ratios and portfolio weights. The main results are as follows：First, new energy and resource related sectors have high dynamic correlation and the volatility spillover effect is significant. Second, from the perspective of net spillover index, new energy is the largest net volatility transmitter and WTI is the largest net volatility receiver. Third, when new energy is a long (short) position, the hedging efficiency of the portfolio with new energy vehicles using the hedging ratio strategy is the greatest. And when new energy is long, taking a short position in new energy vehicles is the most effective hedging strategy, but the most expensive hedging strategies are found in resource related sectors.
期刊：
Journal of Pure and Applied Algebra,2023年227(4):107244 ISSN：0022-4049
通讯作者：
Panyue Zhou
作者机构：
[Hu, Yonggang] Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China.;[Zhou, Panyue] Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410114, Peoples R China.
通讯机构：
[Panyue Zhou] S;School of Mathematics and Statistics, Changsha University of Science and Technology, 410114 Changsha, Hunan, PR China
关键词：
Galois G-covering;G-liftable ideal;Admissible ideal;Quotient of linear category
摘要：
In this paper, we introduce the notion of G-liftable ideals, which extends the liftable ideas defined by Assem and Le Meur. We characterize the G-liftable ideals and construct the Galois G-coverings of quotients of categories associated to the G -liftable ideals. In particular, we study the behavior of G-liftable admissible ideals under Galois G-coverings. Furthermore, we show that the ideals generated by finite dimensional projective modules over a locally bounded linear categories are admissible G-liftable ideals. As an application, we provide a reduction technique for dealing with the existence of Serre functors in the stable categories of Gorenstein projective objects. (c) 2022 Elsevier B.V. All rights reserved.
