Simulate two security daily returns with stochastic volatility and jumps . Allow for potential correlation of the jumps and have a parameter that can set that correlation to high or low . Calculate the correlation of the two assets and the value at risk for this portfolio . How does correlation change when jump correlation increases? How does value at risk change?
ATTRC returns the value of a character attribute for a SAS data set. %SYSFUNC(ATTRC(data-set-id,attr-name)) ATTRN returns the value of a numeric attribute for specified SAS data set. %SYSFUNC(ATTRN(data-set_id,attr-name)) CEXIST verifies the existence of a SAS catalog or SAS catalog entry. %SYSFUNC(CEXIST(entry , 'U')) CLOSE closes a SAS data set. %SYSFUNC(CLOSE(data-set-id)) CUROBS returns the number of the current observation. %SYSFUNC(CUROBS(data-set-id)) DCLOSE closes a directory. %SYSFUNC(DCLOSE(directory-id)) DINFO returns a specified information item for a directory. %SYSFUNC(DINFO(directory-id,info-items)) DNUM returns the number of members in a directory. %SYSFUNC(DNUM(directory-id)) DOPEN opens a directory. %SYSFUNC(DOPEN(fileref)) DOPTNAME returns a specified directory attribute. %SYSFUNC(DOPTNAME(directory-id,nval)) DOPTNUM returns the number of information items available for a directory. %SYSFUNC(DOPTNUM(directory-id)) DREAD returns the name of a directory member. %SYSFUNC(DREAD(directory-id,nval)) DROPNOTE deletes a note marker from a SAS data set or an external file. %SYSFUNC(DROPNOTE(data-set-id|file-id,note-id)) DSNAME returns the data set name associated with a data set identifier. %SYSFUNC(DSNAME(dsid)) EXIST verifies the existence of a SAS data library member. %SYSFUNC(EXIST(member-name,member-type)) FAPPEND appends a record to the end of an external file. %SYSFUNC(FAPPEND(file-id,cc)) FCLOSE closes an external file, directory, or directory member. %SYSFUNC(FCLOSE(file-id)) FCOL returns the current column position in the File Data Buffer (FDB) %SYSFUNC(FCOL(file-id)) FDELETE deletes an external file. %SYSFUNC(FDELETE(fileref)) FETCH reads the next nondeleted observation from a SAS data set into Data Set Data Vector (DDV). %SYSFUNC(FETCH(data-set-id,'NOSET')) FETCHOBS reads a specified observation from a SAS data set into the DDV. %SYSFUNC(FETCHOBS(data-set-id,obs-number,options)) FEXIST verifies the existence of an external file associated with a fileref. %SYSFUNC(FEXIST(fileref)) FGET copies data from the FDB. %SYSFUNC(FGET(file-id,cval,length)) FILEEXIST verifies the existence of an external file by its physical name. %SYSFUNC(FILEEXIST(file-name)) FILENAME assigns or deassigns a fileref for an external file, directory, or output device. %SYSFUNC(FILENAME(fileref,filename,device,hostoptions,dir-ref)) FILEREF verifies that a fileref has been assigned for the current SAS session. %SYSFUNC(FILEREF(fileref)) FINFO returns a specified information item for a file. %SYSFUNC(FINFO(file-id,info-item)) FNOTE identifies the last record that was read. %SYSFUNC(FNOTE(file-id)) FOPEN opens an external file. %SYSFUNC(FOPEN(fileref,open-mode,record-length,record-format)) FOPTNAME returns the name of an information item for an external file. %SYSFUNC(FOPTNAME(file-id,nval)) FOPTNUM returns the number of information items available for an external file. %SYSFUNC(FOPTNUM(file-id)) FPOINT positions the read pointer on the next record to be read. %SYSFUNC(FPOINT(file-id,note-id)) FPOS sets the position of the column pointer in the FDB. %SYSFUNC(FPOS(file-id,nval)) FPUT moves data to the FDB of an external file starting at the current column position. %SYSFUNC(FPUT(file-id,cval)) FREAD reads a record from an external file into the FDB. %SYSFUNC(FREAD(file-id)) FREWIND positions the file pointer at the first record. %SYSFUNC(FREWIND(file-id)) FRLEN returns the size of the last record read, or the current record size for a file opened for output. %SYSFUNC(FRLEN(file-id)) FSEP sets the token delimiters for the FGET function. %SYSFUNC(FSEP(file-id,cval)) FWRITE writes a record to an external file. %SYSFUNC(FWRITE(file-id,cc)) GETOPTION returns the value of a SAS system or graphics option. %SYSFUNC(GETOPTION(option-name,reporting-options,...)) GETVARC assigns the value of a SAS data set variable to a character DATA step or macro variable. %SYSFUNC(GETVARC(data-set-id,var-num)) GETVARN assigns the value of a SAS data set variable to a numeric DATA step or macro variable. %SYSFUNC(GETVARN(data-set-id,var-num)) LIBNAME assigns or deassigns a libref for a SAS data library. %SYSFUNC(LIBNAME(libref,SAS-data-library,engine,options)) LIBREF verifies that a libref has been assigned. %SYSFUNC(LIBREF(libref)) MOPEN opens a directory member file. %SYSFUNC(MOPEN(directory-id,member-nameopen-mode,record-length,record-format)) NOTE returns an observation ID for current observation of a SAS data set. %SYSFUNC(NOTE(data-set-id)) OPEN opens a SAS data file. %SYSFUNC(OPEN(data-file-name,mode)) PATHNAME returns the physical name of a SAS data library or an external file. %SYSFUNC(PATHNAME(fileref)) POINT locates an observation identified by the NOTE function. %SYSFUNC(POINT(data-set-id,note-id)) REWIND positions the data set pointer to beginning of a SAS data set. %SYSFUNC(REWIND(data-set-id)) SPEDIS returns a number for the operation required to change an incorrect keyword in a WHERE clause to a correct keyword. %SYSFUNC(SPEDIS(query,keyword)) SYSGET returns the value of the specified host environment variable. %SYSFUNC(sysget(host-variable)) SYSMSG returns the error or warning message produced by the last function that attempted to access a data set or external file. %SYSFUNC(SYSMSG()) SYSRC returns the system error number or exit status of the entry most recently called. %SYSFUNC(SYSRC()) VARFMT returns the format assigned to a data set variable. %SYSFUNC(VARFMT(data-set-id,var-num)) VARINFMT returns the informat assigned to a data set variable. %SYSFUNC(VARINFMT(data-set-id,var-num)) VARLABEL returns the label assigned to a data set variable. %SYSFUNC(VARLABEL(data-set-id,var-num)) VARLEN returns the length of a data set variable. %SYSFUNC(VARLEN(datasetid,var-num)) VARNAME returns the name of a data set variable. %SYSFUNC(VARNAME(data-set-id,var-num)) VARNUM returns the number of a data set variable. %SYSFUNC(VARNUM(data-set-id,var-name)) VARTYPE returns the data type of a data set variable. %SYSFUNC(VARTYPE(data-set-id,var-num)) http://blog.sina.com.cn/s/blog_6e0a03730100nc1x.html
The theory of developmental states contend that developmental states lead economic development and carry on corporate features. However, it may not be a panacea for developing countries. In this study, I intend to reveal one paradox associated with the model of developmental states. The central premise is that developmental states, while promote economic development, has clear limitations. we find that fiscal reforms are usefulinstruments, but subject to diminishing returns. The further extension of these instruments carry particularly high risks. Economic slowdown would seem unavoidable in Chinese context. This finding has a great deal of theoretical and political implications. The Chinese central government has called for national promulgation of these reforms. The call has to be well scrutinized given the diminishing returns of these policy instruments. The working paper is available upon request.
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