Missing data and forecasting in multivariate time series: An application of the common components dynamic linear model

Summary The paper deals with missing data and forecasting problems in multivariate time series making use of the Common Components Dynamic Linear Model (DLMCC), presented in Quintana (1985), and West and Harrison (1989). Some results are presented and discussed: exploiting the correlation between series, estimated by the DLMCC, the paper shows as it is possible to update state vector posterior distributions for the unobserved series. This is realized on the base of the updating of the observed series state vectors, for which the usual Kalman filter equations can be applied. An application concerning some Italian private consumption series provides an example of the model capabilities.     

跨文化交际中的时空观念差异

不同文化背景的人,由于受不同文化传统的影响,其思维方式不同,在人际交往中的时间观念(如时间顺序排列、时间取向、遵守时间的态度)和空间观念(如对体距的认识、对个人领地的态度等)也存在差异。这些差异往往容易被人们忽视,从而影响交际的正常进行,甚至导致交际的失败。因此,在交往中我们应该正确对待文化差异,自觉排除文化差异的干扰。     

Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

This article introduces a new model for transaction prices in the presence of market microstructure noise in order to study the properties of the price process on two different time scales, namely, transaction time where prices are sampled with every transaction and tick time where prices are sampled with every price change. Both sampling schemes have been used in the literature on realized variance, but a formal investigation into their properties has been lacking. Our empirical and theoretical results indicate that the return dynamics in transaction time are very different from those in tick time and the choice of sampling scheme can therefore have an important impact on the properties of realized variance. For RV we find that tick time sampling is superior to transaction time sampling in terms of mean-squared-error, especially when the level of noise, number of ticks, or the arrival frequency of efficient price moves is low. Importantly, we show that while the microstructure noise may appear close to IID in transaction time, in tick time it is highly dependent. As a result, bias correction procedures that rely on the noise being independent, can fail in tick time and are better implemented in transaction time.     

时间如何前进——进化论随笔

中国古代"与时偕行"、"与时俱化"的观念,以取法天地四时的运行为基准,是一种四时循环论的变化观.我党提出的"与时俱进"思想的含义,是随着时代的前进而前进,和随着时代的变化而变化,体现了鲜明的时代创新精神,它的哲学基础是科学进化论.这一特征在语词上通过一个"进"字表达出来.虽然"与时俱进"和"与时俱化"只有一字之差,却体现了本质的超越.同时,这一表述通过对中国古代<易经>、<庄子>等经典的吸收,丰富了自身的思想内涵,也建立,了联接传统与现代的一道桥梁.当然,由于现代时间观念的一维性质,使得人们在批驳"直线进化论"的同时,易于陷入"时间进化论",而时间进化论实际上也是一种直线进化论,这也是需要警醒的.     

试述小说《色·戒》的叙事技巧

在小说《色·戒》中,张爱玲运用现代叙事方式显示出其作品独特的叙事魅力。这里运用叙述学理论,从形式角度详尽剖析张爱玲小说现代叙事艺术,指出个人叙事对宏大叙事的消解、限知视角对全知视角的侵入、叙事时间对故事时间的超越是小说《色·戒》叙事的主要特色。     

建筑与城市设计中的时间观

时间与形式、功能、空间四要素完备才能组成一个完整的建筑 ,运用时间设计的概念 ,分析和解决当今建筑界和城市规划出现的问题是现实的需要     

马克思主义与时俱进的哲学思考

马克思主义具有与时俱进的理论品质。马克思主义哲学是这个理论品质的理论基础。实践与理论的矛盾运动、对真理的探求、以及创造崭新的马克思主义话语体系,都要求马克思主义与时俱进。     

Economic Determinants of Net International Migration in Western Europe

This paper aims to estimate theinfluence of economic determinants on netinternational migration in Western Europe inthe period 1960–1998. Net migration rates(i.e., population growth minus natural increase,divided by the midyear population) constitutethe dependent variable. The economicdeterminants used in this study are GDP percapita, unemployment, and average educationallevel (amount of human capital) of thepopulation. Time series regression models havebeen used in country-specific analyses. Inaddition, a pooled cross-sectional time seriesanalysis has been made. The analyses suggestthat GDP per capita has a positive effect andunemployment a negative effect on a country'snet international migration.     

Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models

ABSTRACT.  This paper develops a new contrast process for parametric inference of general hidden Markov models, when the hidden chain has a non-compact state space. This contrast is based on the conditional likelihood approach, often used for ARCH-type models. We prove the strong consistency of the conditional likelihood estimators under appropriate conditions. The method is applied to the Kalman filter (for which this contrast and the exact likelihood lead to asymptotically equivalent estimators) and to the discretely observed stochastic volatility models.     

论传统文化中"时"的理念

"时"是中国文化核心理念群落中的一个重要的概念,但这一点却没有得到足够的重视。实际上,它在政治、军事、经济、知识、生命、生活等与我们性命攸关的领域得到了广泛的关注。从知时开始,然后因时,与时,最后抵达与时合一的时宜之境,就形成了时的一个完整的结构。但在对时的理解中,必须把它和非时间性放在一起思考,以达到一种时和无时的"之间"状态,这才是对时的完成。与时俱进亦是如此。