HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

To capture mean and variance asymmetries and time‐varying volatility in financial time series, we generalize the threshold stochastic volatility (THSV) model and incorporate a heavy‐tailed error distribution. Unlike existing stochastic volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time‐delay parameter. Self‐exciting and exogenous threshold variables are considered to investigate the impact of a number of market news variables on volatility changes. Adopting a Bayesian approach, we use Markov chain Monte Carlo methods to estimate all unknown parameters and latent variables. A simulation experiment demonstrates good estimation performance for reasonable sample sizes. In a study of two international financial market indices, we consider two variants of the generalized THSV model, with US market news as the threshold variable. Finally, we compare models using Bayesian forecasting in a value‐at‐risk (VaR) study. The results show that our proposed model can generate more accurate VaR forecasts than can standard models.     

Test for homogeneity in Hardy–Weinberg normal mixture model

The phenotype of a quantitative trait locus (QTL) is often modeled by a finite mixture of normal distributions. If the QTL effect depends on the number of copies of a specific allele one carries, then the mixture model has three components. In this case, the mixing proportions have a binomial structure according to the Hardy–Weinberg equilibrium. In the search for QTL, a significance test of homogeneity against the Hardy–Weinberg normal mixture model alternative is an important first step. The LOD score method, a likelihood ratio test used in genetics, is a favored choice. However, there is not yet a general theory for the limiting distribution of the likelihood ratio statistic in the presence of unknown variance. This paper derives the limiting distribution of the likelihood ratio statistic, which can be described by the supremum of a quadratic form of a Gaussian process. Further, the result implies that the distribution of the modified likelihood ratio statistic is well approximated by a chi-squared distribution. Simulation results show that the approximation has satisfactory precision for the cases considered. We also give a real-data example.     

国际反垄断法对国家垄断的规制探讨

国家垄断是国际反垄断法的重要调整对象之一。为协调国际经济秩序与国家经济利益的关系，国际反垄断法既要对妨害国际公平竞争的国家垄断予以限制，也要对一些特定行业、特定情形和特定国家的国家垄断予以豁免。     

甲骨文"子""女"浅说

汉字的表意性使得文字与社会文化有紧密联系。甲骨文作为最早的成系统的汉字在一定程度上可以反映出商朝的社会面貌。通过比较甲骨文里"子""女"诸字,可以了解商朝尽管有部分女性地位尊贵,但男女处于不平等的地位已是一种普遍的社会现象。     

景颇族居住环境及文化分析

影响居住环境的有地理和人文两大因素。该文在分析景颇族居住环境的基础上 ,通过对组成景颇族居住环境的地貌、植物、建筑、小品、装饰、民族风情广场等要素的特色进一步地分析 ,探讨了景颇族文化的内涵。尝试为多元化的现代园林设计提供富有民族特色的素材。     

网络经济对企业管理的影响

网络经济的产生 ,对社会经济生活的方方面面都带来了巨大的影响 ,处在工业经济向网络经济转轨时期的企业 ,更面临着众多的挑战和机遇。企业外部的生存与发展环境和内部组织结构都将发生新的变化 ,信息和知识日益成为企业生产经营的关键要素 ,网络经济对企业的管理目标、管理理念、管理内容、管理方法与手段都将产生重大影响。     

LiNbO_3电光调制器行波电极优化设计

分析了厚电极厚缓冲层的共面波导Mach-Zehnder行波电极LiNbO3光调制器,讨论了电极厚度和缓冲层厚度对调制器特性参数的影响,得到了调制器的有效折射率、特征阻抗、半波电压及损耗系数等参数。通过对比分析,选择合适的电极厚度和缓冲层厚度,优化调制器性能,近似满足速度和阻抗匹配,实现了图宽带调制。     

CCD图象检测信号的失真校正

本文从CCD图象输入系统误差引起图象检测信号失真的原因分析出发,以降低系统装校误差精度要求和增大元器件离散性的宽容度为目标,讨论朱真校正方法的原理和数学描述。最后,介绍两种失真校正方法。     

陶土坩埚玻璃拉丝机用红外测控仪的研制

介绍了对陶土坩埚玻璃拉丝机加装红外测控仪的原理、方法及试用效果。