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.     

The Robustness of Trend Stationarity: An Illustration with the Extended Nelson-Plosser Dataset

We re-evaluate Andreu and Spanos's findings in favour of trend stationarity by considering the extended Nelson-Plosser data set. This expanded (to 1988) data set includes a period of rather different behaviour compared with the original Nelson-Plosser data used by Andreou and Spanos. We find that Andreou and Spanos's models (with only minor adjustments) exhibit remarable stability over this extended period, and indicate that their conclusions are more robust than they have shown.     

鄂西土家族传统情歌创唱者心理状态特点及成因

土家族传统情歌创唱者的心理状态是土家族传统情歌的重要组成部分.通过对鄂西土家族传统情歌的总体梳理,发掘土家族传统情歌创唱者心理状态的嬗变性、交揉性、稳定性等特点.并从自然条件、人文因素、历史变迁、民族心理积淀等方面探寻了情歌创唱者产生诸种心理状态的原因.同时阐发了这种特点发掘与原因探寻的意义之所在.     

从《军队的女儿》看边疆文学创作的审美追求

该文重温20世纪50年代边疆文学的代表作《军队的女儿》,以此探讨50至60年代边疆文学对青年支边那段历史的时代书写与个性追求而呈现的审美特征。以此探讨文学与意识形态、文学与历史、个人与集体、宏大叙事与个性写作之间种种复杂关系,尤其是挖掘边疆文学因独特的政治背景、地域特色所蕴涵的人文精神与审美追求。     

中美陪审制度比较研究

通过中美陪审制度在历史、文化传统方面的比较,找出陪审制度发挥不同作用的根源是文章的主旨。美国陪审制深受个人主义文化传统的影响,弥补了法律形式合理性的缺陷,而中国陪审制由于缺乏陪审所需要的历史文化传统和相应的制度,不能有效发挥作用。     

Generalized quasi-likelihood

The quasi-score function, as defined by Wedderburn (1974) and McCullagh (1983) and so on, is a linear function of observations. The generalized quasi-score function introduced in this paper is a linear function of some unbiased basis functions, where the unbiased basis functions may be some linear functions of the observations or not, and can be easily constructed by the meaning of the parameters such as mean and median and so on. The generalized quasi-likelihood estimate obtained by such a generalized quasi-score function is consistent and has an asymptotically normal distribution. As a result, the optimum generalized quasi-score is obtained and a method to construct the optimum unbiased basis function is introduced. In order to construct the potential function, a conservative generalized estimating function is defined. By conservative, a potential function for the projected score has many properties of a log-likelihood function. Finally, some examples are given to illustrate the theoretical results. This paper is supported by NNSF project (10371059) of China and Youth Teacher Foundation of Nankai University.     

化学新课程改革与微型化学实验

新一轮基础教育改革中，化学新课程改革在理念和内容上都强调学习方式的转变，即倡导探究性学习．探究性学习的实质，是学生主动参与教学过程，积极从事各种探究活动，亲自发现科学概念和原理，掌握探究技能．事实表明微型化学实验是实现探究性学习的有效手段．     

在万能工具显微镜上测量齿轮截面整体误差的研究

本文论述在万能工具显微镜上测量渐开圆柱齿轮截面整体误差的测量原理、测量方法和数据处理过程,并给出了测量实例。     

圆锥轴受扭时静、动力的传递矩阵法求解

本文提出了圆锥轴受扭时静、动力的传递矩阵。该方法简便实用,适于工程技术人员在微机上应用。     

学生英语词汇量的现状及扩大词汇量的语音手段

本文用包括深圳大学在内的具体事实和数据阐明了学生英语词汇量普遍偏低的现状及其危害,并在宏观上指出教师应负的责任,进而介绍了帮助学生扩大词汇量的八种行之有效的语音手段。