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.     

译者文化素质新论

随着科学技术的突飞猛进以及经济全球化的推进 ,信息传播日益加快 ,跨文化交际广泛 ,翻译也随之发展成为一种服务于多种目的、多层次的综合性活动。翻译除了重视传统的语言分析和文本对照外 ,还开始强调对语言翻译过程中所涉及的文化现象进行研究。在此情况下 ,译者须“身兼数职”才能满足翻译工作的需求。本文以较丰富的例子、详尽地阐述了新时期翻译工作者所必须具备的素质。只有具备这些素质才能保证译者译得准确、译得顺畅、译得自然     

意义：《项狄传》的一个哲学主题

《项狄传》中有一个关于意义的哲学主题。斯特恩认为 ,语言和理性不能表达意义 ,只有构成感性内容的东西 ,如情感、想象 ,动作等 ,才是意义的源泉。     

石涛"一画"论的美学意义

"一画"是理解石涛绘画美学思性与根据性,但更强调根据性."一画"也是画家创作的原动力和根本规律,它虽与具体的艺术技巧有关,但不再是对具体的法则与规律的描述."一画"还是在本体与画家主体之间的联系纽带,它根源于中国传统思想的"天人合一".而之所以能实现这种"天人合一",与画家的淡化功利观念密切相关.     

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。