New HEAVY Models for Fat-Tailed Realized Covariances and Returns

ABSTRACT

We develop a new score-driven model for the joint dynamics of fat-tailed realized covariance matrix observations and daily returns. The score dynamics for the unobserved true covariance matrix are robust to outliers and incidental large observations in both types of data by assuming a matrix-F distribution for the realized covariance measures and a multivariate Student's t distribution for the daily returns. The filter for the unknown covariance matrix has a computationally efficient matrix formulation, which proves beneficial for estimation and simulation purposes. We formulate parameter restrictions for stationarity and positive definiteness. Our simulation study shows that the new model is able to deal with high-dimensional settings (50 or more) and captures unobserved volatility dynamics even if the model is misspecified. We provide an empirical application to daily equity returns and realized covariance matrices up to 30 dimensions. The model statistically and economically outperforms competing multivariate volatility models out-of-sample. Supplementary materials for this article are available online.     

论师范院校院系负责人的选拔、考核和监督管理

师范院校院系负责人的选拔和管理，是师范院校改革的重要内容，要充分考虑师范院校的特殊性，不断完善院系负责人选拔制度，健全院系负责人考核机制，构建院系负责人监督机制，从而使院系负责人真正成为院系发展的领导核心，推进教师教育现代化。     

The Fabricare system: a multi-agent-based scheduling prototype

Several trends in society in general, and manufacturing in particular, have changed the way business was made in the last decades of the 20th century, setting new requirements for companies and individuals. The research question being addressed in this paper is concerned with the ability to build computer-supported manufacturing systems able to cope with current and future requirements. For this matter, a hypothesis based on the holonic and multi-agent paradigms is proposed. The paper describes a holonic architecture for manufacturing enterprises and a prototype system (named Fabricare) for manufacturing orders scheduling based on that architecture. A negotiation mechanism called ‘contract net with constraint propagation protocol’ was developed for regulating the interaction between holons in the system. This protocol also implements a negotiation-driven scheduling procedure.     

后现代语境下网络游戏的特征、影响及对策

随着信息技术的日益发展,网络游戏已成为人们娱乐生活中的主要项。网络游戏有着网络开放性和交互性的特征,是提供大众娱乐休闲的平台,其波澜壮阔的视觉效果,惊奇曲折的故事情节,美轮美奂的角色人物,满足了不同玩家的心理,从中寻求乐趣,这也正是后现代主义学者所推崇的快乐至上的精神追求,然而网络游戏的负面影响也同时侵蚀着人们的身心健康。因此,运用后现代思维转变人们对网络游戏的消极看法,并将网络游戏体验视为一种积极的教育方式将有益于我国青少年教育的发展。     

基于九寨沟区域时空负荷均衡的仿真研究

我国旅游业快速发展在巨大地推动地区经济发展的同时,也给生态环境、社会文化带来较大的负面影响.如何实现旅游业的经济效益、社会效益与生态效益的协调发展引起社会各界的关注.本研究在对九寨沟进行全面考查以及课题组前期工作的基础上,分析了旅游旺季景区内客流的时空变化特征,指出由于游客在时间和空间上的分布不均衡,导致各景点负荷率不均衡,使旅游和生态不能协调发展.因此,有必要设计合理的游客分流方案,实现景点负荷率的均衡.本研究基于最优调度假设基础上,通过仿真技术,模拟“五区分流”下不同分流方案中景点负荷率的波动情况,通过对比各方案下负荷率方差的情况,提出初始调度与稳态调度的概念,并采用静态分流与基于区域时空负荷率均衡动态分流相结合的策略.通过仿真模型验证该策略的分流效果,分析该策略的优点与不足,并提出下一步的研究思路.     

Book Review: Carrie A. Meyer,The Economics and Politics of NGOs in Latin America,Praeger, West Port, 1999, xix + 196 pp

VOLUNTAS: International Journal of Voluntary and Nonprofit Organizations -     

涉及高阶导数分担值的亚纯函数

利用Zalcman引理,研究了与分担值相关的亚纯函数的正规族,推广并改进了已有的结果,得到了一个正规定则.     

信息化联合作战条件下无人机的发展趋势

从立体联合作战行动的特点出发,基于积极进攻的基本原则,指出"侦查—打击"一体化以及高低空、大小型体系配置是提高无人机系统立体作战效能的发展方向。     

我国宪法基本权利条款立法具体化之必要性分析

我国宪法中的基本权利条款欲在现实生活中发挥效力,实现其所蕴含的价值的第一步是立法的具体化。文章以我国宪法文本规定的基本权利条款为样本,简要分析了基本权利条款立法具体化的现状,从基本权利的类型、效力、保障、救济等角度出发,阐述了我国宪法基本权利条款立法具体化的必要性。     

Forced Migration,Climate Change,Mitigation and Adaptive Policies in Mexico: Some Functional Relationships

Natural disasters related to hydro-meteorological events have increased during the last few decades, both in frequency and severity. Mexico is heavily exposed to climate change, but has also suffered in the past from climate variability ( Blümel, 2009 ). The new risks oblige the government to develop mitigation processes, while the affected people are implementing strategies of adaptation and resilience-building, mostly at the family and community level. This includes forced migration due to climate change into the slums of megacities or illegal immigration to the United States. The arid, semi-arid and subhumid condition of 49.2 per cent of the territory of Mexico is seriously affected by climate change. In addition, poverty and the lack of jobs have created complex livelihood situations, in which young people leave rural areas, partly due to socio-economic pull factors. In this paper, we address the functional relationships between climate patterns and migration processes in Mexico, highlighting the linkages between the origin of migrants, their economic activity and their vulnerability to extreme events and we discuss long-term climate patterns. Agriculture still uses 78 per cent of the available water in Mexico. In the drylands the competition for water use requires an integrated policy to deal with the new threats from climate change, including mitigation from the top down and adaptation processes from the bottom up to reduce the social vulnerability of the rural population in the highly affected drylands of the central and northern parts of Mexico. The new policy for administering water resources, which promotes the efficient use of an increasingly scarce and polluted resource, still suffers from a lack of participation by the affected rural population. In this paper, we propose an integrated management system from the watershed onwards, involving socio-economic, political, cultural and hydrological variables, to deal with the rising scarcity of water, and the uncertainty and complexity of climate change.