Asymmetric Multivariate Stochastic Volatility

This paper proposes and analyses two types of asymmetric multivariate stochastic volatility (SV) models, namely, (i) the SV with leverage (SV-L) model, which is based on the negative correlation between the innovations in the returns and volatility, and (ii) the SV with leverage and size effect (SV-LSE) model, which is based on the signs and magnitude of the returns. The paper derives the state space form for the logarithm of the squared returns, which follow the multivariate SV-L model, and develops estimation methods for the multivariate SV-L and SV-LSE models based on the Monte Carlo likelihood (MCL) approach. The empirical results show that the multivariate SV-LSE model fits the bivariate and trivariate returns of the S&P 500, the Nikkei 225, and the Hang Seng indexes with respect to AIC and BIC more accurately than does the multivariate SV-L model. Moreover, the empirical results suggest that the univariate models should be rejected in favor of their bivariate and trivariate counterparts.     

试论唐前期均田制在西域地区的实施

唐朝时期 ,西域作为重要的边疆地区 ,一直受到中央政府的重视。特别是从唐太宗至唐玄宗的百余年间 ,唐政府曾从经济、政治及思想文化等方面对西域地区进行了大力开发。均田制的实施 ,就是其中重要内容之一。这有助于促进边疆的农业 ,发展民族经济 ,巩固西北边防 ,维护国家统一。     

中国农民养老的特殊性

中国农民养老的特殊性在于丧失生活自理能力、需要别人照料的时间很短 ;生活费用很低 ,养老成本低。农村可以实行“养老田”制度 ,与养老金制度配合运用。农村合作医疗制度应更健全、加强。不同地区、不同类型农民养老实施方式具有多样性。可一种或多种方式并用 ,不断向完全社会化发展     

中国城市经济的制度安排与绩效

从中国城市经济的制度安排与绩效的角度对中国经济进行思考是一个解读中国区域经济发展的重要视角。这种思考可分为计划经济体制和社会主义市场经济两个时期。在不同经济发展时期 ,政府对城市的设立或布局政策差别很大。这与制度安排的选择和政府行为的定位有关。政府积累城市布局经验和教训的过程 ,也是学会管理城市和建设城市、掌握城市经济发展规律的过程。领导人的认识和政府政策的改变 ,决定了中心城市集聚和辐射作用的发挥 ,影响着区域经济的发展     

重庆温泉旅游资源开发研究

温泉旅游在重庆旅游整体发展战略中具有重要的地位,然而目前对其整体开发利用的学术研究还较鲜见。重庆温泉旅游资源独具特色,开发条件良好,市场潜力大。但是目前在开发上却存在多头管理、定位泛化、产品设计缺乏创新、市场促销不力等问题。因此在综合研究的基础上提出了改革它的经营体制、引进先进管理模式、提升规划档次、设计多样化产品及树立品牌、整体促销等策略。     

抓住机遇 再创辉煌——当代中国电影发展的思考

党的开放政策 ,促进了经济领域的改革 ,同样也促成文化领域的裂变和新生。作为艺术的电影也经历了文化转型的历史性阵痛。然而大时代的背景特征又孕育了新的机遇 ,那么当代中国电影该如何抓住机遇 ,再创辉煌 ,拟从四个方面作了阐述     

DGM（1，1）模型的改进与高校毕业生的供求预测

一、序言高等教育人才总需求是指各部门、单位和厂商等对高等学校应届毕业生的总体需求。近年来我国大学毕业生就业问题凸现,引起了社会各方面的广泛关注,2005年大学毕业生的就业问题更为突出。事实上,社会对大学毕业生的需求所反映出的主要问题是高等教育办学规模和专业结构的     

Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis

This paper provides an extension of the Dynamic Conditional Correlation model of Engle (2002) by allowing both the unconditional correlation and the parameters to be driven by an unobservable Markov chain. We provide the estimation algorithm and perform an empirical analysis of the contagion phenomenon in which our model is compared to the traditional CCC and DCC representations. We acknowledge financial support from the Italian national research project on "The Euro and European financial market volatility: contagion, interdependence and volatility transmission" financed by the Italian Ministry of University and Research. Furthermore, we thank William De Pieri for research assistance and are grateful to Loriana Pelizzon, Claudio Pizzi, Domenico Sartore and the participants at the Forecasting Financial Markets 2004 conference and at the XLII Annual Meeting of the Italian Statistical Society for helpful comments. Usual disclaimer applies. Correspondence to: Monica Bilio     

动态对等及英语成语汉译的可译性

动态对等是翻译中的最主要的原则之一,它基于语言学及信息论,超越了传统翻译中的争议而生成了一个新的概念.本文探讨了如何将动态对等原则运用于英语成语的汉译.     

Resource allocation for restoration of compromised systems

Computer systems are constantly under the threats of being attacked and in many cases these attacks succeed. Today’s networked systems are thus built to be intrusion tolerant. In a large scale, the progresses of compromising the networked system and recovering the damage will carry on in parallel, allowing services to be continued (at a degraded level). One of the key problems in the restoration procedure regards to the resource allocation strategies and the cost associated with, specifically, a minimal cost is desired. In this paper we model the cost as a sum of service loss and resource expense that incur during the restoration procedure. We investigate the achievable minimal total cost and corresponding resource allocation strategy for different situations. The situations include both constant rates and time-variant rates in terms of the speed of compromising and recovering. We also consider the fact that the restoration rate is constrained by the resource allocated. The relationship can be either linear or obeying the law of diminishing marginal utility. We present both analytical and numerical results in the paper. The results show the impact from various system parameters on the critical conditions for a successful system restoration and on the minimal cost. Dr. Ray is currently with Google Inc., 604 Arizona Avenue, Santa Monica, CA 90401, USA. His e-mail contact is sibu@google.com, siburay@gmail.com