中国创业板和主板市场之间的相关结构分析——基于Copula函数的实证研究

了解创业板与主板市场间的关系,对于理解两个市场的互动关系以及证券组合的设计和风险评估至关重要。文章利用创业板指数、沪深300指数数据,借助ARMA-GARCH-Normal-Copula和ARMA-GARCH-T-Copula模型分析了创业板和主板之间的相关结构。研究表明:创业板市场的波动要大于主板市场,创业板和主板存在一定的正相关关系,并且存在非对称的尾部结构;在尾部(上尾和下尾)上,创业板对主板的变化反应比主板对创业板的变化反应更强。     

Estimation Mean Change-Point in ARCH Models with Heavy-Tailed Innovations

The quest of the mean change-point in ARCH models with innovations in the domain of attraction of a κ-stable law appears to still be ongoing. We derive the asymptotic distribution of the residuals CUSUM of squares test (RCUSQ) statistic and find it depends on the stable index κ which is often typically unknown and difficult to estimate. Therefore, the subsampling method is proposed to detect changes without estimating κ. The tests are easy to use and are found to perform well in a Monte Carlo experiment.     

Convergence Analysis of MCMC Algorithms for Bayesian Multivariate Linear Regression with Non‐Gaussian Errors

When Gaussian errors are inappropriate in a multivariate linear regression setting, it is often assumed that the errors are iid from a distribution that is a scale mixture of multivariate normals. Combining this robust regression model with a default prior on the unknown parameters results in a highly intractable posterior density. Fortunately, there is a simple data augmentation (DA) algorithm and a corresponding Haar PX‐DA algorithm that can be used to explore this posterior. This paper provides conditions (on the mixing density) for geometric ergodicity of the Markov chains underlying these Markov chain Monte Carlo algorithms. Letting d denote the dimension of the response, the main result shows that the DA and Haar PX‐DA Markov chains are geometrically ergodic whenever the mixing density is generalized inverse Gaussian, log‐normal, inverted Gamma (with shape parameter larger than d /2) or Fréchet (with shape parameter larger than d /2). The results also apply to certain subsets of the Gamma, F and Weibull families.     

穿越南水北调干渠热力隧道设计研究

随着城市和工程建设的迅速发展,新建隧道下穿既有建筑或构筑物也大量出现。浅埋、松散砂土地层隧道施工中,随着地层应力状态的改变和调整,引起地层和地表在一定范围内的不均匀沉降变形,它对既有建筑物或构筑物的功能及安全使用则可能产生较大影响。介绍石家庄市热力隧道下穿南水北调中线干渠建设中的主要相互影响因素、设计中重点研究的问题,分析了位置关系、隧道施工变形、隧道防洪与防渗等设计处理措施,供类似工程应用参考。     

金代状元张檝及其作品——兼谈《田器之燕子图》联诗

张檝为金朝词赋状元,一生风流倜傥,诗词文赋俱佳,深受时人喜爱。《田器之燕子图》联诗为金末文坛盛事之一,众多名家参与联诗,集文、诗、画为一体,属于稀世珍宝。由这一发生在西京地区的感人故事,可以窥见当时文学兴盛之一斑。     

一种多级P2P文件交换系统架构的研究

针对现有P2P软件系统采用单层或双层架构所带来的效率低、无法合理进行有效的数据交换的缺点,提出了一种新的三层多级P2P文件交换系统架构。在现有IPv4网络上,该系统采用独特的根服务器/组服务器/用户三层多级架构提高系统性能;使用UDP隧道技术解决了两台计算机在不同的NAT内的文件交换问题;采用新的搜索模式,对文件信息进行了有效的分类和索引,并实现了对文件交换的全程监控。运行结果表明,该系统有效地利用了网络带宽,使文件传输的效率得到了提高。     

浅埋小净距隧道下穿多股铁路的风险分析及对策

以石家庄地铁1号线张西区间下穿铁路既有线工程为依托，针对其浅埋、小净距、下穿铁路风险高等工程特点，分析风险产生的原因及危害，提出实施洞内控制、地层控制及既有铁路控制的分项控制对策。实践证明，风险分析合理，对策有效，隧道施工及铁路运营安全可控，可为类似工程提供参考。     

A new class of multivariate skew distributions with applications to bayesian regression models

Abstract: The authors develop a new class of distributions by introducing skewness in multivariate elliptically symmetric distributions. The class, which is obtained by using transformation and conditioning, contains many standard families including the multivariate skew‐normal and t distributions. The authors obtain analytical forms of the densities and study distributional properties. They give practical applications in Bayesian regression models and results on the existence of the posterior distributions and moments under improper priors for the regression coefficients. They illustrate their methods using practical examples.     

浅埋偏压、冲沟地质条件下公路隧道进洞方案研究

由于山区地形复杂多变，线路展线困难，洞口浅埋偏压、冲沟、降水等不利因素制约着高速公路隧道进洞施工。隧道进洞施工安全和洞口稳定是隧道安全施工的有利保障。结合株岭隧道右线进口工程现场地质条件，研究制定了明挖暗进和盖挖施工相结合的施工方案，确保了隧道安全施工。     

齐岳山隧道平行导坑快速施工技术

针对齐岳山隧道平导施工,着重阐述施工工艺、方法、机械设备配套和施工管理,分析了掘进循环各工序需要的施工时间及影响快速施工的因素,对施工过程进行科学管理,实现了平导快速施工.