Extremal memory of stochastic volatility with an application to tail shape inference

We characterize joint tails and tail dependence for a class of stochastic volatility processes. We derive the exact joint tail shape of multivariate stochastic volatility with innovations that have a regularly varying distribution tail. This is used to give four new characterizations of tail dependence. In three cases tail dependence is a non-trivial function of linear volatility memory parametrically represented by tail scales, while tail power indices do not provide any relevant dependence information. Although tail dependence is associated with linear volatility memory, tail dependence itself is nonlinear. In the fourth case a linear function of tail events and exceedances is linearly independent. Tail dependence falls in a class that implies the celebrated Hill (1975) tail index estimator is asymptotically normal, while linear independence of nonlinear tail arrays ensures the asymptotic variance is the same as the iid case. We illustrate the latter finding by simulation.     

《芙蓉亭乐府》写作时间考

对于岭南文人黎简的<芙蓉亭乐府>的写作时间,学术界历来有三种看法,而以苏文擢先生的26岁说最为权威.通过综合考察黎简的经历及其诗歌创作,得出<芙蓉亭乐府>当写于黎简20岁时的结论,从而加深对黎简的认识,借此修正苏文擢先生所著<黎简先生年谱>之纰误.     

韩剧对女大学生价值观的影响探讨

近年来,中国掀起了韩剧热潮,甚至很多女大学生窝在宿舍里观看韩剧。本文探讨了韩剧对女大学生价值观形成的利弊影响,并针对韩剧对女大学生的影响进行了一定社会学分析,提出通过韩剧中的励志精神来教育女大学生增加正能量,以树立正确的价值观。     

冰心留美散文的生态之美

为了解决烧结机台车与风箱之间的漏风问题,研究了烧结机磁力密封中的磁场与台车移动速度的耦合规律。在模拟装置上,设置了移动副和含磁场源的固定副,在可变的二者间隙中分别放入3种磁介质并观察其运动状态。结果表明：移动副以0.79～2.12 m/min的线速度移动时,磁介质分为移动层和固定层两层;分层面与间隙中的磁场强度、移动副移动速度、间隙大小以及磁介质的特性等因素有关。揭示了以“移动层厚度”为标志,与以上四因素具有函数关系的磁介质中“磁”与“速度”的耦合规律。     

从《青春的舞步》看村上春树的叙事策略

村上春树讲究叙事的策略 ,从他的代表作《青春的舞步》可窥见其一斑 :他通常采用第一人称内视角 ,他重视使叙述视角平易化 ,以期拉近与读者的距离 ,更重视叙述视角的“陌生化” ,与读者保持一定的心理距离 ,调动读者积极参与文本的再创作 ;他对情节结构的安排上突破了传统故事模式 ,突破了传统小说的线性结构 ,虚实相生 ,张弛有致 ,符合青年读者的心理结构。总之村上春树注重将日本传统叙事方法与西方现代的叙事手法相糅合 ,创造出了“陌生化”的艺术效果     

不容忽略的情节建构——谈《霍桑探案》的叙事艺术

《霍桑探案》以情节作为创作的中心,既是对传统小说技法的继承也是对前代文学创作手法的逆转;与同类题材作品相比,程小青在师法《福尔摩斯探案》的基础上使《霍桑探案》具有自己的情节创作模式,其作品试图超越但又难以突破;与同时代的其它题材作品相比,《霍桑探案》的价值又是不能忽略的。     

清代鄂东状元陈沆与武昌胭脂山

清代嘉庆年间鄂东状元陈沆的多首诗歌中提及的燕支山即是今天位于胭脂路的武昌胭脂山。在武昌胭脂山上曾有过一个类似于诗社的小团体——藏诗坞,状元陈沆就是藏诗坞中的一员。胭脂山上藏诗坞里的君子们当时都是武昌的文化名流,他们为武昌胭脂山留下了一段文人雅集的文化历史。全面挖掘和重点保护"城市记忆",一座城市厚重文化底蕴才能得以彰显。     

灵魂的真实——《达洛卫夫人》意识流的剖析

意识流是风行于 2 0世纪二三十年代独具创造性的文艺理论与创作方法。它完全脱离传统的轨道 ,摒弃对客观事物的具体描写 ,强调人的主观感受。本文通过对英国作家弗吉尼亚·伍尔夫的意识流精品《达洛卫夫人》的创作风格和写作技巧的阐述 ,表明意识流小说并非文人雅士的孤芳自赏 ,而是深入人物内心世界 ,表现现代人内心感受的多样性与复杂性 ,揭示灵魂的真实的创举     

Comparing Experimental Designs for Benchmark Dose Calculations for Continuous Endpoints

The BMD (benchmark dose) method that is used in risk assessment of chemical compounds was introduced by Crump (1984) and is based on dose-response modeling. To take uncertainty in the data and model fitting into account, the lower confidence bound of the BMD estimate (BMDL) is suggested to be used as a point of departure in health risk assessments. In this article, we study how to design optimum experiments for applying the BMD method for continuous data. We exemplify our approach by considering the class of Hill models. The main aim is to study whether an increased number of dose groups and at the same time a decreased number of animals in each dose group improves conditions for estimating the benchmark dose. Since Hill models are nonlinear, the optimum design depends on the values of the unknown parameters. That is why we consider Bayesian designs and assume that the parameter vector has a prior distribution. A natural design criterion is to minimize the expected variance of the BMD estimator. We present an example where we calculate the value of the design criterion for several designs and try to find out how the number of dose groups, the number of animals in the dose groups, and the choice of doses affects this value for different Hill curves. It follows from our calculations that to avoid the risk of unfavorable dose placements, it is good to use designs with more than four dose groups. We can also conclude that any additional information about the expected dose-response curve, e.g., information obtained from studies made in the past, should be taken into account when planning a study because it can improve the design.     

Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models

Estimation of the tail index of stationary, fat-tailed return distributions is non-trivial since the well-known Hill estimator is optimal only under iid draws from an exact Pareto model. We provide a small sample simulation study of recently suggested adaptive estimators under ARCH-type dependence. The Hill estimator’s performance is found to be dominated by a ratio estimator. Dependence increases estimation error which can remain substantial even in larger data sets. As small sample bias is related to the magnitude of the tail index, recent standard applications may have overestimated (underestimated) the risk of assets with low (high) degrees of fat-tailedness. This paper is a shortened version of the Berkeley Research Program in Finance Working Paper RPF-295. Thanks are to the Center for Mathematical Sciences at Munich University of Technology for generously providing access to computer facilities and to participants at the IAFE 2001 Budapest, OR 2002 Klagenfurt, EIR 2002 London, DGF 2002 Cologne, FBI 2002 Karlsruhe conferences and the 2001 Wallis Workshop for helpful comments. Two anonymous referees provided helpful suggestions in streamlining the material. Niklas Wagner acknowledges a Maple program by Klaus Kiefersbeck and financial support by Deutsche Forschungsgemeinschaft (DFG).