Testing and Valuing Dynamic Correlations for Asset Allocation

We evaluate alternative models of variances and correlations with an economic loss function. We construct portfolios to minimize predicted variance subject to a required return. It is shown that the realized volatility is smallest for the correctly specified covariance matrix for any vector of expected returns. A test of relative performance of two covariance matrices is based on work of Diebold and Mariano. The method is applied to stocks and bonds and then to highly correlated assets. On average, dynamically correct correlations are worth around 60 basis points in annualized terms, but on some days they may be worth hundreds.     

Estimation for two-way analysis of variance with correlated errors

We consider some estimation and distribution problems encountered in a two way analysis of variance model with only one observation per cell, errors correlated in one level, and the variances are not necessarily equal. The independence criteria for the row and interaction mean sum of squares and distribution of the maximum likelihood estimator of the correlation coefficient are given.     

我国钢铁产业安全度测量的实证研究——以辽宁省为例

钢铁产业的安全问题一直是我国理论界和政府相关部门关注的重点。在对辽宁省钢铁产业安全问题进行实证研究的过程中发现,辽宁省钢铁产业基本上处于安全区域,但安全系数却在逐年降低,由此提出了相应的政策建议。     

台湾宏观经济波动的外部协同性研究——基于属权贸易假设的两岸经济关联度考证

经济周期波动的外部协同程度可以反映参与区域经济合作的可能性.国际(区际)贸易是促进经济周期波动同步性的主要传导渠道,但却未必促进跨时期协动机制的形成.针对我国台湾地区、我国大陆以及世界市场的经济波动成分建立结构向量自回归模型,研究结果表明:三者宏观经济波动之间表现出显著的同步性特征;但两岸经济体跨时期的波动相关性不明显,这表明二者之间尚未能建立起实质性的经济关联.其原因可能是台湾地区向中国大陆地区的大规模产业转移而引致的属权贸易偏差,导致现实统计的双边贸易流量不能发挥必要的乘数效应.     

空间相关随机MIMO信道建模

针对几何建模的空间相关信道复杂度较高的问题,提出了一种通用的空间相关随机MIMO信道的建模方法。构建该信道首先需产生随机独立的MIMO信道,其次将该信道进行相位补偿,最后乘上空间相关矩阵。该信道建模采用随机产生方式,同时考虑信道的时延扩展、多普勒扩展、角度扩展等多种信道参数,通过调整某些参数可生成适用于各种MIMO技术研究的信道模型,如智能天线、空间分集、复用等,并且具有计算复杂度低、产生简便的优点。     

An approximated distribution of the gini's rank associatio coefficient

An approximate distribution is proposed for the Gini's rank association coefficient g which is, like Kendall's and Spearman's rank correlation coefficient, a statistic to test independence between two random variables. The purposed distribution can be simply transformed into a Student's T distribution; so, hypothesis testing is made much easier.     

A comment on mckay's approximation for the coefficient of variation

Some clarification of statistics based on McKay's x² approximation for the distribution of the sample coefficient of variation is presented. The conclusions of Warren (1982) are shown to result from the confusion of two definitions for the sample coefficient of variation.     

Assessing the association between two spatial or temporal sequences

This paper deals with the codispersion coefficient for spatial and temporal series. We present some results and simulations concerning the codispersion coefficient in the context of spatial models. The results obtained are immediate consequences of the asymptotic normality of the sample codispersion coefficient and show certain limitations of the coefficient. New simulation studies provide information about the performance of the coefficient with respect to other coefficients of spatial association. The behavior of the codispersion coefficient under additively contaminated processes is also studied via Monte Carlo simulations. In the context of time series, explicit expressions for the asymptotic variance of the sample version of the coefficient are given for autoregressive and moving average processes. Resampling methods are used to compute the variance of the coefficient. A real data example is presented to explore how well the codispersion coefficient captures the comovement between two time series in practice.     

清水河县工业开发园区改良黄土性能试验研究

针对内蒙古清水河县工业开发园区的湿陷性黄土，开展了石灰粉煤灰改良黄土性能的压缩试验、湿陷性试验，并利用扫描电镜（SEM）进行了微观形貌观察，试验结果表明由于黄土、石灰、粉煤灰之间产生的化学反应，使黄土的压缩性降低、湿陷性消除、颗粒间的孔隙得以填充密实。本文为内蒙古清水河县工业开发园区湿陷性黄土地基处理方面提供一定的试验依据和施工方面的参考。     

Calendar of events

Abstract. Counterbalancing is a new method of forecasting that reduces the systematic component of forecasting error. A graphical interpretation of the method is presented. This intuitive approach reveals the need for variable as opposed to fixed equal weights. The method is expanded to counterbalancing with variable weights, resulting in further reductions in forecasting error. Important applications include (1) power system hourly load forecasting for economic dispatch, (2) information feed forward in continuous process control, and (3) forecasting for scheduling, just in time manufacturing, sales, and distribution requirements planning in global logistics.