HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

To capture mean and variance asymmetries and time‐varying volatility in financial time series, we generalize the threshold stochastic volatility (THSV) model and incorporate a heavy‐tailed error distribution. Unlike existing stochastic volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time‐delay parameter. Self‐exciting and exogenous threshold variables are considered to investigate the impact of a number of market news variables on volatility changes. Adopting a Bayesian approach, we use Markov chain Monte Carlo methods to estimate all unknown parameters and latent variables. A simulation experiment demonstrates good estimation performance for reasonable sample sizes. In a study of two international financial market indices, we consider two variants of the generalized THSV model, with US market news as the threshold variable. Finally, we compare models using Bayesian forecasting in a value‐at‐risk (VaR) study. The results show that our proposed model can generate more accurate VaR forecasts than can standard models.     

中国交通运输业发展的实证研究

采用协整和误差纠正模型与方法，对中国改革开放20多年来交通运输发展与一些相关影响因素之间的关系进行实证研究。结果表明：旅客运输需求与国民收入、乘车费用之间，货物运输与国民经济、燃油价格之间分别存在长期稳定关系。研究认为：中国交通的发展应适当超前于国民经济的发展。同时，研究还发现：“旅游黄金周”的实施并不是促进中国旅客运输需求的显著影响因素。     

Detection and correction of artificial shifts in climate series

Summary.  Many long instrumental climate records are available and might provide useful information in climate research. These series are usually affected by artificial shifts, due to changes in the conditions of measurement and various kinds of spurious data. A comparison with surrounding weather-stations by means of a suitable two-factor model allows us to check the reliability of the series. An adapted penalized log-likelihood procedure is used to detect an unknown number of breaks and outliers. An example concerning temperature series from France confirms that a systematic comparison of the series together is valuable and allows us to correct the data even when no reliable series can be taken as a reference.     

英语中继语句法顺序探讨

中继语这一理论虽已广为语言学界所接受,并有学者对其动态规律进行了调查与研究,但到目前为止,目的十分明确的研究还只是刚起步。为了给汉语背景下第二语言习得理论和目前正在蓬勃展开的外语教学大纲、教材教法的革新提供依据,本文收集了大一、大二、硕士研究生三个自然班的英语作文,依据EA理论与IT理论对其进行了探索性的描述性研究,旨在从结构上揭示出大学生习得英语的顺序。     

优化专业结构,提高毕业生就业竞争力

随着社会以及高等教育改革的不断深化,高校毕业生就业形势日益严峻,根据用人单位对大学毕业生综合素质的要求和高校毕业学生对学校教学的意见反馈以及就业工作的现状,高等学校应优化专业结构,调整教学计划和课程设置体系,改革人才培养模式,努力提高毕业生就业竞争力。     

大学英语多项选择考试模式面临挑战

大比例多项选择考试模式在大学英语四、六级考试中己实施多年 ,它对推动我国的外语教育功不可没。但在我国的国情发生了巨大变化、整个国家正朝着国际化社会快速发展、社会各界急需实用型外语人才的今天 ,多年不变的大比例多项选择考试模式己经显示出它的不足。特别是IELTS;ESOL等国际实用性测试模式不断引入我国 ,它的确面临着改进和完善的挑战。     

综合文科教育专业人才培养和课程体系的理论研究与教学实践

为适应基础教育改革,开办了综合文科教育专业,在思想政治教育、历史教育和地理教育三个专业进行“主辅修制”改革的基础上,探讨以素质教育为核心,由传统分科教育为主向现代综合教育转变,由专业学科知识为中心向知识整合为中心转变。兼顾初中综合改革发展需要和传统分科教学的现实,培养的学生既能胜任初中综合课程《公民》、《社会》或《人文教育》等的教学,又能适应政治、历史和思想品德等分科课程的教学,还能适应乡镇经济、文化和社会发展需要的新型复合型师资。本文坚持理论研究与实践探索相结合的原则,确定了符合教育规律和实际的综合文科教育专业全新的培养目标和规格,建立了人才培养新模式,构建了全新的教育内容和课程体系。     

基于知识链的管理

论述了知识链的有关概念和特点,通过分析以往的知识链模型,提出了改进的知识链模型;对知识链管理的机制进行了分析;从控制论的角度,对知识链内部知识成长的机制进行了分析,并指出知识链内部知识转移的影响因素,为知识管理的发展提供了一定的理论依据。     

基于因果关系的教育研究方法思考

探索、检验因果关系是教育科学研究的重要目标之一,相关分析、回归分析、路径分析等常用统计方法存在许多不足。结构方程模型是针对这些不足提出来的,从统计思路上,它具有优点,但还不够完善,应引起我国教育学界的注意。     

Geometric Method and Generalized Linear Models. Two Opposite Multiparametric Approaches Illustrated on a Sample of Pituitary Adenomas

We used two statistical methods to identify prognostic factors: a log-linear model (logistic and COX regression, based on the notions of linearity and multiplicative relative risk), and the CORICO method (ICOnography of CORrelations) based on the geometric significance of the correlation coefficient. We applied the methods to two different situations (a "case-control study' and a "historical cohort'). We show that the geometric exploratory tool is particularly suited to the analysis of small samples with a large number of variables. It could save time when setting up new study protocols. In this instance, the geometric approach highlighted, without preconceived ideas, the potential role of multihormonality in the course of pituitary adenoma and the unexpected influence of the date of tumour excision on the risk attached to haemorrhage.