LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS

Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies.     

Windows2000下数控系统运动控制器的应用研究

通过对自行研制的GD102运动控制器特性的研究,将其驱动程序划分为内核支持层、寄存器读写层、基本命令层和应用层;分析了各层次的功能和实现原理及各层次间的通信机制。在分析Windows2000下内核模式驱动程序的构成和I/O请求处理流程的基础上,以DriverWorks为工具开发了运动控制器的驱动程序,并对驱动程序开发中的一些关键问题进行了论述。该驱动程序已被成功地应用到实际开放式数控系统项目,并取得了良好的效果。     

冗余度机器人的运动规划碰撞算法

在考虑了操作机的关节极限、自碰撞和静态障碍物的情况下,从给定的初始位形出发,发现一条到末端效应器目标位置和姿态的相连可到达路径。方法给出了机器人操作机点到点逆运动学问题求解算法,利用碰撞算法实现了冗余度机器人运动规划,仿真验证了该方法的有效性,并表明了该方法具有较大的实用价值。     

论速度变化对标枪成绩的影响

本文就网络英语教学目前存在的认识上的误区、大学英语网络教学目前可采用的基本模式以及大学英语网络教学的优越性和目前存在的问题进行探讨     

机械运动方案的模糊综合评价

机械运动方案的设计 ,最终要求通过分析比较确定最优的方案 .用实例介绍了模糊综合评价法在机械运动方案设计中的应用     

卧式椭圆轨迹振动筛的自定中心问题研究

当振动筛筛箱各点作长轴平行于筛面的椭圆轨迹运动时,这种振动筛的胶带轮不可能只作定轴转动(即自定中心)。如果恰当地选择胶带轮几何中心的偏心值,胶带轮的摆动幅度将减小,因此,胶带的工作情况仍将得到改善。     

Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are invalid in this setting. Determination of asymptotic theory under more plausible assumptions can be complicated and lengthy. We discuss these issues and present a Monte Carlo study, showing that asymptotic theory should not necessarily be expected to provide a good approximation to finite-sample behavior.     

试论英语词汇语义上的动态发展

任何一种语言都是活的语言,它随着人类社会文明的不断发展和变化在人们实际生活中变化着.英语词语亦如此.本文试图通过透视"英语词汇语义上的动态发展",引起我们对词义变化的足够重视,从而更好地掌握和使用英语词汇.     

重刚体在光滑平面上的定态运动

研究了三轴重椭球体在光滑水平面上的定态运动。确定椭球体的永恒转动、它们的存在条件及稳定性。     

Parameter identification for the discretely observed geometric fractional Brownian motion

This paper deals with the problem of estimating all the unknown parameters of geometric fractional Brownian processes from discrete observations. The estimation procedure is built upon the marriage of the quadratic variation and the maximum likelihood approach. The asymptotic properties of the estimators are provided. Moveover, we compare our derived method with the approach proposed by Misiran et al. [Fractional Black-Scholes models: complete MLE with application to fractional option pricing. In International conference on optimization and control; Guiyang, China; 2010. p. 573–586.], namely the complete maximum likelihood estimation. Simulation studies confirm theoretical findings and illustrate that our methodology is efficient and reliable. To show how to apply our approach in realistic contexts, an empirical study of Chinese financial market is also presented.