Model averaging estimation for conditional volatility models with an application to stock market volatility forecast

This paper is concerned with model averaging estimation for conditional volatility models. Given a set of candidate models with different functional forms, we propose a model averaging estimator and forecast for conditional volatility, and construct the corresponding weight-choosing criterion. Under some regulatory conditions, we show that the weight selected by the criterion asymptotically minimizes the true Kullback–Leibler divergence, which is the distributional approximation error, as well as the Itakura–Saito distance, which is the distance between the true and estimated or forecast conditional volatility. Monte Carlo experiments support our newly proposed method. As for the empirical applications of our method, we investigate a total of nine major stock market indices and make a 1-day-ahead volatility forecast for each data set. Empirical results show that the model averaging forecast achieves the highest accuracy in terms of all types of loss functions in most cases, which captures the movement of the unknown true conditional volatility.     

Forecasting stock volatility in the presence of extreme shocks: Short-term and long-term effects

This paper introduces a novel generalized autoregressive conditional heteroskedasticity–mixed data sampling–extreme shocks (GARCH-MIDAS-ES) model for stock volatility to examine whether the importance of extreme shocks changes in different time ranges. Based on different combinations of the short- and long-term effects caused by extreme events, we extend the standard GARCH-MIDAS model to characterize the different responses of the stock market for short- and long-term horizons, separately or in combination. The unique timespan of nearly 100 years of the Dow Jones Industrial Average (DJIA) daily returns allows us to understand the stock market volatility under extreme shocks from a historical perspective. The in-sample empirical results clearly show that the DJIA stock volatility is best fitted to the GARCH-MIDAS-SLES model by including the short- and long-term impacts of extreme shocks for all forecasting horizons. The out-of-sample results and robustness tests emphasize the significance of decomposing the effect of extreme shocks into short- and long-term effects to improve the accuracy of the DJIA volatility forecasts.     

碱激发矿粉-膨润土竖向阻隔屏障在某风险阻控工程中的应用

以某在产农药厂污染场地风险阻控工程为依托,通过三级搅拌工艺制备屏障材料,并利用高压旋喷注浆法和深层搅拌法施工工艺建造周长659m、深度25m的活性氧化镁激发矿粉-膨润土系竖向阻隔屏障(MSB),实现了MSB材料在国内的工程应用.对施工后屏障进行取样,采用芯样表观特征分析、室内无侧限抗压强度和刚性壁渗透试验分析2种施工工艺、屏障深度和工后时间对屏障无侧限抗压强度qu和渗透系数k的影响.结果表明:2种施工工艺均实现了材料沿深度的均匀搅拌,屏障完整性较好;工后40～70d,qu可达1.6-2.6MPa,qu随工后时间增加呈增长趋势;自来水渗透作用下屏障k为4.5×10-8～9.0×10-8cm/s,k随深度变化不明显.     

装配式地铁车站侧墙-顶板节点抗震性能试验研究

针对装配式地铁车站结构,提出了一种新型的车站顶板与侧墙连接节点.该节点通过车站侧墙顶部伸出的竖向U形钢筋与预制顶板两端伸出的水平U形钢筋搭接连接,从而实现侧墙与顶板间的内力传递.结合实际工程,设计制作了3个U形筋搭接构造形式各不相同的装配式足尺节点试件.通过拟静力试验,研究了节点试件的破坏形态、滞回性能、承载能力、变形性能以及耗能能力.结果表明,装配式节点试件的破坏形态包括U形筋弯弧内侧混凝土的局部受压破坏和侧墙剪切破坏.节点试件的位移延性系数为2.7-3.4,试件顶板端部的极限转角为1/22～1/27.增加节点中受拉钢筋的搭接长度,可以有效确保U形筋搭接连接在往复荷载作用下的有效性.     

A new microfiltration membrane with three-dimensional reticular architecture for Nano-pollutants removal from wastewater

This research provides a new insight into designing next-generation filtration materials for Nano-pollutants removal from wastewater, and potentially for gas/solid or liquid/solid separation in corrosive environment. Considering the high corrosion and oxidation resistance, Ti–40Al–10Nb–10Cr porous alloy was prepared by powder metallurgy and used as a mechanical support with a pore size of around 10 ?μm. Subsequently, metallic Zn nanoparticles was coated on the Ti–40Al–10Nb–10Cr porous framework by means of chemical vapor deposition, obtaining a novel microfiltration membrane with three-dimensional reticular architecture. Furthermore, the influence of Zn coating on surface morphology, pore feature, and filtration capability of Ti–40Al–10Nb–10Cr porous alloy was investigated. It is of note that the as-prepared microfiltration membrane exhibits an excellent Nano-pollutants filtration efficiency of greater than 99.989% from wastewater. Most importantly, such a three-dimensional reticular architecture provides excellent structural stability, allowing the reutilization of the microfiltration membrane for at least 200 filtration cycles of wastewater treatment.     

测试稿件刘蔚霞周磊2 冯利2 张平2*

目的：研究益肾骨康方对骨转移癌疼痛大鼠脊髓背角GFAP、c-fos、P物质蛋白表达的调控作用。方法：在裸鼠肺腺癌溶骨性骨转移模型的基础上,采用免疫组织化学染色的方法,分别观察各组裸鼠脊髓背角GFAP、c-fos、P物质等蛋白的表达。并使用MIA4.0图像分析软件进行图像分析,每张切片取五个视野,显微镜放大倍数为400倍,统计每个高倍镜视野中表达的阳性物质的光密度值。结果：模型组裸鼠发生了100%的骨转移,免疫组织化学结果显示模型组脊髓背角GFAP、c-fos、P物质蛋白过表达；而“益肾骨康方”低剂量组与中 西药组裸鼠未发生骨转移,免疫组织化学结果显示GFAP、c-fos、P物质蛋白的表达处于较低的水平(P<0.01)；“益肾骨康方”中、高剂量组裸鼠也发生了骨转移,但是这两组裸鼠脊髓背角GFAP、c-fos、P物质蛋白等与疼痛相关的蛋白表达明显低于模型组(P<0.05)。结论：“益肾骨康方”可能通过抑制裸鼠脊髓背角GFAP、c-fos、P物质等蛋白的表达,从而抑制肺腺癌细胞的骨侵袭与转移所引起的疼痛,即“益肾骨康方”通过抑制裸鼠脊髓背角GFAP、c-fos、P物质蛋白的表达而起到一定的镇痛作用。     

Triple Medium Physical Model of Post Fracturing High-Rank Coal Reservoir in Southern Qinshui Basin

In this paper, influences on the reservoir permeability, the reservoir architecture and the fluid flow pattern caused by hydraulic fracturing are analyzed. Based on the structure and production fluid f...     

白冠长尾雉(Syrmaticus reevesii)卵壳的超微结构及元素组成研究

对采自河南董寨国家级自然保护区的白冠长尾雉(Syrmaticus reevesii)卵壳样品进行了检测和研究,利用扫描电子显微镜观察了卵壳的超微结构,采用电感偶合等离子体光谱仪测定了卵壳中的化学元素.结果表明:白冠长尾雉卵壳的表面晶体层、栅栏锥体层和壳膜层的厚度分别为20.8,220.8和62.5μm,分别占卵壳总厚度的6.8%,72.6%和20.6%;栅栏层有很多蜂窝小孔,其直径为(0.32±0.08)μm(n=30);卵壳表面有许多圆形或椭圆形的气孔,可能与胚胎发育过程中的气体交换有关,气孔横断面呈细漏斗状,在其上半部有颗粒状填充物.同时比较了白冠长尾雉野生和笼养个体未孵化卵壳中21种化学元素的含量,发现在组成卵壳的化学元素中,野生白冠长尾雉的Ca,Mg,P,S的质量分数w>1 mg.g-1,其中Ca含量超过卵壳元素总含量的40%;Na,Si,S,K和Al次之,w=0.1~1mg.g-1;Fe,Zn,Pb,Mn,Cu,V,Ti元素的w=1~100μg.g-1;Ni,Cr,Co,Se,Cd的含量最低,w<1μg.g-1.与野生个体的卵壳相比,保护区人工饲养的白冠长尾雉的卵壳成分有显著差异,其中S,Cu,Fe,Al,Mn,Si,Sr,Se,Cr等元素野生个体与笼养个体相比,同种元素在不同个体上w的差异均达到20%以上.饲养个体对Fe,Mn,Si和Sr等4种元素摄入明显不足,而S,Cu,Al,Se,Cr等元素则显著偏高,这可能是造成董寨自然保护区白冠长尾雉卵受精率较低的主要原因.建议适当调整饲料中这些元素的配比,以保证饲养条件下白冠长尾雉拥有良好的营养供给,从而提高人工繁殖的成功率.     

鱼类Ⅱ型抗冻蛋白-冰-水复合体系的理论模拟研究

对鱼类Ⅱ型抗冻蛋白冰晶组成的复合体系在真空条件下进行理论模拟计算的基础上,构建出鱼类Ⅱ型抗冻蛋白冰溶剂(水)的三元复合体系.经过350 ps的动态模拟,研究了溶剂化效应对蛋白冰相互作用体系的影响.通过分子力学及半经验量子力学的计算,进一步研究蛋白与冰晶的相互作用性质,结果表明溶剂化效应具有不容被忽视的重要作用.     

电子束辐照在二氧化钛上沉积银制备高性能光催化薄膜

利用5MeV电子束辐照AgNO3溶液浸泡的TiO2薄膜,得到高性能的Ag/TiO2光催化结构.浸泡AgNO3溶液的最佳浓度为5×10-4mol.L-1.