Combining multivariate volatility forecasts using weighted losses

The ability to improve out-of-sample forecasting performance by combining forecasts is well established in the literature. This paper advances this literature in the area of multivariate volatility forecasts by developing two combination weighting schemes that exploit volatility persistence to emphasise certain losses within the combination estimation period. A comprehensive empirical analysis of the out-of-sample forecast performance across varying dimensions, loss functions, sub-samples and forecast horizons show that new approaches significantly outperform their counterparts in terms of statistical accuracy. Within the financial applications considered, significant benefits from combination forecasts relative to the individual candidate models are observed. Although the more sophisticated combination approaches consistently rank higher relative to the equally weighted approach, their performance is statistically indistinguishable given the relatively low power of these loss functions. Finally, within the applications, further analysis highlights how combination forecasts dramatically reduce the variability in the parameter of interest, namely the portfolio weight or beta.     

Identifying US business cycle regimes using dynamic factors and neural network models

We use dynamic factors and neural network models to identify current and past states (instead of future) of the US business cycle. In the first step, we reduce noise in data by using a moving average filter. Dynamic factors are then extracted from a large-scale data set consisted of more than 100 variables. In the last step, these dynamic factors are fed into the neural network model for predicting business cycle regimes. We show that our proposed method follows US business cycle regimes quite accurately in-sample and out-of-sample without taking account of the historical data availability. Our results also indicate that noise reduction is an important step for business cycle prediction. Furthermore, using pseudo real time and vintage data, we show that our neural network model identifies turning points quite accurately and very quickly in real time.     

栎树猝死病在中国的入侵风险评估

【目的】栎树猝死病是一种为害林木和观赏植物的毁灭性病害,发病迅速,短期内即可造成寄主植物大量死亡,寄主范围非常广泛,主要为害阔叶树树种。对其在我国的适生区范围进行预测,并系统评估其入侵风险,有助于更好地制定针对性的防治及检疫措施。【方法】采用MaxEnt生态位模型,以栎树猝死病菌现有分布点的环境变量为基础运算预测模型,结合地理信息系统ArcGIS绘制其在中国的适生预测图;并以南京林业大学有害生物入侵预防与控制重点实验室建立的多指标综合评价体系为标准,从5个准则层下设18个指标层因子,对栎树猝死病菌在我国的入侵风险进行了定性和定量的分析。【结果】MaxEnt模型测试遗漏率与预测遗漏率基本吻合,ROC(receiver operating characteristic, ROC)曲线的AUC值(area under curver, AUC)为0.974,标准差为0.008,明显高于随机分布模型,说明该模型对栎树猝死病菌在我国的适生区预测结果可信度较高,可作为后续评估依据。栎树猝死病菌在中国的适生范围在101.9°~122.9° E,18.9°~38.0° N,主要位于我国秦岭淮河以南的南方地区,集中在长江中下游平原和武夷山脉、南岭以南的沿海地区,约占中国行政区划面积的19.6%。栎树猝死病菌在中国的入侵风险指标值R为2.64,属于极高风险的有害生物。【结论】模型预测结果的可信度较高,鉴于栎树猝死病菌在我国暂无分布记录,且在多指标评价体系中被归为极高风险等级,建议在进境检疫中对其可能寄主植物实施严格检疫及2年以上的隔离试种,防止其进入中国。     

基于无人机遥感的绿化园林三维绿量估算与分析——以福州大学校区为例

三维绿量能够从立体空间上描述城市绿地的空间分布和定量评价城市绿化的环境效益。本文以福州大学为研究区，探讨了利用可见光无人机影像估算绿化树木三维绿量的方法，并对校园生态效益进行定量分析。首先获取高于10cm分辨率的无人机可见光遥感影像；其次结合可见光波段的光谱特征与无人机数据点云的高程特征获得研究区的冠层高度模型；然后通过局部最大值算法与标记控制分水岭算法提取单木树高、株数以及冠径参数，通过野外实测数据构建“树高-冠高”关系模型得到冠高；最后结合树种分布情况，按照不同的树冠形状构建三维绿量估算模型，并基于三维绿量估算校园不同树种的生态效益。结果表明：研究区内三维绿量总量达到了804405m3，其中休闲区的三维绿量总量为428566m3，占总绿量的53.3%，而科技园区的三维绿量总量为26568m3，仅占总绿量的3.3%；而常见树种中，三维绿量贡献最大的为榕树，达到404405m3，占三维绿量总量的50.3%，而丹桂贡献的三维绿量仅为509m3，占总绿量的0.063%。研究认为：基于无人机遥感数据，能够较好的估算出研究区内绿化树木的三维绿量。     

非自治随机Kuramoto-Sivashinsky方程的Wong-Zakai逼近

在Wong-Zakai逼近下证明了非自治Kuramoto-Sivashinsky方程吸引子的存在性.     

中国与“一带一路”沿线部分国家的经济关系动态分析

GTAP(Global Trade Analysis Project)模型综合考虑了资本总量、资本流动、人口因素、国民生产总值等多项指标,可以用于各相关国的经济发展和经济合作互动关系分析.选用GTAP模型,分析了中国与一带一路沿线部分国家的经济互动关系.在西亚地区选择了沙特阿拉伯、以色列、伊朗、阿曼、阿联酋、科威特、伊拉克共7国,分别在降低关税20%和降低关税50%两种假设条件下展开实证分析.实证结果显示:在关税分别降低20%和50%两种假设条件下,中国和西亚诸国的GDP都有一定程度增加,各国之间进出口规模都有一定程度的扩大,这表明"一带一路"倡议对于沿线各国的经济发展和合作互动具有明显的促进作用.     

新宁县可持续发展能力评价

为了评价新宁县可持续发展能力,根据县情建立了由经济发展、资源利用、生态建设与环境保护4个子系统组成的可持续发展能力评价指标体系,并采用全排列多边形综合图示法评价了2007–2014年的可持续发展现状以及2020的可持续发展水平。研究结果表明:2007–2012年,新宁县可持续发展综合指数均低于0.250,处于Ⅳ级较差水平;2013–2014年处于Ⅲ级一般水平;2020年达到0.945,进入Ⅰ级水平,可持续发展能力优良;当前新宁县可持续发展能力距离规划目标仍有很大差距。     

媒体监督与控股股东侵占——一个理论框架

本文利用随机动态优化工具建立理论模型,对媒体监督与控股股东侵占行为进行了研究.结论表明,控股股东侵占损害中小股东福利,增大公司风险;媒体监督对控股股东自身福利产生双重效应——财富分配效应和资产减值效应,控股股东最优侵占比例取决于这两种效应的相对强弱;提高媒体对控股股东侵占现象反应的敏感性,增强曝光力度,能够迫使控股股东更加重视自身声誉,减少对中小股东利益的侵占;控股股东与媒体的合谋会使其更加大胆地通过侵占中小股东利益,提高自身福利.     

Dynamic Model Averaging and CPI Inflation Forecasts: A Comparison between the Euro Area and the United States

The paper forecasts consumer price inflation in the euro area (EA) and in the USA between 1980:Q1 and 2012:Q4 based on a large set of predictors, with dynamic model averaging (DMA) and dynamic model selection (DMS). DMA/DMS allows not solely for coefficients to change over time, but also for changes in the entire forecasting model over time. DMA/DMS provides on average the best inflation forecasts with regard to alternative approaches (such as the random walk). DMS outperforms DMA. These results are robust for different sample periods and for various forecast horizons. The paper highlights common features between the USA and the EA. First, two groups of predictors forecast inflation: temporary fundamentals that have a frequent impact on inflation but only for short time periods; and persistent fundamentals whose switches are less frequent over time. Second, the importance of some variables (particularly international food commodity prices, house prices and oil prices) as predictors for consumer price index inflation increases when such variables experience large shocks. The paper also shows that significant differences prevail in the forecasting models between the USA and the EA. Such differences can be explained by the structure of these respective economies. Copyright © 2015 John Wiley & Sons, Ltd.     

智能下肢助力装置虚拟样机的联合仿真

尝试建立一种全新的智能助力装置虚拟样机模型,旨为提高下肢助力装置设计的效率与可靠性.将CATIA建立的机械模型导入ADAMS建立装置的三维虚拟样机模型,对助力装置的运动学及动力学进行了仿真验证,将虚拟样机模型与MATLAB/simulink结合,对助力装置动力学方程及搭建的控制系统进行联合仿真.根据人体的步态数据,采用PID控制算法对下肢助力系统进行控瓤仿真结果表明,下肢助力控制系统有较好的动态响应特性和轨迹跟踪能力.研究结果能及时发现装置存在的缺点与不足,为助力装置样机研制和电机选型提供了参考,也为实现装置的助力提供了重要的理论依据.