Bias in the estimation of non‐linear transformations of the integrated variance of returns

Volatility models such as GARCH, although misspecified with respect to the data‐generating process, may well generate volatility forecasts that are unconditionally unbiased. In other words, they generate variance forecasts that, on average, are equal to the integrated variance. However, many applications in finance require a measure of return volatility that is a non‐linear function of the variance of returns, rather than of the variance itself. Even if a volatility model generates forecasts of the integrated variance that are unbiased, non‐linear transformations of these forecasts will be biased estimators of the same non‐linear transformations of the integrated variance because of Jensen's inequality. In this paper, we derive an analytical approximation for the unconditional bias of estimators of non‐linear transformations of the integrated variance. This bias is a function of the volatility of the forecast variance and the volatility of the integrated variance, and depends on the concavity of the non‐linear transformation. In order to estimate the volatility of the unobserved integrated variance, we employ recent results from the realized volatility literature. As an illustration, we estimate the unconditional bias for both in‐sample and out‐of‐sample forecasts of three non‐linear transformations of the integrated standard deviation of returns for three exchange rate return series, where a GARCH(1, 1) model is used to forecast the integrated variance. Our estimation results suggest that, in practice, the bias can be substantial. Copyright © 2006 John Wiley & Sons, Ltd.     

An organic thyristor

Thyristors are a class of nonlinear electronic device that exhibit bistable resistance--that is, they can be switched between two different conductance states. Thyristors are widely used as inverters (direct to alternating current converters) and for the smooth control of power in a variety of applications such as motors and refrigerators. Materials and structures that exhibit nonlinear resistance of this sort are not only useful for practical applications: they also provide systems for exploring fundamental aspects of solid-state and statistical physics. Here we report the discovery of a giant nonlinear resistance effect in the conducting organic salt theta-(BEDT-TTF)2CsCo(SCN)4, the voltage-current characteristics of which are essentially the same as those of a conventional thyristor. This intrinsic organic thyristor works as an inverter, generating an alternating current when a static direct-current voltage is applied. Whereas conventional thyristors consist of a series of diodes (their nonlinearity comes from interface effects at the p-n junctions), the present salt exhibits giant nonlinear resistance as a bulk phenomenon. We attribute the origin of this effect to the current-induced melting of insulating charge-order domains, an intrinsically non-equilibrium phenomenon in the sense that ordered domains are melted by a steady flow.     

低捻转杯纺纱实验与理论分析--提高低捻转杯纱强力探索

研究在转杯纺加捻区中加装阻扭件,然后选用相同的棉条纺制不同捻系数的转杯纱(加装阻扭件和不加装阻扭件)和环锭纱,并测试其成纱的强伸性能、表面形态和扭转性能.测试结果表明,加装阻扭件的转杯纱可以适当改善转杯纺的加捻效果,进而适当提高了转杯纱的成纱强力.     

纤维对PEI改性环氧树脂单向复合材料形态的影响

人们改善环氧树脂基复合材料的脆性通常只改善环氧树脂基体和增强纤维间的界面，提高环氧树脂韧性的另一种常用方法是添加初始相容性良好的热塑性树脂如聚醚酰亚胺，在某一转化率（取决于体系的组成和反应温度）时体系发生相转变，体系最终的形态由相转变速率和环氧树脂反应速度所控制。本文作者研究了两种增强纤维（玻璃纤维和碳纤维）对不同环氧树脂／聚醚酰亚爱体系形态形成的影响，结果发现体系中纤维的存在不会影响基体相分离过程，但会改变体系的最终形态；形态的变化与纤维的品种关系不大；基体中不同组分的粘度是影响复合材料形态形成的关键因素。     

PPLN准相位匹配内腔光学参量振荡器的实验研究

将准相位匹配光学参量振荡器(QPM-OPO)置于激光二极管(LD)端面泵浦的声光调Q1064nm-Nd:YVO4激光器谐振腔之内,获得了信号光单谐振的内腔光参量输出。在声光Q开关重复频率为25kHz的条件下,内腔参量振荡的阈值仅为0.9W(LD功率)。在6WLD泵浦功率下,获得了350mW的信号光输出。通过在120℃~250℃范围内改变PPLN晶体的温度,信号光输出实现了在(1493~1538)nm波段的调谐。     

基于MVC模型的SVG生产实时监控系统设计与实现

针对传统生产实时监控系统灵活性差的问题,应用SVG技术进行了改进,适用于异构系统环境;并结合MVC架构设计并实现了扩展性高、移植性好、灵活性强的J2EE实时监控系统。     

Long-term Energy Demand and CO_2 Problem in the PRC

The long-term energy demand in China and the-Chinese share in global CO2 emission are forecasted on the basis of scenarios of population growth and economy development up to 2050 proposed in view of the interaction of energy, economy, environment and social development. The total energy demand in 2050 will reach 4.4~ 5.4 billion tce. It is shown in energy supply analysis that coal is China's major energy in primary energy supply. The share of CO2 emission in the future Chinese energy system will be out of proportion to its energy consumption share because of the high persentage of coal to be consumed. It will reach about 27%. The nuclear option which would replace 30.7% of coal in the total primary energy supply will reduce the share by 9.8%. So the policy considerations on the future Chinese energy system is of great importance to the global CO2 issues.     

在相对论性激光-等离子体系统中模拟激光参数对等离子弧柱形态的影响

基于相对论性激光-等离子体动力学理论和PIC方法建立了激光入射等离子弧柱的模型,该模型描述了激光入射等离子弧后粒子的运动,并模拟了弧柱形态的变化。通过改变激光的平均功率、脉冲宽度以及重复频率,模拟等离子弧柱形态变化,得到的激光参数对等离子弧柱形态的影响规律。通过控制弧柱的直径可以提高材料的熔积性能。计算结果表明增大激光平均功率、脉冲宽度,可以更深地压缩等离子弧;但是,重复频率的影响则会出现波动现象。激光等离子复合加工更适合于精细加工。