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.     

Investigation of Phase Inversion of Liquid-Liquid Dispersions in Agitated Vessels

Introduction Liquid-liquid dispersions in agitated vessels are fre-quently used in the chemical industry for conducting operations such as solvent extraction and heterogene-ous reactions. In liquid-liquid two-phase flow systems, usually consisting of an a…     

Human gamma-chain genes are rearranged in leukaemic T cells and map to the short arm of chromosome 7

Three gene families that rearrange during the somatic development of T cells have been identified in the murine genome. Two of these gene families (alpha and beta) encode subunits of the antigen-specific T-cell receptor and are also present in the human genome. The third gene family, designated here as the gamma-chain gene family, is rearranged in murine cytolytic T cells but not in most helper T cells. Here we present evidence that the human genome also contains gamma-chain genes that undergo somatic rearrangement in leukaemia-derived T cells. Murine gamma-chain genes appear to be encoded in gene segments that are analogous to the immunoglobulin gene variable, constant and joining segments. There are two closely related constant-region gene segments in the human genome. One of the constant-region genes is deleted in all three T-cell leukaemias that we have studied. The two constant-region gamma-chain genes reside on the short arm of chromosome 7 (7p15); this region is involved in chromosomal rearrangements identified in T cells from individuals with the immunodeficiency syndrome ataxia telangiectasia and observed only rarely in routine cytogenetic analyses of normal individuals. This region is also a secondary site of beta-chain gene hybridization.     

基于免疫网络理论的TCSC与PSS协调控制

电力系统稳定器(PSS)和可控串联补偿器(TCSC)被广泛用于电力系统的稳定控制,多个控制器之间的交互作用会影响彼此的控制效果.本文介绍了生物免疫系统中不同类型的抗体协调合作,共同清除抗原的协调机理.提出了基于免疫网络理论的协调控制方法,用于在线协调控制多个阻尼控制器,抑制电力系统的功率振荡.以装有多个PSS和TCSC的系统为例,对多个控制器进行在线协调阻尼控制.仿真结果表明该方法能够缩短抑制振荡所需的时间,具有有效性和鲁棒性.     

基于分级遗传算法的结构损伤识别方法

提出了一种基于遗传算法的利用不完整振动数据识别结构损伤的新方法，该方法首先扩展不完整的振型并利用单元能量熵差比确定结构损伤的大致位置，然后采用二级搜索策略，借助遗传算法确定结构损伤的程度，数值计算结果表明，当可能的损伤区域较大时，本方法较直接搜索策略更能有效地确定结构损伤的程度。     

Partial deficiency of erythrocyte spectrin in hereditary spherocytosis

Hereditary spherocytosis (HS) is a common, clinically heterogeneous haemolytic anaemia in which the primary erythrocyte defect is believed to be some abnormality in the spectrin-actin membrane skeleton, leading to loss of surface membrane. Recessively inherited spectrin deficiency with extreme erythrocyte fragility and spherocytosis has been identified in certain mutant mice and two severely anaemic humans. Although suspected, deficiency of spectrin has not been demonstrated in less severe forms of human HS. We not report the quantitation of erythrocytes spectrin by radioimmunoassay. We found that normal erythrocytes contained 240,000 copies of spectrin heterodimer, whereas erythrocytes from 14 patients with a variety of types of HS were all partially deficient in spectrin (range 74,000-200,000 copies), the magnitude of the deficiency correlating with the severity of the disease. Spectrin deficiency of varying degrees is common in HS and probably represents the principal structural defect leading to loss of surface membrane.     

十次幂和问题的解

给出不定方程１０＝ ｙ１０的一组正整数解     

智能化集成媒体通讯技术

多媒体数字化技术集成了文本、图像、声音、动画、视频等方面，移动媒体技术对多媒体的图像、声音质量、传输带宽等都提出了要求，本书讨论了一些适用于第三代移动媒体终端的方法和技术，主要是面向第三代移动服务。