An outlier robust GARCH model and forecasting volatility of exchange rate returns

Since volatility is perceived as an explicit measure of risk, financial economists have long been concerned with accurate measures and forecasts of future volatility and, undoubtedly, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used for doing so. It appears, however, from some empirical studies that the GARCH model tends to provide poor volatility forecasts in the presence of additive outliers. To overcome the forecasting limitation, this paper proposes a robust GARCH model (RGARCH) using least absolute deviation estimation and introduces a valuable estimation method from a practical point of view. Extensive Monte Carlo experiments substantiate our conjectures. As the magnitude of the outliers increases, the one‐step‐ahead forecasting performance of the RGARCH model has a more significant improvement in two forecast evaluation criteria over both the standard GARCH and random walk models. Strong evidence in favour of the RGARCH model over other competitive models is based on empirical application. By using a sample of two daily exchange rate series, we find that the out‐of‐sample volatility forecasts of the RGARCH model are apparently superior to those of other competitive models. Copyright © 2002 John Wiley & Sons, Ltd.     

水文极值系列相关展延方法与条件的研究

本文收集了国内外所提出的一些相关插补方法,通过组合得出实测空间的权函数余差法(CYFN)及对数空间的权函数余差法(LCYFN).在无历史洪水的条件下,用Monte-Carlo方法分别对两种空间中的七种方法(以设计值Y_p的精度作为评价准则的基础)作了综合比较;考虑到方法的稳健性,选取常用的两种线型作总体线型,其参数及系列长度均在常见的范围内.结果表明,LCYFN及0.6≤C_(sx)/C_(sy)≤1.5时的CYFN(在此区间外,其他方法的插补总是不利的)是各自空间中最优且稳健的方法.但LCYFN的稳健性计算还不够充分.当C_(sx)/C_(sy)≤2时·LCFN的R_(min)=0.8;当C_(sy)/C_(sx)>2时·则R_(min)=0.95,而CYFN的R_(min)=0.8.同时,本文还对我国(<规范》有关插补条件与限制的条款作了计算,结果表明,如使用以上两种最优方法,就没有必要限制插补项数及外延幅度.     

提高壳聚糖/纳米SiOx复合膜机械性能的研究

采用二次回归旋转正交组合试验设计方法,探讨了壳聚糖纳米SiOx复合膜的优化工艺条件,用流延法制得分散比较均匀的纳米复合膜,并对涂膜结构进行红外光谱（IR）和X射线衍射（XRD）表征。结果表明：复合膜（CTS-SiOx）中壳聚糖与SiOx粒子表面的大量羟基存在强烈的氢键相互作用,当壳聚糖为1.98g、SiOx 0.017g、单甘酯0.04g时,壳聚糖复合涂膜拉伸强度达到最优值,以壳聚糖单膜相比,拉伸强度、断裂伸长率和直角撕裂强度分别提高了49％, 45％和12%。复合膜的性能优于简单膜。     

人格退行:沈从文乡土小说创作的心理根源

从弗洛伊德的人格理论来分析沈从文乡土小说的创作心理,是一种新的视角。沈从文在乡土小说中所建构的理想的生存图式,心理根源是其人格发展在童年时期出现的“停滞现象”,在都市遭受精神挫折后,出现了“退行”。这种“人格退行”决定了沈从文湘西乡土小说的创作基调和整体风格。     

Forecasting intraday S&P 500 index returns: A functional time series approach

Financial data often take the form of a collection of curves that can be observed sequentially over time; for example, intraday stock price curves and intraday volatility curves. These curves can be viewed as a time series of functions that can be observed on equally spaced and dense grids. Owing to the so‐called curse of dimensionality, the nature of high‐dimensional data poses challenges from a statistical perspective; however, it also provides opportunities to analyze a rich source of information, so that the dynamic changes of short time intervals can be better understood. In this paper, we consider forecasting a time series of functions and propose a number of statistical methods that can be used to forecast 1‐day‐ahead intraday stock returns. As we sequentially observe new data, we also consider the use of dynamic updating in updating point and interval forecasts for achieving improved accuracy. The forecasting methods were validated through an empirical study of 5‐minute intraday S&P 500 index returns.     

基于彩色图像特征的铜成分软测量模型

针对再生铜熔炼过程中铜成分离线检测时滞大的问题,提出了一种基于颜色特征的再生铜成分参数准在线估计方法.首先获取现场取样并固化再生铜样品的彩色图像,然后使用RGB颜色空间、色调和颜色向量角分别量化再生铜颜色特征,最后利用最小二乘支持向量回归（LSSVR）对铜成分参数建立回归模型,进而实现铜成分参数估计.通过对再生铜样品的对比分析,该软测量模型能够准确快速地估计出测试样本的铜成分,既解决了铜成分参数离线检测时滞大的问题,又满足了工程要求的精度,验证了利用彩色图像特征构建铜成分软测量模型的方法是可行、有效的.     

基于多元回归分析的瓦斯灾害预测

为了解决瓦斯灾害给煤矿带来的安全生产问题。以多元线性回归方法为基础,通过对铁法大刑矿4_(-2)煤层含煤岩系的沉积环境,岩性组合特征,煤层顶、底板岩性及其隔气、透气性能、煤的变质程度、区域地质构造、水文地质条件、火成岩的侵入与覆盖作用、以及煤层埋藏深度影响因素进行分析,对未采区煤层瓦斯涌出量进行预测。研究结果表明,矿井开采煤层瓦斯突出危险区域主要为煤层瓦斯含量较大的地质构造与火成岩体破坏相组合的块段。该成果对大兴矿的安全生产具有重要的现实意义。     

基于遗传算法的适合纹样花卉图案设计方法

通过对适合纹样花卉图案设计过程的分析,提出了一种基于遗传算法的适合纹样花卉图案的设计方法．通过对设计者最初的设计方案进行各种遗传操作,可以产生整体协调、局部不同的大量设计结果供用户选用．     

无线接入点吞吐率预测的建模与优化

针对接入点吞吐率的多步预测问题,提出基于Nu-支持向量回归的建模策略,设计了并行混合粒子群算法,从特征选择与参数选择两个方面对预测模型进行联合优化。评估结果表明,Nu-支持向量回归模型在吞吐率多步预测中能取得较高精度,并行混合粒子群算法具有良好收敛性,且能显著提高预测模型的性能。     

集装箱吞吐量及主要影响因素的计量经济分析

利用近年来的相关数据对港口集装箱吞吐量、港口所在城市的国民生产总值以及地方进出口商品总值进行了计量经济分析,通过二元线性回归模型对港口未来集装箱吞吐量进行预测,并对模型进行了相关检验,为港口岸线资源的合理开发与利用提供决策依据,为港口未来发展以及定位提供参考.