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61.
This paper examines the efficiency and predictive power of implied forward shipping charter rates. In particular, we examine whether implied forward 6‐month time‐charter rates, which are derived through the difference between time‐charters with different maturities based on the term structure model, are efficient and unbiased predictors of actual future time‐charter rates. Using a dataset for the period January 1989 to June 2003, results of different statistical tests, including the cointegration approach, suggest that implied forward rates are in fact unbiased predictors of future time‐charter rates in the dry bulk freight market. In addition, it is found that implied forward rates yield superior forecasts compared to alternative univariate and multivariate time series models. However, while the unbiasedness hypothesis is found to hold, on average, we find that chartering strategies based on simple trend‐following trading rules in this cyclical market are able to generate economic profits even out‐of‐sample. This highlights how standard tests for unbiasedness do not always capture cyclical predictable components in the market behaviour. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献
62.
罗贯中在《三国演义》中运用了“隐语”的创作方法。在空城计故事中，既表现了诸葛亮的神机妙算，又揭露了司马懿与诸葛亮达成政治默契，是十足的政治野心家；同时又暴露了诸葛亮在指挥、用人等方面的错误，认为诸葛亮应对西蜀的灭亡负主要责任。 相似文献
63.
通过对十九世纪美国伟大浪漫主义作家纳撒尼尔霍桑的小说《红字》中几个主要人物名字含义的分析,探讨霍桑名因人定,名如其人的创作思想,充分肯定了霍桑匠心独运的严谨创作态度和以深刻寓意表达主题的艺术特色。 相似文献
64.
刘桂华 《鞍山科技大学学报》2002,25(6):473-476
英语中的否定是通过否定词进行直接否定,有时含否定或否定意义的句子并非需要否定词,不用否定词的否定为暗含否定.暗含否定是英语否定句型的关键和难点,暗含否定是通过动词、名词、形容词、介词等多种形式表达的.句子有时形否意不否,有时意否形不否,这给翻译带来了一定的难度,所以在翻译时要特别注意做到贴切、自然. 相似文献
65.
余丽君 《湖南城市学院学报(自然科学版)》2000,(3)
英语中许多句子中都隐含有一个含蓄条件句,只有认真分析句子结构,全面掌握英语中表达含蓄条件的各种手段,正确理解原文中的含义,才能准确无误地翻译原文． 相似文献
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时序逻辑电路的一般设计是数字电路设计的重要方面,在设计过程中的状态化简是设计结果是否最佳的关键环节。文章就状态等效的基本概念、状态化简的步骤作了详细的介绍。 相似文献
68.
This paper examines the long‐run relationship between implied and realised volatility for a sample of 16 FTSE‐100 stocks. We find strong evidence of long‐memory, fractional integration in equity volatility and show that this long‐memory characteristic is not an outcome of structural breaks experienced during the sample period. Fractional cointegration between the implied and realised volatility is shown using recently developed rank cointegration tests by Robinson and Yajima (2002). The predictive ability of individual equity options is also examined and composite implied volatility estimates are shown to contain information on future idiosyncratic or stock‐specific risk that is not captured using popular statistical approaches. Implied volatilities on individual UK equities are thus closely related to realised volatility and are an effective forecasting method particularly over medium forecasting horizons. Copyright © 2011 John Wiley & Sons, Ltd. 相似文献
69.
This study examines the intraday S&P 500 implied volatility index (VIX) to determine when the index contains the most information for volatility forecasting. The findings indicate that, in general, VIX levels around noon are most informative for predicting realized volatility. We posit that the VIX performs better during this time period because trading motivation around noon is less complex, and therefore trades contain more information on the market expectation of future volatility. Further investigation on the 2008 financial crisis period suggests that market participants become more cautious, and thus the forecasting performance is sustained until the market's close. Copyright © 2015 John Wiley & Sons, Ltd. 相似文献
70.
This paper examines the information content of implied volatility for crude oil options as it relates to future realized volatility. Using data for the period 1996 to 2011 we find that implied volatility is an effective predictor of the month‐ahead realized volatility. We show that implied volatility subsumes the information content of contemporaneous volatility, and it contains incremental information on future volatility after controlling for contemporaneous volatility. Furthermore, incorporating risk‐neutral skewness, and especially kurtosis, improves the forecasting of realized volatility. Overall, the association between implied volatility and month‐ahead realized volatility is consistent with evidence documented for other asset classes, leading us to conclude that implied volatility serves as a reasonable proxy for expected volatility. Copyright © 2015 John Wiley & Sons, Ltd. 相似文献