Forecasting volatility by means of threshold models

The aim of this paper is to compare the forecasting performance of competing threshold models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out‐of‐sample forecasting ability of the SETAR‐Threshold GARCH (SETAR‐TGARCH) and the SETAR‐Threshold Stochastic Volatility (SETAR‐THSV) models compared to the GARCH model and Stochastic Volatility (SV) model. However, the main problem in evaluating the predictive ability of volatility models is that the ‘true’ underlying volatility process is not observable and thus a proxy must be defined for the unobservable volatility. For the class of nonlinear state space models (SETAR‐THSV and SV), a modified version of the SIR algorithm has been used to estimate the unknown parameters. The forecasting performance of competing models has been compared for two return time series: IBEX 35 and S&P 500. We explore whether the increase in the complexity of the model implies that its forecasting ability improves. Copyright © 2007 John Wiley & Sons, Ltd.     

连续刚构梁0号块受力分析

计算了连续刚构桥的0号块在复杂荷载下的受力模式,对结构进行了优化,并总结了其受力特征。     

群速度和相速度的微机模拟

本文介绍了作者开发的群速度和相速度微机模拟软件的程序设计和实现．该软件做为演示实验已经取得了良好的效果．     

固体吸附制冷系统发生器温度场数值模拟

以内燃机排气－固体吸附制冷系统为背景，建立了固体吸附制冷系统发生器瞬态温度场数值计算模型，并讨论模型中涉及的部分物性参数。通过实验验证，该模型能较好地模拟发生器内瞬态温度场。     

复杂系统集成控制及其仿真研究

本文对于复杂系统提出一种集成控制策略,即解耦/模糊控制。并以机器人关节运动控制为例,进行仿真研究,仿真结果是令人满意的。全文包括五个部分:1.前言;2.复杂系统的解耦模型;3.复合规则库与模糊控制;4.仿真研究;5.结论。     

电离层薄层倾斜带来的电离层附加时延偏差分析

在考虑电离层薄层倾斜的基础上,数值模拟、分析了电离层倾斜带来的电离层附加时延相对不考虑电离层倾斜的偏差,从而说明了在电离层倾斜地区消除电离层倾斜的必要性     

A Survey of the Use of the Discrete-event Simulation in Manufacturing Industry

In this work, a survey of companies has been produc ed from a questionnaire and in-depth inter-views. The aimof the paper is to give a current view of the use of DES (Discrete- Event Simulation) in the indust ry. The companies have been selected in a wide range in e.g. size, capital turno ver and employees. The survey was restricted to Sweden, although the results may be applicable to other countries with similar industrial structure. Some of the companies investigated are also multinational with branc...     

双门电冰箱的热传导问题

本文将根据热传导方程,对电冰箱达定态过程进行理论推导,以及定态后电冰箱单位时间吸收的热量,并由此计算出由于冰箱箱体的热量泄漏而消耗的能量。     

多变量随机系统的辨识软件IDMR

软件IDMR是用于辨识离散时间多变量随机系统的有效工具,它同时还使用辨识结果给出系统输出仿真。本文介绍IDMR的结构和功能及其特点,并对使用方法和运行操作进行了说明。     

低频声波定向技术研究

应用声呐基阵的设计理论，设计了一种圆柱形组合脉动球源阵。对此声源阵低频声波声场的远场进行了理论分析与仿真研究，表明此声源阵对低频声波具有指向性，通过调整此组合声源阵的结构，可改善对低频声波的指向性。