Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach

This paper compares the in‐sample fitting and the out‐of‐sample forecasting performances of four distinct Nelson–Siegel class models: Nelson–Siegel, Bliss, Svensson, and a five‐factor model we propose in order to enhance the fitting flexibility. The introduction of the fifth factor resulted in superior adjustment to the data. For the forecasting exercise the paper contrasts the performances of the term structure models in association with the following econometric methods: quantile autoregression evaluated at the median, VAR, AR, and a random walk. As a pattern, the quantile procedure delivered the best results for longer forecasting horizons. Copyright © 2011 John Wiley & Sons, Ltd.     

Testing Interval Forecasts: A GMM‐Based Approach

This paper proposes a new evaluation framework for interval forecasts. Our model‐free test can be used to evaluate interval forecasts and high‐density regions, potentially discontinuous and/or asymmetric. Using a simple J‐statistic, based on the moments defined by the orthonormal polynomials associated with the binomial distribution, this new approach presents many advantages. First, its implementation is extremely easy. Second, it allows for a separate test for unconditional coverage, independence and conditional coverage hypotheses. Third, Monte Carlo simulations show that for realistic sample sizes our GMM test has good small‐sample properties. These results are corroborated by an empirical application on SP500 and Nikkei stock market indexes. It confirms that using this GMM test leads to major consequences for the ex post evaluation of interval forecasts produced by linear versus nonlinear models. Copyright © 2011 John Wiley & Sons, Ltd.     

Mg-Sn合金化与固溶-时效行为的研究现状

作为具备良好发展前景的可时效强化镁合金,Mg-Sn合金通过Mg₂Sn相析出强化、固溶强化与细晶强化获得了优异的性能。与Mg-Zn、Mg-Al主要镁合金相比,Sn在Mg中的固溶度较好,析出强化效果优异;另外,Mg₂Sn相的熔点高达771.5 ℃,使Mg-Sn合金成为非稀土系列的低成本耐热镁合金。从合金化、固溶-时效处理工艺分析总结了可时效强化Mg-Sn合金的研究进展,分析Mg-Sn合金时效行为的重要参数及其影响因素,主要目的为细化Mg₂Sn析出相或增加Mg₂Sn析出相数量;同时,对添加到Mg-Sn合金中的合金元素的固溶效果、细晶效果与形成三元强化相效果进行系统总结与分析,为Mg-Sn合金成分的设计和性能改善提供重要参考。     

Improving moving average trading rules with boosting and statistical learning methods

We present a system for combining the different types of predictions given by a wide category of mechanical trading rules through statistical learning methods (boosting, and several model averaging methods like Bayesian or simple averaging methods). Statistical learning methods supply better out‐of‐sample results than most of the single moving average rules in the NYSE Composite Index from January 1993 to December 2002. Moreover, using a filter to reduce trading frequency, the filtered boosting model produces a technical strategy which, although it is not able to overcome the returns of the buy‐and‐hold (B&H) strategy during rising periods, it does overcome the B&H during falling periods and is able to absorb a considerable part of falls in the market. Copyright © 2008 John Wiley & Sons, Ltd.     

住宅市场需求的组合预测

将组合预测方法引入住宅市场需求预测,以实例具体介绍了组合预测的应用过程,实例中采用了神经网络、灰色模型等预测方法的组合体系,对当前环境下的住宅市场需求预测进行了有益的探索。     

含Nb多元微合金钢的应变诱导析出行为

利用松弛法,在Gleeble-1500热模拟机上测定了多元微合金钢的应力弛豫曲线,并采用萃取复型技术跟踪了析出物的长大过程。实验结果表明：应力弛豫曲线分为三个阶段,分别对应析出的形核、长大和粗化：在850℃变形后等温弛豫60-200s时,应变诱导析出颗粒的尺寸仍然小于10nm,析出相为复杂的（Nb,Ti,Mo）（C,N）。     

超纯铁素体不锈钢热变形过程中的析出行为

利用热力模拟实验机及试验轧机研究了添加Ti,V的超纯中铬铁素体不锈钢热变形过程中的析出行为变化特点,并采用热动力学计算及透射电子显微镜观察来表征析出相特征.结果表明:热变形过程中形成的析出相主要为TiC,这与热动力学分析一致.这些析出相的特征与变形温度密切相关,随着变形温度的降低,析出相TiC尺寸更加细小且分布更加弥散.这主要是由于变形温度降低时扩散速率相对较低,不利于析出相长大,而晶体缺陷增加,形变诱导析出的有效形核位置增加.这一热变形过程中的析出行为变化规律在中试试验条件下得到了验证.     

汾河流域降水量及蒸发量的空间变异性分析研究

借助于地质统计学方法对汾河流域的多年平均降雨量和蒸发量的空间变异性进行了分析,揭示了多年平均降水量和蒸发量的空间变异特征,并应用Kriging方法进行空间插值.分析结果表明,汾河流域多年平均降水量和蒸发量在不同的分割距离范围内有不同的空间相关性,多年平均降水量具有比较明显的地带性,蒸发量分布变化地带性不强.     

Microstructure evolution of T91 heat-resistant steels after long-time aging

To investigate the evolution of microstructure damage degree and the precipitated phases of heat-resistant metal in power plant under high temperature and stress environment, the high-temperature aging tests were conducted to investigate the aging behavior of T91 steel at different temperatures and stress. The optical microscopy, scanning electron microscopy, and transmission electron microscopy were used to investigate the structure and precipitated phases, the results showed that the orientation characteristics of tempered martensite was dispersed, and the grain size is obviously increased. The density of dislocation decreased with increasing temperature and stress. The important strengthening phase of M23C6 (M=Fe, Cr) was coarsened by the diffusion of main alloying elements Cr, while the smaller size MX (M=Nb,V; X=C, N) phase distributed in the grain is relatively stable in the aging.     

含Nb钢变形后长时间等温对析出的影响

运用热模拟技术,通过硬度测量及透射电镜(TEM)观察,分析了含Nb微合金钢奥氏体变形后长时间等温对低温(525℃)回火组织及析出行为的影响.结果表明:回火1 200 min时组织几乎保持不变.硬度值在回火初期一直下降,到120 min后,开始缓慢回升,到1 200 min基本保持不变.应变诱导析出颗粒粗化后即使长时间回火,颗粒并没有明显长大.回火后期的硬度值上升是由于Nb在α湘中进一步形核长大造成的.