A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models

In this paper, we investigate the performance of a class of M‐estimators for both symmetric and asymmetric conditional heteroscedastic models in the prediction of value‐at‐risk. The class of estimators includes the least absolute deviation (LAD), Huber's, Cauchy and B‐estimator, as well as the well‐known quasi maximum likelihood estimator (QMLE). We use a wide range of summary statistics to compare both the in‐sample and out‐of‐sample VaR estimates of three well‐known stock indices. Our empirical study suggests that in general Cauchy, Huber and B‐estimator have better performance in predicting one‐step‐ahead VaR than the commonly used QMLE. Copyright © 2011 John Wiley & Sons, Ltd.     

THE INFLUENCE OF DRAWING CONDITIONS OF PET POY ON STRUCTURE AND PROPERTY OF THE FIBER

Drawing tests upon PET POY have been made by using dynamic thermal stress analyser,which show that the dynamic thermal stress of fiber is readily affected by drawing conditions. Aseries of samples have been obtained under different drawing velocities, drawing temperatures anddraw ratios. The variations of structural factors of fiber such as the orientation, crystallinity,crystallite size and the thermal shrinkage have been measured. It is proved through experimentsthat the thermal shrinkage(Y) of the drawn fiber of PET POY is influenced by the orientation (rep-resented by sonic velocity x_1) and crystallinity (x_2) of the fiber. The quantitative relationship is es-tablished using the binary regression method: Y=10.2246+2.2030x_1-26.2670x_2 The mechanical properties such as tenacity, elongation, yield stress, initial modulus and the te-nacity at 10% elongation, etc. have also been measured. The relations between the tenacity at 10%elongation (D) and drawing velocity(V), draw ratio (DR), drawing temperature (T), and sonic ve-locity and crystallinity have been obtained using a method of mathematical statistics: D=4.594-0.009 6V , D=-8.937+7.170DR, D=2.866+0.00629T, D=-7.34+2.866x_1+6.314x_2 These equations fit well with data from the experiments. This work will be benefical to the control of quality of products and the development of newproducts.     

含流体多孔介质中的快速传播断层(英文)

用含流体多孔介质中Ⅱ型运动裂纹对剪切断层的快速传播作了系统分析,对断层不稳定性建立了判据,并对这一理论在地震学中应用的可能性作了探讨。     

硼对Al-2.5wt％Cu合金腐蚀抗力的影响

借助于TEM和PTA研究了硼对Al-2.5wt％Cu合金腐蚀抗力的影响。结果表明,当该合金含有0.002wt％,0.004wt％和0.006wt％硼时,合金的腐蚀抗力大大增加。硼增加腐蚀抗力的机制是,硼的加入阻止了合金晶界上第二相颗粒的预先沉淀析出,而硼原子向晶界偏聚则是腐蚀抗力增加的重要原因。     

海南省416名黎族正常学龄儿童掌轴三叉t的研究

本文以海南省４１６名黎族正常学龄儿童为对象，对掌轴三叉ｔ的位置，用ａｔｄ角，ｔｐＤ值和ｔ横向指数三个参数进行研究，将数据进行了统计学分析，分别求出三个参数与年龄的相关系数和回归方程，并与有关资料进行了比较。     

高校系级党组织发挥政治核心作用的实践与思考

理论与实践相结合地阐述了我国高等学校系级党组织发挥政治核心作用的涵义、途径和保障。     

合金元素对热作模具钢组织与性能的影响

本文作者通过淬火回火硬度试验,室温和高温拉伸冲击试验以及金相和电镜组织观察,研究了V,Mo,Ni,Nb,Co和B等合金元素对热作模具钢组织和性能的影响.结果表明:适宜的合金元素含量对钢的室温和高温强韧性产生很好的作用,所得结果对于热作模具钢新钢种开发有重要参考价值.     

泰安市能源需求预测的SD模型

本文应用系统动力学(System Dynamics)理论和方法对泰安市能源经济系统进行了动力学分析,在此基础上建立了泰安市能源规划系统动力学模型。利用此模型,对泰安市从1990年到2000年期间能源供需状况进行了预测,分析了泰安市能源工业与人口以及与社会国民经济的关系,进而提出了解决能源短缺的途径和方法。     

（n，t）反应截面的系统学计算

研究了中等和重质量核的１４ＭｅＶ（ｎ，ｔ）反应截面的系统学特性．在考虑奇偶效应的基础上给出了反应截面的系统学公式和经验参数，利用这套参数计算了一些核素的反应截面，结果与测量值符合较好．并讨论了可能的反应机制和Ｑ值效应．