Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model

Accurate modelling of volatility (or risk) is important in finance, particularly as it relates to the modelling and forecasting of value‐at‐risk (VaR) thresholds. As financial applications typically deal with a portfolio of assets and risk, there are several multivariate GARCH models which specify the risk of one asset as depending on its own past as well as the past behaviour of other assets. Multivariate effects, whereby the risk of a given asset depends on the previous risk of any other asset, are termed spillover effects. In this paper we analyse the importance of considering spillover effects when forecasting financial volatility. The forecasting performance of the VARMA‐GARCH model of Ling and McAleer (2003), which includes spillover effects from all assets, the CCC model of Bollerslev (1990), which includes no spillovers, and a new Portfolio Spillover GARCH (PS‐GARCH) model, which accommodates aggregate spillovers parsimoniously and hence avoids the so‐called curse of dimensionality, are compared using a VaR example for a portfolio containing four international stock market indices. The empirical results suggest that spillover effects are statistically significant. However, the VaR threshold forecasts are generally found to be insensitive to the inclusion of spillover effects in any of the multivariate models considered. Copyright © 2008 John Wiley & Sons, Ltd.     

债券的久期与凸度的价值

随着利率市场化进程的不断加快，对债券的价格波动率进行较深入的了解，才能在实战中对价格的涨跌原因进行正确分析，并采取相应的投资策略．本文介绍了债券价格波动率的两种重要测度：久期和凸度．给出了久期凸度对国债价格波动率预测的实证分析，以及基于久期和凸度的套期保值方法．     

Direct determination of trace silicon in lanthanum oxide by using a selective volatility and slurry sampling-FETV-ICP-AES

A new method for determination of trace sillicon in high purity lanthanum oxide by using electrothermal vaporization (ETV)-ICP-AES with polytetrafluoroethylene (PTFE) slurry as a fluorinating reagent has been proposed. Under the optimized experimental conditions, the fluorination reactions of analyte (Si) and matrix(La) with PTFE in the graphite furnace took place at high temperature, and the fractional volatilily between Si and La was observed. Based on this principle the matrix interference could be eliminated. The detection limit of Si was 4.0μg·L⁻¹, and the RSD was 3.4%(C=0.2mg·L⁻¹,n=10). The procedure proposed has been applied successfully to determine trace Si in La₂O₃ without any chemical pre-treatment. Supported by the National Natural Science Foundation of China Qin Yongchao: born in Dec. 1953, ph. D., Assciate Professor     

不透明度虚部,强子物质流与单极化不对称

考虑不透明度虚部的作用，讨论了单极化不对称性，在程涵近似下，发现极化靶内部的强子物质流和不透明度虚部是导致单极化不对称的重要原因。     

Transmembrane movements of lipids

Summary Membranes allow the rapid passage of uncharged lipids. Phospholipids on the other hand diffuse very slowly from one monolayer to another with a half-time of several hours. This slow spontaneous movement in a pure lipid bilayer can be selectively modulated in biological membranes by intrinsic proteins. In microsomes, and probably in bacterial membranes, non-specific phospholipid flippases allow the rapid redistribution of newly synthesized phospholipids. In eukaryotic plasma membranes, aminophospholipid translocase selectively pumps phosphatidylserine (PS) and phosphatidylethanolamine (PE) from the outer to the inner leaflet and establishes a permanent lipid asymmetry. The discovery of an aminophospholipid translocase in chromaffin granules proves that eukaryotic organelles may also contain lipid translocators.     

引入药物经济学评价指数的医药营销组合策略

面对环境的变化,医药营销模式必将随着医疗模式的改变而进行彻底的变革.通过综合分析,尝试在市场营销组合策略中引入药物经济学评价指数,构造新的医药营销组合策略(从4P→5P),以期为医药市场营销活动提供新的思路和途径.     

信息不对称对高校图书馆信息服务的影响及对策

简要介绍了信息不对称理论的内涵，分析了高校图书馆信息服务过程中产生信息不对称现象的主要原因，并提出一些减少信息不对称现象的措施。     

知识生产与使用的非对称及其机制构建

知识与一般商品一样生产出来,但知识在使用时不同于一般商品,知识可以永久使用,知识的生产与使用具有非对称性。正是这种非对称性,使得知识的生产和使用机制超出了一般商品的生产和使用机制。探讨知识的生产和使用机制将有利于提高知识经济的效率。     

波动率风险溢价——基于VIX的实证

波动率风险溢价是金融学文献关注的核心问题之一. 基于非仿射GARCH扩散模型,推导相应的VIX公式,继而采用S&P500与VIX 指数联合数据,给出模型客观与风险中性参数基于有效重要性抽样（EIS）的联合极大似然（ML）估计. 进一步利用粒子滤波 方法给出隐波动率的估计,推断VIX隐含的波动率风险溢价. 蒙特卡罗模拟实验表明,提出的估计方法是有效的. 采用实 际数据进行的实证研究表明,波动率风险被定价,且波动率风险溢价为负,隐含市场投资者整体表现为风险厌恶.     

羊群行为加剧股票价格波动吗?

羊群行为是否加剧股票价格波动,已有研究甚至给出截然相反的结论.假定交易者买卖观点的转变主要受其对股票基础价值认知和其他交易者行为的影响,本文构建描述市场平均投资态度和股票价格变化的数学模型,利用离散动力系统的相关理论研究模型的稳定性,并根据金融市场稳定与否对羊群行为程度进行界定.研究结果表明,在轻度羊群效应区间内,股票价格相应地呈现微幅周期波动;在中度羊群效应区间内,股票价格在经历一段时间的阻尼式波动后收敛至均衡价格,并且在此区间中存在最优的羊群行为,它促使股票价格以最快的速度逼近均衡价格;而在重度羊群效应区间,股票价格发生大幅的非理性波动,可以导致股市严重泡沫和金融危机的产生.