Unobserved components in ARCH models: An application to seasonal adjustment

The paper deals with unobserved components in ARIMA models with GARCH errors, in the context of an actual application, namely seasonal adjustment of the monthly Spanish money supply series. The series shows clear evidence of (moderate) non-linearity, which does not disappear with simple outlier correction. The GARCH structure explains reasonably well the non-linearity, and this explanation is robust with respect to the GARCH specification. We look at the time variation of the standard error of the adjusted series estimator and show how it can be measured. Next, we look at the implications this variation has on short-term monetary control. The non-linearity seems to have a small effect in practice. It is further seen that the conditional variance of the GARCH process may, in turn, be decomposed into components. In fact, the conditional variance of the money supply series is the sum of a weak linear trend, a strong non-linear seasonal component, and a moderate non-linear irregular component. This information has policy implications: for example, there are periods in the year when policy can be more assertive because information is more precise. Finally, looking at the non-linear components of the money supply it is seen how linear combinations of non-linear series can produce series that behave linearly.     

竖向地震加速度对堤坝抗震性能影响分析

将堤坝地震动力响应的有限元效值分析方法与坝坡地震滑移量的Newmark估算方法相结合,通过效值计算探讨了水平与竖向加速度组合作用下堤坝的抗震稳定性．首先以堤坝地震动力响应的二维平面应变有限元分析为基础,按照Makdisi与Seed所建议的计算方法估算堤坝安全系效的变化过程,依此对地震过程中堤坝的瞬态稳定性进行评价．对瞬时安全系效小于1的时段,采用Newmark方法估算滑坡体的可能滑移量,进而由此评判堤坝的抗震安全性．最后,针对一座高度为100m的堤坝,分别采用正弦波和实际El-Centro地震加速度记录作为激励,通过具体效值计算讨论了竖向地震加速度对堤坝抗震稳定性的影响．研究表明竖向加速度对堤坝瞬态稳定性及地震滑移量均具有显著影响,在堤坝抗震设计中应合理地予以考虑．     

四川盆地碳酸盐岩源岩气地质特征与勘探前景

充分利用露头、岩芯、岩屑等原始样品,通过薄片观察、物性分析、扫描电镜、X射线衍射及同位素分析等实验方法,结合测井资料、地震剖面解释等进行研究,从碳酸盐岩源岩气地球化学评价参数和指标厘定入手,以南川区带高产稳产气藏为实例,深入解剖四川盆地茅口组一段碳酸盐岩源岩的岩矿、物性、电性、含气性及生烃潜力,探讨了表生沉积环境、早期...     

A new DFM flow for sub-100nm standard cells

DFM （Design-For-Manufacturability） method, which aims to improve manufacturability of ICs through specific design considerations, is becoming important nowadays. In particular, standard cells now should be designed by DFM method. This paper reports a new DFM flow for sub-100 nm standard cell design with a group of technologies for process modeling, manufacturability simulation and trial RETs. Based on this flow, a set of DFM-friendly 90nm standard cells were designed.     

Does a lot help a lot? Forecasting stock returns with pooling strategies in a data‐rich environment

A variety of recent studies provide a skeptical view on the predictability of stock returns. Empirical evidence shows that most prediction models suffer from a loss of information, model uncertainty, and structural instability by relying on low‐dimensional information sets. In this study, we evaluate the predictive ability of various lately refined forecasting strategies, which handle these issues by incorporating information from many potential predictor variables simultaneously. We investigate whether forecasting strategies that (i) combine information and (ii) combine individual forecasts are useful to predict US stock returns, that is, the market excess return, size, value, and the momentum premium. Our results show that methods combining information have remarkable in‐sample predictive ability. However, the out‐of‐sample performance suffers from highly volatile forecast errors. Forecast combinations face a better bias–efficiency trade‐off, yielding a consistently superior forecast performance for the market excess return and the size premium even after the 1970s.     

Forecasting Death Rates Using Exogenous Determinants

Mortality models used for forecasting are predominantly based on the statistical properties of time series and do not generally incorporate an understanding of the forces driving secular trends. This paper addresses three research questions: Can the factors found in stochastic mortality‐forecasting models be associated with real‐world trends in health‐related variables? Does inclusion of health‐related factors in models improve forecasts? Do resulting models give better forecasts than existing stochastic mortality models? We consider whether the space spanned by the latent factor structure in mortality data can be adequately described by developments in gross domestic product, health expenditure and lifestyle‐related risk factors using statistical techniques developed in macroeconomics and finance. These covariates are then shown to improve forecasts when incorporated into a Bayesian hierarchical model. Results are comparable or better than benchmark stochastic mortality models. Copyright © 2014 John Wiley & Sons, Ltd.     

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.     

基于平滑指数法的我国铜材产量预测

铜是用途广泛且较为贵重和稀缺的有色金属.科学预测我国铜材产量,是制定行业发展规划的基础,对指导企业有序、有效生产经营,保持我国促进我国铜产业健康发展具有重要的现实意义.平滑指数法是时间序列预测常用的方法,预测值是以前观测值的加权和,且对不同的数据给予不同的权数,新数据给予较大的权数,旧数据给予较小的权数.运用三次平滑指数法预测我国铜材产量,取得了理想的效果,平均预测仅为1.658 8%.由模型预测得到2017年6月我国铜材产量为178.356万t.     

荷叶生物碱的研究进展

概述了荷叶生物碱的化学成分及其减肥、降脂、降血压、抑菌、抗衰老等保健作用以及荷叶生物碱的提取、分离技术的研究进展,为荷叶生物碱的合理开发利用提供参考.     

海滨锦葵优良单系杂交F2代产量性状的广义遗传力及其主成分分析

以海滨锦葵优良单系杂交的F2代群体为材料,对产量性状进行了广义遗传力、相关性和主成分分析,以期为提高海滨锦葵产量提供有益信息.结果表明:F2家系单株种子产量平均值为12.84 g,比2001年在滩涂海滨锦葵自然生长群体中随机选择的80个单系的平均单株产量(4.25 g/单系)有显著提高;在10个产量性状中,广义遗传力较高的依次是结果枝比、种子成熟度、结果枝数、分枝数和果实数;6个因子(果实数、地径、结果枝数、株高、分枝数和结果枝比)与单株产量高度正相关,且这6个因子彼此高度相关;结果枝高度与上述6个因子及产量均呈显著负相关.主成分分析表明,影响单株产量的依次是结果枝数、地径、分枝数、株高和果实数.对海滨锦葵而言,地径和分枝数的增加是获得高产的关键,而结果枝高度的负选择也可显著提高种子产量.