Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations

This paper provides clear‐cut evidence that the out‐of‐sample VaR (value‐at‐risk) forecasting performance of alternative parametric volatility models, like EGARCH (exponential general autoregressive conditional heteroskedasticity) or GARCH, and Markov regime‐switching models, can be considerably improved if they are combined with skewed distributions of asset return innovations. The performance of these models is found to be similar to that of the EVT (extreme value theory) approach. The performance of the latter approach can also be improved if asset return innovations are assumed to be skewed distributed. The performance of the Markov regime‐switching model is considerably improved if this model allows for EGARCH effects, for all different volatility regimes considered. Copyright © 2014 John Wiley & Sons, Ltd.     

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.     

Exploring Survey‐Based Inflation Forecasts

This paper first shows that survey‐based expectations (SBE) outperform standard time series models in US quarterly inflation out‐of‐sample prediction and that the term structure of survey‐based inflation forecasts has predictive power over the path of future inflation changes. It then proposes some empirical explanations for the forecasting success of survey‐based inflation expectations. We show that SBE pool a large amount of heterogeneous information on inflation expectations and react more flexibly and accurately to macro conditions both contemporaneously and dynamically. We illustrate the flexibility of SBE forecasts in the context of the 2008 financial crisis. Copyright © 2011 John Wiley & Sons, Ltd.     

Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models

This paper uses the dynamic factor model framework, which accommodates a large cross‐section of macroeconomic time series, for forecasting regional house price inflation. In this study, we forecast house price inflation for five metropolitan areas of South Africa using principal components obtained from 282 quarterly macroeconomic time series in the period 1980:1 to 2006:4. The results, based on the root mean square errors of one to four quarters ahead out‐of‐sample forecasts over the period 2001:1 to 2006:4 indicate that, in the majority of the cases, the Dynamic Factor Model statistically outperforms the vector autoregressive models, using both the classical and the Bayesian treatments. We also consider spatial and non‐spatial specifications. Our results indicate that macroeconomic fundamentals in forecasting house price inflation are important. Copyright © 2010 John Wiley & Sons, Ltd.     

What do numerical (climate) models really represent?

The translation of a mathematical model into a numerical one employs various modifications in order to make the model accessible for computation. Such modifications include discretizations, approximations, heuristic assumptions, and other methods. The paper investigates the divergent styles of mathematical and numerical models in the case of a specific piece of code in a current atmospheric model. Cognizance of these modifications means that the question of the role and function of scientific models has to be reworked. Neither are numerical models pure intermediaries between theory and data, nor are they autonomous tools of inquiry. Instead, theory and data are transformed into a new symbolic form of research due to the fact that computation has become an essential requirement for every scientific practice. Therefore the question is posed: What do numerical (climate) models really represent?     

虚拟现实城市模型的快速生成算法研究

在城市规划方面应用虚拟现实方法，首先要建立三维城市模型。在本文所提供的方法中，建筑物的几何特征由很精确的CAD图表示。并且有手工的纹理或真实图像贴在面上和建筑物的屋顶。高度数据是通过航空激光扫描和已有的地面建筑规划合成，通过集成这些不同类型的信息来自动地获取数据。通过纹理处理来生成虚拟现实城市模型，从而获得真实感图像。因此，快速获取三维城市GIS是可行的。     

向量自回归模型参数估计矩阵的渐近分布

讨论了向量自回归模型参数的估计矩阵П^、Ω^的渐近分布，给出并证明了两个相应的结论．     

Optimization of strand and final electromagnetic stirrers of round bloom casters with multiple sections

Strand electromagnetic stirring (S-EMS) and final electromagnetic stirring (F-EMS) are the main methods used to improve the center porosity and segregation for round blooms. To optimize the stirring conditions, nail shooting tests were conducted for three sections of large round blooms with diameters of ?380 mm, ?450 mm, and ?600 mm. Acid leaching and sulfur print tests were used to investigate the shell thickness. Based on the results of nail shooting tests, a mathematical model of solidification was established, and the variation of shell thickness and the central solid fraction were exactly calculated by the model. By taking all sections into account, the locations of S-EMS and F-EMS were optimized for each section. In the results, the macro-segregation of various sections is improved after the locations of S-EMS and F-EMS systems are changed.     

一种多敏感空指针引用错误的静态检测方法

空指针引用错误是一种常见的、难以发现和避免的程序错误。针对该错误,结合传统静态分析方法和符号执行方法,提出一种过程内流敏感、路径敏感和过程间上下文敏感的多敏感静态分析方法。对全局指针、局部指针以及函数的指针类参数进行建模,对指针指向地址进行简化分类。在函数间传递指针的指向状态,在函数内遍历路径,使用约束求解的方式判定路径可达性,当函数分析结束后,在退出点进行指针状态信息合并,以减少漏报和误报。在此基础上,使用人工标注错误触发条件的方式进一步提高分析效率,减少漏报和误报。实验证明,该方法能够高效地检测出各类空指针引用错误。     

螺旋槽盘形铣刀数学模型的建立

采用分析计算法详细分析并建立了螺旋槽盘形铣刀的数学模型 ,并在此基础上用 Visual Basic语言编写了螺旋槽盘形铣刀刃形参数化设计及绘图软件 ,大大提高了螺旋槽盘形铣刀的参数化计算精度和设计效率。