Non‐linear forecasts of stock returns

Following recent non‐linear extensions of the present‐value model, this paper examines the out‐of‐sample forecast performance of two parametric and two non‐parametric nonlinear models of stock returns. The parametric models include the standard regime switching and the Markov regime switching, whereas the non‐parametric are the nearest‐neighbour and the artificial neural network models. We focused on the US stock market using annual observations spanning the period 1872–1999. Evaluation of forecasts was based on two criteria, namely forecast accuracy and forecast encompassing. In terms of accuracy, the Markov and the artificial neural network models produce at least as accurate forecasts as the other models. In terms of encompassing, the Markov model outperforms all the others. Overall, both criteria suggest that the Markov regime switching model is the most preferable non‐linear empirical extension of the present‐value model for out‐of‐sample stock return forecasting. Copyright © 2003 John Wiley & Sons, Ltd.     

Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting

This paper offers strong further empirical evidence to support the intrinsic bubble model of stock prices, developed by Froot and Obstfeld (American Economic Review, 1991), in two ways. First, our results suggest that there is a long‐run nonlinear relationship between stock prices and dividends for the US stock market during the period 1871–1996. Second, we find that the out‐of‐sample forecasting performance of the intrinsic bubbles model is significantly better than the performance of two alternatives, namely the random walk and the rational bubbles model. Copyright © 2004 John Wiley & Sons, Ltd.     

An interplanetary shock traced by planetary auroral storms from the Sun to Saturn

A relationship between solar activity and aurorae on Earth was postulated long before space probes directly detected plasma propagating outwards from the Sun. Violent solar eruption events trigger interplanetary shocks that compress Earth's magnetosphere, leading to increased energetic particle precipitation into the ionosphere and subsequent auroral storms. Monitoring shocks is now part of the 'Space Weather' forecast programme aimed at predicting solar-activity-related environmental hazards. The outer planets also experience aurorae, and here we report the discovery of a strong transient polar emission on Saturn, tentatively attributed to the passage of an interplanetary shock--and ultimately to a series of solar coronal mass ejection (CME) events. We could trace the shock-triggered events from Earth, where auroral storms were recorded, to Jupiter, where the auroral activity was strongly enhanced, and to Saturn, where it activated the unusual polar source. This establishes that shocks retain their properties and their ability to trigger planetary auroral activity throughout the Solar System. Our results also reveal differences in the planetary auroral responses on the passing shock, especially in their latitudinal and local time dependences.     

柑橘果皮生理性病变的发生与控制

对柑橘发生的几种常见生理性果皮病变,包括褐斑病、油斑病、果斑等做了简要综述;描述了其在田间和采后的主要病征;对发病机制、影响因素以及各病变间的相互联系与区别进行了阐述;对具体病变的现有控制措耗做了细致归纳;为规范柑橘果皮生理性病变的分类,明确发病机理,研究有效的控制及防治措施等提供参考．