改进Copula对数据拟合的方法

给出相关结构Copula、秩相关系数Spearmanρ与Kendallτ和尾部相关系数η,以及这三个关联性度量与Copula之间的关系,各个相关系数的估计方法.在一个Copula族内进行适当变换,得到新的Copula,使得能更好地拟合样本的各个相关系数.最后,以沪、深日收盘综合指数为例,讨论了二个股市波动率的相关性,建立了一个较好的数学模型.     

基于Markov-vine copula的我国网贷平台对传统金融机构风险传染效应研究

近年来,网络借贷发展迅速,并且随着互联网技术的运用和网络借贷自身所蕴含的独特风险方式,使得其局部风险更容易蔓延至整个网贷市场,有可能会迅速波及,传染到其他类型的金融市场.本文将Markov区制转换模型和vine copula相结合,用来研究我国网络借贷平台对传统金融机构的动态风险传染效应.研究结果表明:我国网络借贷平台和相应的传统金融机构在不同阶段呈现出不同的"杠杆效应";我国网络借贷平台以及相关的传统金融机构均具有较为明显的区制转换特征;比较三个阶段的情况,网络借贷平台对商业银行的风险传染效应要大于其他的传统金融机构,其次是网络借贷平台对信托业的风险传染效应;在各阶段,网络借贷平台对传统金融机构的风险传染效应不对称,下尾相关系数基本大于上尾相关系数.     

Forecasting the duration of short‐term deflation episodes

The paper proposes a simulation‐based approach to multistep probabilistic forecasting, applied for predicting the probability and duration of negative inflation. The essence of this approach is in counting runs simulated from a multivariate distribution representing the probabilistic forecasts, which enters the negative inflation regime. The marginal distributions of forecasts are estimated using the series of past forecast errors, and the joint distribution is obtained by a multivariate copula approach. This technique is applied for estimating the probability of negative inflation in China and its expected duration, with the marginal distributions computed by fitting weighted skew‐normal and two‐piece normal distributions to autoregressive moving average ex post forecast errors and using the multivariate Student t copula.     

基于条件蒙特卡罗方法的信用违约互换合约定价

多标的资产违约相关性结构的度量及其联合违约时间的模拟是信用违约互换合约定价的关键.Copula函数和蒙特卡罗模拟是解决此关键问题的有力工具,被广泛应用于信用衍生品定价.本文基于因子t-copula模型,结合条件蒙特卡罗模拟,构建了计算第7n次信用违约互换合约的条件蒙特卡罗算法.该算法能够捕捉多标的资产违约的尾部相关性,更准确地度量标的资产组合的违约风险及提高违约事件的模拟效率.数值结果表明,在考虑尾部相关性的情形下,采用重要抽样技术的JK算法和改进的JK算法是不稳定的,不能达到减方差的目的;而本文新构建的定价算法更稳定,在高斯copula和t-copula模型下,都能够有效减小估计量的方差,提高信用违约互换合约的定价精度和可靠性.     

On the Predictive Content of Autoregression Residuals: A Semiparametric,Copula‐Based Approach to Time Series Prediction

This paper proposes an adjustment of linear autoregressive conditional mean forecasts that exploits the predictive content of uncorrelated model residuals. The adjustment is motivated by non‐Gaussian characteristics of model residuals, and implemented in a semiparametric fashion by means of conditional moments of simulated bivariate distributions. A pseudo ex ante forecasting comparison is conducted for a set of 494 macroeconomic time series recently collected by Dees et al. (Journal of Applied Econometrics 2007; 22: 1–38). In total, 10,374 time series realizations are contrasted against competing short‐, medium‐ and longer‐term purely autoregressive and adjusted predictors. With regard to all forecast horizons, the adjusted predictions consistently outperform conditionally Gaussian forecasts according to cross‐sectional mean group evaluation of absolute forecast errors and directional accuracy. Copyright © 2012 John Wiley & Sons, Ltd.     

浆纱机监测系统中多道信号采集及动态显示的实现

在浆纱机监测系统中,多道信号采集及数据动态显示是一重要环节。本文以8031CPU为核心,设计并实现了一系统接口,可进行多道模拟信号采样,多路外部脉冲计数,并利用微机系统并行口进行系统接口与微机之间的数据通讯。系统接口中采用的光电隔离技术,使设备地与微机系统地分开,保证了微机系统的完备性。对经过了光电隔离器的模拟信号进行非线性校正,提高了光电隔离器输入输出的传输精度。微机系统上设计的信息动态显示窗口,可及时反映出浆纱过程的主要生产指标及其变化趋势。     

设备选型评价中的最小最小原则

本文根据系统原理,提出了设备选型评价时以设备经济寿命为设备服务年限的评价原则。     

Forecasting Hourly Peak Call Volume for a Rural Electric Cooperative Call Center

This research forecasts peak call volume of a centralized after‐hours call center for rural electric cooperatives to help the call center determine staffing levels. A Gaussian copula is used to capture the dependence among non‐normal distributions. Using a centralized call center reduces costs by approximately 75% compared to having individual call centers at each cooperative. Adding cooperatives to the centralized call center is projected to further decrease costs per member. An out‐of‐sample forecasting exercise after the call center expanded validated the model's forecast that additional cooperatives could be added without a proportional increase in the peak number of calls. Copyright © 2011 John Wiley & Sons, Ltd.     

一种高效的多副本数据持有性证明方案

为了验证云存储中服务提供商是否完整地存储了用户的数据副本,在分析支持动态数据的持有性证明方案(RDPC)的安全缺陷(无法抵抗替换和重放攻击)的基础上,对其进行了改进和扩展,提出一种基于同态哈希技术的多副本持有性证明方案。该方案能够同时对多个副本的持有性进行验证,具有抵抗替换攻击、重放攻击和伪造攻击的能力。通过对Merkel哈希树进行改进,使方案更好地支持动态数据操作,同时利用γ编码技术,使得对数据块的验证和更新等操作过程中通信的数据量更小。     

Copula熵方法及其在三变量洪水频率计算中的应用

为解决传统Copula方法在进行联合概率分布拟合过程中要先进行函数类型选择的问题,将Copula函数和最大熵原理进行耦合,通过求解具有最大熵的Copula方程,求得二维联合分布函数,即Copula熵方法。用求得的Copula函数对洪水事件的3个相关变量(洪峰流量、洪水总量和洪水历时)进行两两配对的二维联合分布拟合,并利用Gibbs采样方法和Copula函数实现三变量洪水事件的随机模拟。以淮河鲁台子水文站的实测洪水资料为研究对象,进行实例分析,并通过拟合优度的计算,证明Copula熵方法对多维相关变量概率拟合的有效性以及Gibbs采样方法在三变量洪水事件模拟过程中的有效性。