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 of dependence,market, and investment risks of a global index portfolio

This paper undertakes an in-sample and rolling-window comparative analysis of dependence, market, and portfolio investment risks on a 10-year global index portfolio of developed, emerging, and commodity markets. We draw our empirical results by fitting vine copulas (e.g., r-vines, c-vines, d-vines), IGARCH(1,1) RiskMetrics value-at-risk (VaR), and portfolio optimization methods based on risk measures such as the variance, conditional value-at-risk, conditional drawdown-at-risk, minimizing regret (Minimax), and mean absolute deviation. The empirical results indicate that all international indices tend to correlate strongly in the negative tail of the return distribution; however, emerging markets, relative to developed and commodity markets, exhibit greater dependence, market, and portfolio investment risks. The portfolio optimization shows a clear preference towards the gold commodity for investment, while Japan and Canada are found to have the highest and lowest market risk, respectively. The vine copula analysis identifies symmetry in the dependence dynamics of the global index portfolio modeled. Large VaR diversification benefits are produced at the 95% and 99% confidence levels by the modeled international index portfolio. The empirical results may appeal to international portfolio investors and risk managers for advanced portfolio management, hedging, and risk forecasting.     

环剥对大棚葡萄浆果品质的影响初报

不同时期对大棚葡萄进行结果枝和主蔓环剥,结果表明:于花后30 d 进行结果枝环剥和花后20 d 主蔓环剥表现了最佳效果,均能明显增大果粒,提高了浆果可溶性固形物含量和花青素含量,成熟期提前1 周,经济效益明显。     

不同基质生态条件对葡萄硬枝扦插的催根效应

锯末、素砂、砂壤等3种基质对葡萄硬枝扦插的催根效应是不同的锯末、素砂对插条的催根数分别比砂壤增加27％和23．9％，根的长度分别比砂壤增加34．8％和3．g％；根的粗度锯末比砂壤增加7．8％，素砂比砂壤减少9．5％；3种基质催根成活率分别为104)％，97％，94％锯末的保温性、相对含水量、通气性均优于素砂和砂壤，有利于葡萄硬技扦插催根。     

Grape vine physiology: the contribution of culture in vitro

Conclusion In the area of cell and tissue physiology, the grape vine has been a major reference material. As with all woody perennials, in vitro technologies are relatively delicate. Nevertheless, remarkable progress has produced a situation where, during the past ten years, practical application of results from in vitro work has been envisaged. Reciprocal understanding has yet to be established between scientists developing micropropagation (multiplication with conformity to type) and those using in vitro methods for variety improvement (multiplication for novelty of type). I am convinced that the future should not see one of these objectives dominating the other. On the contrary, certain technologies should be developed to ensure a framework for conformity of propagation and others to obtain greater variability with the goal of plant improvement. This will render effective the two applications considered.     

基于vine copula方法的股市组合动态VaR测度及预测模型研究

以世界十大股票市场指数为例,运用滚动Monte Carlo模拟技术,实证计算了R-vine、Dvine、C-vine及R-vine all t四种vine copula结构对投资组合的动态VaR预测值,并进一步运用严谨的Back-testing检验方法,实证对比了上述四种vine copula结构对投资组合的VaR预测能力的优劣.实证结果显示:不论是在等权重还是在mean-CVaR约束条件下,R-vine对投资组合的VaR预测效果是最好的.特别在高分位数水平下,其表现得更为突出.另外,D-vine的预测精度总体上要高于C-vine和R-vine all t的,而节点间全为t copula的R-vine all t表现相对较差.     

番茄翻秧机分秧器的设计

为了使番茄翻秧机分秧器能够适应新疆番茄品种及种植模式的需要,本文根据新疆番茄种植品种和种植模式,分析了番茄分秧机分秧器的结构。通过分秧器结构、工作原理分析了分秧器在工作过程中番茄秧的运动情况,以及分秧器的前倾角和分开角对分秧器分秧能力的影响,确定了前倾角和分开角的大小,达到适应性较好的要求,提高了分秧器分秧的能力。     

黄石地区藤本植物区系与生活型分析

黄石地区藤本植物共72种,隶属26科59属,其基本特点是:双子叶植物科属种最多,其中又以小型科属和单种科属较多,大科属较少。区系成分分析表明,热带成分居首位(35.6%),其次是世界分布(11.9%)、北温带成分(11.9%);生活型以高芽位藤本29种(40.2%)占优,其后依次为一年生藤本25种(34.7%)、地上芽藤本10种(13.9%)、地面芽藤本4种(5.6%)和地下芽藤本4种(5.6%)。     

葛根压缩饼干工艺的研究

从农民工市民化的社会管理制度范围探讨入手,分析农民工市民化社会管理制度建立及其实施的滞后性、制度体系的不完整性等问题,进而提出完善农民工市民化社会管理制度的路向和措施。     

不同扦插方法栽培葛根对产量的影响

采用目前在葛根生产上应用的双节扦插、单节平放、单节斜插3种方式培育的苗木同期栽于相同环境中进行对照实验.实验结果表明,不同的扦插育苗方式对地下部分生长总量而言没有显著差别,但在可利用率方面单节育苗(平放或斜插)都明显高于双节育苗,并且以单节平放的可利用率为最高(达93.10%).