Volatility forecasting: long memory,regime switching and heteroscedasticity

In this article, we account for the first time for long memory, regime switching and the conditional time-varying volatility of volatility (heteroscedasticity) to model and forecast market volatility using the heterogeneous autoregressive model of realized volatility (HAR-RV) and its extensions. We present several interesting and notable findings. First, existing models exhibit significant nonlinearity and clustering, which provide empirical evidence on the benefit of introducing regime switching and heteroscedasticity. Second, out-of-sample results indicate that combining regime switching and heteroscedasticity can substantially improve predictive power from a statistical viewpoint. More specifically, our proposed models generally exhibit higher forecasting accuracy. Third, these results are widely consistent across a variety of robustness tests such as different forecasting windows, forecasting models, realized measures, and stock markets. Consequently, this study sheds new light on forecasting future volatility.     

Delphi中DDE的机制

阐明Delphi中DDE的机制和DDE的会话特性，给出完成DDE的实例。     

Measuring misleading information in IPO prospectuses

Review of Quantitative Finance and Accounting - Newly public firms may provide misleading information about their business plans in their initial public offering (IPO) prospectuses. Using textual...     

U形生产线在装配生产中的优化

本文针对制造厂及装配厂的个性化的批量产品订单,结合精益生产的理念,运用U形生产线进行优化生产,提高生产效率,同时采用多工位的布置方式,以满足不同时间不同批量的需求,减少库存。     

古代家具的装饰图案的研究

我国纹饰的主题,主要是以动物和几何图形的纹饰为主.中国古典家具装饰图案构图活泼自然,热烈而有生气,无论其题材是动物、植物、花鸟、人物、自然山水,还是各式几何纹样,都具有强烈的动感和生命里,与家具的造型和结构形成鲜明对比,相得益彰,是体现中国古典家具卓越成就和艺术水平的重要组成部分.其中最为出众的是明清两代的家具装饰图案,至今有些明清时期的家具还完整的保存于世.为我们研究古代家具提供了宝贵的资料.     

鄱阳湖生态经济区承接东部加工贸易转移的SWOT分析

随着发达地区生产要素成本的上升,传统产业从发达地区向欠发达地区转移的趋势日益突出。鄱阳湖生态经济区作为江西的核心区域,是江西承接东部加工贸易梯度转移的重要移入区。文章分析了鄱阳湖生态经济区承接加工贸易转移的优势（S）、劣势（W）、机遇（O）以及挑战（T）,为该地区更好地吸引产业转移,充分利用产业转移带来的资金、技术、人才提出了相关建议。     

秦顺全：20座大桥“铺就”院士路

“我只是领了个头而已。” 24岁，进入中铁大桥局开始了自己的“造桥梦”；白沙洲大桥、南京大胜关长江大桥、天兴洲长江大桥……23年来，他组织设计建造的20座大桥傲然屹立，获得的国家级奖项不胜枚举。46岁，就成为中周工程院桥梁设计方面的第七位院士。     

智能变电站与常规变电站技术与经济对比分析

为推动智能电网发展,需要做好智能变电站与常规变电站技术经济对比分析。从智能变电站与常规变电站的技术方案、投资情况等方面进行了全面分析,按照全寿命周期费用对智能变电站的投资经济性进行了分析,对未来智能变电站的造价变化趋势进行了预测。     

浅谈色彩心理

色彩心理从视觉开始,要经过知觉、情感、记忆、思想、象征等一系列复杂的反应与变化.     

Economic policy uncertainty,CDS spreads,and CDS liquidity provision

Using a news-based index of economic policy uncertainty (EPU), we find that EPU is positively associated with credit default swap (CDS) spreads and negatively associated with the number of liquidity providers in the CDS market. A 10% increase in EPU leads to an 8.4% increase in CDS spreads and a 4.0% decrease in the number of liquidity providers. Furthermore, the effects of EPU are persistent and robust after controlling for macroeconomic variables. Our results are also robust to different econometric methodologies. Overall, our findings suggest that, when EPU is high, investors find credit protection more costly and difficult to purchase.