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.     

When Do Qualitative Risk Disclosures Backfire? The Effects of a Mismatch in Hedge Disclosure Formats on Investors' Judgments

Disclosure standards mandate the quantitative disclosure of hedging‐instrument‐related risks but not the disclosure of hedged‐item‐related risks. We examine how a match (mismatch) in formats, caused by making quantitative (qualitative) hedged item disclosures alongside quantitative hedging instrument disclosures, affects investors' integration of information from these two related disclosures. Our first experiment varies the hedged item disclosure format (quantitative or qualitative) and the portion of risk hedged (small or large). We find that when disclosure formats are mismatched, the less comparable nature of the two disclosures caused investors to neglect the offsetting relationship when assessing net risks. As a result, risk and investment judgments were influenced by the more prominent quantitative hedging instrument disclosures. Our second experiment finds that the use of a qualitative debiaser that clarifies the relationship between the two disclosures led to the integration of information and mitigated this effect.     

浅谈参地开发中水土流失防治对策

本文通过对典型小流域内参地开发造成水土流失的分析,提出适合本区域操作的参地防治对策。     

目前“信心”尤其重要

有人说,现在房地产业已经到了冬天;有人说,房地产业就在寒冬里;还有人说,房地产的冬天即将过去.前一个时期舆论的热点话题如"拐点论"、"百日巨变论"、"断供说",简直撑破了眼球.     

关于龙滩水电站碾压混凝土坝的抗剪断强度问题

本文就龙滩水电站碾压混凝土坝的抗剪断强度进行了叙述，认为所提出各项指标是合理的，但要满足这些指标必须采取一定的措施，以确保大坝的安全度     

以质量为本振兴企业

以质量为根本，全面提高企业管理水平，最终达到提高经济效益的目的。     

西北地区节水灌溉市场与技术需求

西部开发需要大量的生态用水，从节水灌溉设备市场分析，节水灌溉专用泵阀、新型输水管材、高效低能喷微灌设备及材料的需求量很大，技术需求与亟待研究开发的关键技术和设备也很多。从西北地区水资源状况与需求看，节水灌溉市场有很大潜力。     

营销角度的特许经营及其竞争法上的思考

特许经营是一种新型的销售方式,作为企业分销系统的构成要素,能够起到降低风险,沟通生产与消费的作用。然而在实际经营过程中也会出现许多诸如指定购买与搭售、联合定价、独占经营等违反竞争法的问题。为适应不断变化的竞争形势,应从竞争法的层面上对其加以规制。     

深圳抽水蓄能电站上水库主坝坝型选择

本文着重介绍了在可研究性阶段,通过对深圳抽水蓄能电站上水库主坝设计过程中坝型选择的相关因素的分析,确定其大坝类型的过程。