Can GARCH-class models capture long memory in WTI crude oil markets?

This paper investigates the issue whether GARCH-type models can well capture the long memory widely existed in the volatility of WTI crude oil returns. In this frame, we model the volatility of spot and futures returns employing several GARCH-class models. Then, using two non-parametric methods, detrended fluctuation analysis (DFA) and rescaled range analysis (R/S), we compare the long memory properties of conditional volatility series obtained from GARCH-class models to that of actual volatility series. Our results show that GARCH-class models can well capture the long memory properties for the time scale larger than a year. However, for the time scale smaller than a year, the GARCH-class models are misspecified.     

在线拍卖数据价格敏感度量化实证研究

近年来,以C2C为主要形式的中国网络购物发展迅速,价格成为影响网上消费者购物决策行为的主要因素之一,如何对消费者价格敏感度进行量化逐渐成为关注的焦点。以淘宝网一口价数据为样本,实证研究了网购用户价格敏感度的量化问题,进行了商品价格与信用度偏相关分析,旨在为商品定价提供了建议。     

Eliciting and estimating reservation price: A semi-compensatory approach

This study proposes a two-stage method to elicit consumers' price acceptability range. The method combines a conjunctive stage to elicit price acceptability limits with a utility-based stage to choose a preferred product variation. The method is efficient in choice situations entailing many multi-attribute product variations under partial information conditions. A semi-compensatory model complements the method by jointly representing the conjunctive stage with multiple ordered-response models and the choice stage with a multinomial logit model. A case study of ceiling reservation price (CRP) elicitation for students' rental apartment choice shows (i) CRP distribution for different product variations, (ii) model estimation unraveling CRP determinants, and (iii) linkage between CRP and transaction price.     

新型X频段六端口测速测距雷达的设计与仿真

介绍了六端口测速测距基本原理,设计了X频段的微带六端口结,采用ADS软件搭建 六端口测速测距雷达系统,结合六端口结的测量数据进行仿真,结果表明该雷达系统具有较 高的测量精度和工作性能,具有重要的研究价值。     

论我国国家赔偿法的归责原则

《国家赔偿法》的制定与完善可以说是我国民主与法治进程中具有重要意义的标志性成果之一,国家赔偿法的一项核心内容就是归责原则,尽管目前我国新修订的《国家赔偿法》中的归责原则已从单一的违法归责原则转向二元的违法归责与结果归责相结合原则,但是依然存在着较多的缺陷与不足。完善我国国国家赔偿法的归责原则,还需深入研究与探讨。     

双参考价格范围的价格判断模型构建

参考价格是消费者判断目标产品价格的依据,参考价格的形成模型有点模型、范围模型、范围频率模型等。这些模型都是建立在正常的消费环境和消费心理基础上,然而面对非正常的消费环境,消费者是如何进行目标产品价格判断的呢？文章将在回顾参考价格模型及价格判断模型的基础上,试图构建双参考价格范围的价格判断模型,以模拟消费者在正常心理和贪图便宜的非正常心理作用下的价格判断过程。     

论图书馆在构筑学习型城市中的作用

知识经济时代,图书馆应充分发挥馆藏资源优势,拓展服务领域,强化宣传服务,在构筑学习型城市中发 挥积极的作用。     

Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type

Stochastic volatility models of the Ornstein-Uhlenbeck type possess authentic capability of capturing some stylized features of financial time series. In this work we investigate this class of models from the viewpoint of derivative asset analysis. We discuss topics related to the incompleteness of this type of markets. In particular, for structure preserving martingale measures, we derive the price of simple European-style contracts in closed form. Furthermore, the range of viable prices is determined and an empirical application is presented.     

Arbitrage with Fractional Brownian Motion

Fractional Brownian motion has been suggested as a model for the movement of log share prices which would allow long–range dependence between returns on different days. While this is true, it also allows arbitrage opportunities, which we demonstrate both indirectly and by constructing such an arbitrage. Nonetheless, it is possible by looking at a process similar to the fractional Brownian motion to model long–range dependence of returns while avoiding arbitrage.     

基于一维距离像序列的雷达目标微动参数估计

雷达目标微动参数估计是微动特征用于目标识别必须首先解决的一个问题。以典型的 转动模型为例,分析了微动对一维距离像的影响,推导了不同情况下微动补偿需满足的精度 要求,提出了利用自相关法、峰谷值检测法及单脉冲测角原理联合估计微动参数。仿真实验 验证了所提算法在信噪比为-5 dB时仍有效。