Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect

This paper proposes a novel extension of log and exponential GARCH models, where time-varying parameters are approximated by orthogonal polynomial systems. These expansions enable us to add and study the effects of market-wide and external international shocks on the volatility forecasts and provide a flexible mechanism to capture various dynamics of the parameters. We examine the performance of the new model in both theoretical and empirical analysis. We investigate the asymptotic properties of the quasi-maximum likelihood estimators under mild conditions. The small-sample behavior of the estimators is studied via Monte Carlo simulation. The performance of the proposed models, in terms of accuracy of both volatility estimation and Value-at-Risk forecasts, is assessed in an empirical study of a set of major stock market indices. The results support the proposed specifications with respect to the corresponding constant-parameters models and to other time-varying parameter models.     

Fuel economy gaps within and across garages: A bivariate random parameters seemingly unrelated regression approach

The key objective of this study is to investigate the interrelationship between fuel economy gaps and to quantify the differential effects of several factors on fuel economy gaps of vehicles operated by the same garage. By using a unique fuel economy database (fueleconomy.gov), users’ self-reported fuel economy estimates and government’s fuel economy ratings are analyzed for more than 7000 garages across the United States. The empirical analysis, nonetheless, is complicated owing to the presence of important methodological concerns including potential interrelationship between vehicles within the same garage and unobserved heterogeneity. To address these concerns, bivariate seemingly unrelated fixed and random parameter models are presented. With government’s test cycle ratings tending to over-estimate the actual on-road fuel economy, a significant variation is observed in the fuel economy gaps for the two vehicles across garages. A wide variety of factors such as driving style, fuel economy calculation method, and several vehicle-specific characteristics are considered. Drivers who drive for maximum gas mileage or drives with the traffic flow have greater on-road fuel economy relative to the government’s ratings. Contrarily, volatile drivers have smaller on-road fuel economy relative to the official ratings. Compared to the previous findings, our analysis suggests that the relationship between fuel type and fuel economy gaps is complex and not unidirectional. Regarding several vehicle and manufacturer related variables, the effects do not just significantly vary in magnitude but also in the direction, underscoring the importance of accounting for within-garage correlation and unobserved heterogeneity for making reliable inferences.     

Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices,stocks and commodities

The short-lived arbitrage model has been shown to significantly improve in-sample option pricing fit relative to the Black–Scholes model. Motivated by this model, we imply both volatility and virtual interest rates to adjust minimum variance hedge ratios. Using several error metrics, we find that the hedging model significantly outperforms the traditional delta hedge and a current benchmark hedge based on the practitioner Black–Scholes model. Our applications include hedges of index options, individual stock options and commodity futures options. Hedges on gold and silver are especially sensitive to virtual interest rates.     

水泥混凝土路面的新型纹理参数研究

新型路面纹理化技术相较于一般刻槽技术可提供更优的路面抗滑能力.为确定合理的纹理参数,通过自主研发加工模具制备纹理化水泥试件,采用正交试验分别研究各纹理参数对水泥路面抗滑性能与行车稳定性的影响规律,最终确定优化的纹理参数组合.结果表明:研发的纹理化试验模具可较精确制作目标参数下的水泥板纹理路面试件;构造深度和轮胎接触应力指标可以较好表征水泥路面抗滑性能,构造深度与应力集中分布度主要受纹理深度的影响,随纹理深度增大呈增大趋势;与行车稳定性密切相关的转向阻力矩指标主要受刀组间距影响,随刀组间距呈先增后减的趋势;通过各因素均衡比选,纹理参数组合优选方案为纹理宽度8 mm,纹理深度1.5 mm,刀组间距15 m m.     

Heterogeneous expectations,indeterminacy, and postwar US business cycles

This paper estimates a New Keynesian model extended to include heterogeneous expectations: consumers and firms form either rational or boundedly-rational expectations. The inclusion of heterogeneous expectations alters the determinacy properties of the model, with the details of expectations potentially becoming more influential than the Taylor principle for equilibrium stability.The model is estimated with Bayesian techniques, using rolling windows and allowing the parameters to fall both in the determinacy and indeterminacy regions. The estimates reveal large shares of agents who depart from rational expectations. Heterogeneous expectations are decisively preferred by the data everywhere in the sample.Finally, the paper revisits the narrative that sees postwar US macroeconomic data as consistent with indeterminacy in the pre-1979 sample, with a switch to determinacy starting in the early 1980s, and it shows that it is overall robust to inclusion of heterogeneous expectations.     

VFP中参数传递机制解析

在程序调用的过程中经常出现参数传递,能否正确使用参数传递会影响程序的返回结果。VFP中参数传递的方式有两种:按值传递和按引用(地址)传递,掌握这两种参数传递方式可以更好的理解程序调用之间数据的传递,提高编程效率。     

污水处理厂脱氮除磷工艺的运行控制

结合工程实例,针对污水处理厂的脱氮除磷工艺运行问题进行了探讨．通过优化氧化沟的工艺参数,提高了氧化沟的处理效果,改善了二沉池出水水质。     

The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR

The aim of this paper is to gauge the importance of foreign demand, supply and interest rate shocks on the UK economy and assess how their role has changed over time. To that end we devise a time-varying factor augmented VAR model that captures the relationship between 17 industrialised countries and the UK and accounts for any temporal evolution in this relationship. The response of UK macroeconomic variables to a foreign interest rate shock is estimated to have changed significantly since the early 1990s. International demand shocks play an important role in driving World and UK real activity, especially during the recent recession.     

Does credit composition matter for current account dynamics? Evidence from Turkey

Based on a dynamic approach using the Kalman filter we depict effects of time-varying interactions between different components of credit stock on the current account in the Turkish Economy for the period 2002Q3–2014Q3. We decompose the credit stock into consumer and non-financial corporate sector credit and show empirically that both types of credit stock have negative effects on the current account dynamics.