Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.

We propose three Realized-GARCH-Kernel-type models which do not make the distribution assumptions on the return disturbance terms. We use this type of model to predict the return volatilities of the 50ETF in China and the S&P500 index in the U.S. The semiparametric kernel density estimator of our models, which captures the skewness, asymmetry and fat-tail of financial assets, performs well both statistically and economically. Our models have more predictive power than other eight comparable volatility models that need to pre-specify the distribution of the disturbance terms. Our results are robust to eight measures of realized volatility. Using option straddle strategies, we show that our models generate larger trading profits and greater Sharpe ratios than the other competing models.     

Effect of monumental heritage sites on hotel room pricing

This study measures the effect of historic monuments on hotel room pricing in Seville, Spain. A hedonic model including classic explanatory variables and the city’s heritage site was specified to explain hotel room rates. Variables related with heritage sites were determined to explain room rates and an iso-values map was obtained for the rates of a ‘standard hotel’ to show the impact of historic buildings on hotel rates. The maps display the area of influence of the heritage site. These results may be of interest to entrepreneurs, consumers, or the administration, among others, due to it permits them to determine which location maximizes rates.     

城镇化、人口密度与居民消费率

利用地市级面板数据对城市人口规模、城市人口密度与居民消费率的关联展开研究。结果显示,城市人口规模的扩大并不能提升居民消费率,城市人口密度的增大才能提升居民消费率。因此,只有逐步改变过去“摊大饼”式、粗放扩张的城镇化发展模式,着力增强城市的人口吸纳能力,提高城市人口密度,降低运人的成本、运物的成本和知识传播的成本,才能充分发挥城市的集聚效应对居民消费率的提升作用。     

香蒲叶保暖性能的初步研究

香蒲植株是水边生长的一种湿地植物,叶子细长、中空,叶子密度小,经测试仅为0.073g/ml,叶子中有大量分隔开的室腔,其保暖性能优良,在不易制取纤维的情况下,可以利用其质轻、保暖的特点进行合理应用。     

改善方便米粉入味特性的工艺研究

以大米为原料,对波纹米粉的制作工艺进行了研究。结果表明,根据不同米质通过调节挤压参数使粉丝碘呈色度（IOD）控制在1．3～1．6品质最好。米质要求直链淀粉含量在18％～20％最好,不同的米质可以通过品种配比调节或添加玉米淀粉、马铃薯淀粉来达到相应效果。     

桂北地区乡村聚落空间演变特征及格局优化

[目的]由于新型城镇化的不断深入,中国传统乡村聚落空间演变加剧并面临重构,研究桂北地区乡村聚落空间演变特征,为丰富乡村聚落的市域空间格局地理信息系统,以及对广西乡村发展和乡村聚落的转型提供理论参考和实践借鉴。[方法]采用核密度估计法及GIS空间分析方法,以2001年、2006年、2011年、2016年为时间节点,对表征乡村聚落空间规模的聚落人口密度进行测算与分析,通过对比分析确定桂北地区近15年乡村聚落在空间上的演变特征。[结果](1) 2001—2016年桂北地区乡村聚落分布密度总体呈下降趋势,且下降遵循"由西向东"的规律,即西部地区分布密度先下降,继而中部地区下降,最后是东部地区分布密度下降;(2)聚落的分布特点由全区域范围内规模分布趋向于集中分布,最终呈"C"状集中分布在东部地区,即桂林和贺州两市。[结论]桂北地区乡村聚落空间格局存在聚落密度依然较大、乡村建设"重西部,轻东部"、演化周期长的问题。基于此提出优化策略:优化桂北地区乡村聚落空间格局,密度升"级";加强"C"区建设;优先建设小城镇,促进就地城镇化。     

Population Density,Pollution and Growth

We analyze a growth model where the damage of pollution depends on population density and the character of pollution. From the steady state rates of change, in the social optimum, of a neoclassical and a semi-endogenous growth model respectively, we conclude that the less responsive the damage of pollution is to population density, the more likely is a development path with positive growth in consumption per capita and declining perceived pollution per capita. Non-awareness of the character of pollution may thus give suboptimal solutions. In particular, the commonly held view that pollution is a pure public bad may lead to growth-rate targets that are lower than optimal. Finally, we find that the character of pollution does not influence the transitional dynamics qualitatively.     

The Misspecification of Arma Models

The object of this paper is to assess the effects of fitting a model of the wrong order to a time series which is generated by an autoregressive moving–average process. The method is to examine the spectral density functions which are indicated by the probability limits of the least–squares estimators of the misspecified models. The least–squares estimates are asymptotically equivalent to the maximum–likelihood estimates.
The experiments reported in this paper suggest that, if the spectral density function of the data–generating process displays prominent modes, then there is a danger of being seriously misled about the nature of the process whenever one fits a model with too few parameters. It also transpires that, in such cases, the criterion function is liable to have several local minima.
Autoregressive moving–average models are being used increasingly in object detection applications where the spectrum of a signal serves to identify the nature of its source. Our results suggest that radical misidentifications can result from the use of incorrectly parametrised models.     

关于铅锌原矿Pb、Zn品位分布状况的研究

铅锌矿所采出原矿的Pb、Zn品位在出矿随机取样分析时所得到的检测结果的统计分布状况同时也反映了矿产资源在一定的地质条件下所生成的地质原矿金属品位的分布。根据统计资料对原矿的Pb、Zn品位分布状况进行研究，目的就是找出其分布规律，以建立其分布的概率密度函数，结合探矿时矿体的资料科学地计算出原矿Pb、Zn品位分布区间的概率。以便更准确地推断矿产资料储有量。     

Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models

Many static and dynamic models exist to forecast Value-at-Risk and other quantile-related metrics used in financial risk management. Industry practice favours simpler, static models such as historical simulation or its variants. Most academic research focuses on dynamic models in the GARCH family. While numerous studies examine the accuracy of multivariate models for forecasting risk metrics, there is little research on accurately predicting the entire multivariate distribution. However, this is an essential element of asset pricing or portfolio optimization problems having non-analytic solutions. We approach this highly complex problem using various proper multivariate scoring rules to evaluate forecasts of eight-dimensional multivariate distributions: exchange rates, interest rates and commodity futures. This way, we test the performance of static models, namely, empirical distribution functions and a new factor-quantile model with commonly used dynamic models in the asymmetric multivariate GARCH class.