Joint tests of contagion with applications

Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily euro zone equity returns from 2005 to 2014 shows that contagion operated mainly through higher order moment channels during the GFC and the European debt crisis, which were not necessarily detected by traditional tests based on correlations. The empirical results have important implications for pricing risk and constructing well diversified portfolios.     

快速评价海水入侵区地层渗透性实验研究

为快速评价海水入侵区不同埋深地层渗透性,减少实施常规水文地质试验对存在污染含水层的扰动,提出利用振荡试验技术确定滨海地层渗透系数。室内海水入侵砂槽物理模型中实施了注水式振荡试验,在人工潜水含水层和承压含水层中同步监测了试验主井和相邻观测井中水位响应;龙口海水入侵区地下水分层监测井中实施了提水式和注水式振荡试验;利用配线法计算了室内实验和现场实验中目标地层渗透系数。结果表明:海水入侵砂槽物理模型中实施振荡试验为滨海含水层现场利用振荡试验确定不同埋深含水层渗透系数提供了重要经验;相比于提水式振荡试验,注水式振荡试验更易于实施,激发方式(提水和注水)的不同并没有对试验结果造成明显的影响;利用振荡试验在非常短时间内(单井水位恢复时长大部分少于5 min)确定了龙口海水入侵区重要监测断面上不同埋深含水层渗透系数,实验结果准确可靠。     

堆石料动力残余变形特性试验研究

通过大型动三轴试验,对某水电站土石坝主堆石料的动力残余变形特性进行了试验研究,并结合数据探讨了沈珠江模型的适用性。分析表明沈珠江残余变形模型计算结果与实际结果有时存在较大偏差,不能很好地描述较高动应力情形下的动力残余变形全过程曲线。充分考虑振次和动应力比对残余变形的影响,对沈珠江模型进行了改进,使残余变形与振次的关系更符合实际。不同动应力和围压下堆石料的残余变形实测值和模型计算值对比表明,改进模型对残余体应变和残余剪应变均能较好地拟合。     

柔性长短桩组合型复合地基离心模型试验研究

开展了柔性长短桩组合型复合地基和传统的等长桩复合地基2组离心模型试验,研究路堤荷载下柔性长短桩组合型复合地基的加固机理。试验中路堤表面关键点处设置位移计,布设分层沉降标示点,在土层不同深度处埋置孔压传感器和土压传感器等。试验结果表明：长短桩组合型复合地基中长桩的桩土应力比明显增大,并且在总桩长相同的条件下比等长桩复合地基更利于控制总沉降和侧向位移。     

Huntington's disease,critical illness insurance and life insurance

We describe briefly a model of Huntington's disease (HD), a highly penetrant, dominantly inherited, fatal neurological disorder. Although it is a single-gene disorder, mutations are variable in their effects, depending on the number of times that the CAG trinucleotide is repeated in a certain region of the HD gene. The model covers: (a) rates of onset, depending on CAG repeat length as well as age; (b) post-onset rates of mortality; and (c) the distribution of CAG repeat lengths in the population. Using these, we study the critical illness and life insurance markets. We calculate premiums based on genetic test results that disclose the CAG repeat length, or more simply on a family history of HD. These vary widely with age and policy term; some are exceptionally high, but in a large number of cases cover could be offered within normal underwriting limits. We then consider the possible costs of adverse selection, in terms of increased premiums, under various possible moratoria on the use of genetic information, including family history. These are uniformly very small, because of the rarity of HD, but do show that the costs would be much larger in relative terms if family history could not be used in underwriting. We point out some difficulties involved in applying a moratorium that recognises simply a dichotomy between ‘carriers’ and ‘non-carriers’ of any mutation in a gene when these mutations are, in fact, very variable in their effects. These complexities suggest that restrictions on the disclosure, rather than on the use, of genetic information, if it became established as a principle, could deprive insurers of information needed for risk management even if not used in underwriting.     

不同动应力比下加筋前后砾性土的动三轴试验分析

针对加筋前后饱和砾性土填料的动力特性,开展循环荷载下饱和砾性土动三轴试验。对比分析不同动应力比下加筋作用对饱和砾性土轴向累积应变、回弹模量和动孔隙水压力等动力特性的影响,并对不同动应力比下的轴向累积应变与振次关系进行拟合分析。结果表明:加筋前后,试样的轴向累积应变均随动应力比的增大而增大;与加筋前相比,加筋后的试样轴向累积应变均有减小;加筋前后,试样的回弹模量均随动应力比的增大而增大,且加筋试样的回弹模量均大于无筋试样;随着动应力比的增大,无筋试样的动孔隙水压力减小,加筋试样动孔隙水压力变化不大。加筋前后,砾性土轴向累积应变与振次的拟合公式和拟合参数可为预测加筋砾性土在长期循环荷载作用下的累积变形提供参考。     

Random walk and efficiency tests in the Asia-Pacific foreign exchange markets: Evidence from the post-Asian currency crisis data

This paper empirically tests the random walk and efficiency hypothesis for 12 Asia-Pacific foreign exchange markets. The hypothesis is tested using individual as well as panel unit root tests and two variance-ratio tests. The study covers the high (daily) and medium (weekly) frequency post-Asian crisis spot exchange rate data from January 1998 to July 2007. The inferential outcomes do not differ substantially between the unit root tests and the variance-ratio tests when using daily data but differ significantly when using weekly data. With the daily data, both types of unit root tests identify unit root components for all the series and two variance-ratio tests provide the evidence of martingale behavior for majority of the exchange rates tested. With the weekly data, panel unit root tests identify unit root component for the exchange rates and, the unit root tests on a single series basis identify unit root component for 10 foreign exchange markets. However, the variance-ratio tests reject the martingale null for the majority of the exchange rates when using weekly data.     

湿陷性黄土与膨胀土的分级增湿变形特性试验研究

对陕西张桥的湿陷性黄土和安康的膨胀土分别进行了分级增湿变形试验。根据试验结果分析了这两种土的应力应变关系曲线、增湿变形过程中基质吸力变化特点及增湿变形类型。分析表明，其两者的增湿变形应力应变曲线形态完全不同，湿陷性黄土的应力应变曲线明显分为压缩、湿陷变形和固结压密3段，并且在湿陷变形转变为固结压密时有一个明显的转点。膨胀土的应力则随变形增加呈衰减趋势，并且在增湿变形中以体积变形为主，剪切变形较少。湿陷性黄土和膨胀土在增湿过程中基质吸力变化亦表现出明显的差异，前者随含水率明显变化，随应力变化较小，而后者随含水率和应力的增加均有较大变化。最后提出湿陷性黄土的湿陷起始应力和膨胀土的膨胀应力两个概念，进一步合理分析了两者的特征力。     

粗粒土动力特性试验成果整理方法探讨

通过对某工程４种粗粒动模具，阻尼比试验，就特性曲线的全归一化处理，Ｈａｒｄｉｎ经验公式适用性等问题了探讨。结果表明，特性曲线的全归一化处理较好的消除由于粗粒土动力试验一般固结应力范围值较大而对试验成果带来的影响；Ｈａｒｄｉｎ经验公式能够适用于粗粒土，但由于土体中占主要成份的骨架材料不同，使粗粒土阻尼比公式中的ｍ取值增大了０．６９－２．６倍。     

Locally Most Powerful and Other Rank Tests for Independence – with a Contaminated Weighted Alternative

Several authors in the literature have attempted the quantification of the concept of stochastic dependence for bivariate distribution. Two weighted rank tests for testing independence against a weighted contamination alternative is proposed and their distributional properties are studied. We also derived a locally most powerful rank test for the alternative setting. The rank tests proposed are shown to be asymptotic locally most powerful for specific distributions.