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.     

跨入新世纪的石油、能源和经济发展记"2001·北京--世纪石油论坛"

“2001·北京——世纪石油论坛”于10月23～24日在北京举行。论坛由国家经贸委主办,中国石油天然气集团公司、中国石油化工集团公司、中国海洋石油总公司和中国化工进出口总公司协办,国家经贸委经济研究中心和3E信息咨询公司承办。这是在“9·11”恐     

新疆伊犁托海水电站拱坝坝体变形监测分析

根据托海拱坝5号坝段、7号坝段例垂线实测资料分析，说明了新疆寒冷地区坝体采取聚胺脂喷涂施工措施后对坝体变形的影响，以及右坝肩渗漏对右坝肩岩体的影响，分析结果为托海水电站通过国家电力公司大坝安全监察中心大坝安全首次定检提供了科学依据。     

征占用林地生态公益林价值评估的探讨

国家重点工程建设常常需要征占用生态公益林的林地.在进行补偿时,如何评估此生态公益林林木的价值呢?不同评估方法,其评估价值有很大的差异.本文将征占用林地的天然生态公益林的评估价值定为以培育中径材为目标的同类林分用材林评估价值的三倍至五倍.作者认为这样的评估价值最接近现行市场交易价,能够为征占用单位和林木所有者所接受.     

加大关键性领域改革力度奠定经济发展体制基础

2005年,是我国改革与发展继往开来的重要年份。我国将要完成“十五”规划提出的各项主要任务,并向全面建设小康社会的第二个五年迈进;同时,加入世贸组织的三年过渡期基本结束,开始跨进范围更广、层次更深的开放型经济。2005年能否保持经济平稳较快增长,不仅关乎年度宏观经济稳定,而且涉及能否为“十一五”期间奠定坚实的、可持续的基础,甚至将影响到整个“十一五”时期的经济走势。因此,今年经济工作不仅应实现年度宏观调控的四大目标(经济增长、物价稳定、就业增加和国际收支基本平衡),而且还要为延长经济上升期创造有利条件。一、目前我国…     

票据无权代理追认制度微探

票据行为是一种法律行为，自然也可以以代理方式为之。民法上有关代理制度的规则一般也都可以适用于票据代理行为。但由于民法与商事法的立法旨趣各有侧重，为促进票据流通、保障交易安全，票据代理不能照搬民法上关于代理制度的规定。票据的无权代理是票据代理中一个非常典型的问题，与民法上的无权代理区别很大，其中存在的问题很多。对于票据的无权代理中是否应当赋予本人以追认权，多数大陆法系国家的立法例与英美法系国家之立法例有所不同。     

Application of a multi-channel system for continuous monitoring and an early warning system.

A multi-channel continuous toxicity monitoring system developed in our laboratory, based on two-stage mini-bioreactors, was successfully implemented in the form of computer-based data acquisition. The multi-channel system consists of a series of a two-stage minibioreactor systems connected by a fiber optic probe to a luminometer, and uses genetically engineered bioluminescent bacteria for the detection of the potential toxicity from the soluble chemicals. This system can be stably and continuously operated due to the separation of the culture reactor from the test reactor and accomplish easy and long-term monitoring without system shut down by abrupt inflows of severe polluting chemicals. Four different recombinant bioluminescent bacteria were used in different channels so that the modes of the samples toxicities can be reasonably identified and evaluated based upon the response signature of each channel. The bioluminescent signatures were delivered from four channels by switching one at once, while the data is automatically logged to an IBM compatible computer. We also achieved the enhancement of the system through the manipulation of the dilution rate and the use of thermo-lux fusion strains. Finally, this system is now being implemented to a drinking water reservoir and river for remote sensing as an early warning system.     

水轮机过流部件磨蚀问题的研究与防护

针对我国高含沙水流中运行的水轮机组的过流部件的磨蚀这个长期存在的疑难问题，开展研究工作，在分析水轮机过流部件泥沙磨损、空化破坏各自的磨损机理、特点、影响因素、预测模型等的基础上，总结出水轮机过流部件的磨蚀主要是泥沙磨损、空化破坏及它们的联合作用，提出水轮机过流部件磨蚀的主要防护措施，为最终解决水轮机过流部件磨蚀问题提供了理论依据。图6幅，表1个。     

各向加权异性有限元法在不可压粘性流动计算中的应用

本文利用各向异性张力有限单元，考虑到其独特的性质，提出了一种各向加权异性的算法，即在不同方向采用不同连续性的插值函数，然后再在原连续性较弱的方向以连续性较强的插值函数计算，最后把两次计算的结果加权处理。这种方法可以适应两个方向连续性要求不同或相同的各种情况，即克服了一般各向异性张力有限单元的局限性，又大大减少了存贮量和计算量。     

对洪水分级的浅见

洪水的等级划分应考虑流量、水位、防洪能力及灾害等因素,综合这些因素把洪水分成5个等级。1、2级洪水,洪水流量小,水位低,基本无灾;3级洪水,洪水流量较大或水位较高,有一定灾害;4级洪水,为大洪水或高水位,有较大灾害;5级洪水,为特大洪水或高水位,灾情严重。