On the forecastability of share prices on the Viennese stock exchange

In this paper the Viennese stock exchange data are analysed by using ARMA and GARCH technology. After using AIC and BIC for estimating the linear structure of the time series, to the resulting innovations a GARCH(1,1) model is fit. The resulting residuals are then tested for serial independence and constancy of its distribution to check whether the models are reasonable. Main result is that the residuals of this ARMA-GARCH(1,1)-model are reasonably iid (which is checked by BDS and classical independence tests) for index data and significantly less well-behaved for stock data. Second, there is considerable autocorrelation in the data (especially in the Viennese indices WBK and ATX) which can be exploited even with 1.25% transaction costs (which is checked by a posteriori analysis of a strategy which exploits an underlying time-varying AR(1) model), however, much higher profit can be made with 0.5% transaction costs. Furthermore, the same techniques are applied to US Standard & Poor 500 index and the results for both data sets are compared giving the result that the US-market looks much more mature than the Viennese one.Financial Support by the Institute for Advanced Studies, Vienna, and the Fonds zur Förderung der wissenschaftlichen Forschung, Vienna, Grant P 9176 is gratefully acknowledged. This paper is a slightly abbreviated version of the Research Report No. 135 by the same authors (see References), which contains many detailed plots of the results.     

中国大企业培育国际竞争力的对策—基于中外企业500强的差距分析

本文根据中国企业联合会， 中国企业家协会2002年中国企业500强和美国财富杂志2002年世界企业500强的数据，从竞争力角度分析中外企业500强存在的差距，并对如何加快培育具有国际竞争力的中国大企业提出出对策建议。     

Accounting for decarbonisation and reducing capital at risk in the S&P500

This article accounts for carbon emissions in the S&P 500 and explores the extent to which capital is at risk from decarbonising value chains. At a global level it is proving difficult to decouple carbon emissions from GDP growth. Top-down legal and regulatory arrangements envisaged by the Kyoto Protocol are practically redundant given inconsistent political commitment to mitigating global climate change and promoting sustainability. The United Nations Environment Programme (UNEP) and European Commission (EC) are promoting the role of financial markets and financial institutions as drivers of behavioural change mobilising capital allocations to decarbonise corporate activity.     

浅论《跟单信用证统一惯例》对单证业务处理相关规则的发展与影响——从UCP400到UCP600的比较分析

跟单信用证是国际贸易中最常用的支付方式,也正因为这种国际性,所以有了<跟单信用证统一惯例>的制定和它的几度变迁.在这些修订中,对于单证业务处理规则的更改始终在随着实践的发展而不断革新着,从UCP400到500再到600,银行审理单据在审单时间、审单标准以及不符点的规定上不断进步着.     

35/10kV总降压变电站电气设计与防雷保护研究

35/10kV总降压变电站是我国电网重要组成部分之一,在我国电网中占有着重要位置,本文对35/10kV总降压变电站电气设计和防雷保护的相关方案进行了研究,以期为我国35/10kV总降压变电站电气设计和防雷保护提供一些参考。     

城网10kV交联电力电缆的寿命评估模型

针对城网中的10k V交联电力电缆线路,依据制造标准试验项目的性能指标,进行了综合试验研究。建立了评估模型和试验模型,结合各项试验结果及理论分析对线路评价及风险管理等问题进行了分析,并提出了若干建议。     

110kV变电站主变压器并列运行环流分析

变压器并列运行是扩大供电容量、提升供电可靠性以及降低损耗的重要途径之一,变电站主变压器并列运行方式主要采用主-从跟踪法,需要先确定好主变压器分解位置,再调整其他变压器分解位置。本研究分析了某地变电站两台主变压器运行情况,分析了两者之间的循环电流,结果显示,并列环运行环流产生的问题是由于变压器运行问题的影响,在环流因素的影响下,变压器无法科学对负荷进行分配,增加了系统的发热量,这就给变电运行带来了安全隐患。     

10kV配电线路保护的整定计算

10kV配电线路结构特点是一致性差,如有的为用户专线,只接带一、二个用户,类似于输电线路;有的呈放射状,几十台甚至上百台变压器T接于同一条线路的各个分支上;有的线路短到几百m,有的线路长到几十km;有的线路属于最末级保护,有的线路上设有开关站或有用户变电所等。     

An information-theoretic approach for forecasting interval-valued SP500 daily returns

We develop an iterative and efficient information-theoretic estimator for forecasting interval-valued data, and use our estimator to forecast the SP500 returns up to five days ahead using moving windows. Our forecasts are based on 13 years of data. We show that our estimator is superior to its competitors under all of the common criteria that are used to evaluate forecasts of interval data. Our approach differs from other methods that are used to forecast interval data in two major ways. First, rather than applying the more traditional methods that use only certain moments of the intervals in the estimation process, our estimator uses the complete sample information. Second, our method simultaneously selects the model (or models) and infers the model’s parameters. It is an iterative approach that imposes minimal structure and statistical assumptions.     

继电保护在农村1OkV电网线路的应用

继电保护技术随着电力系统的发展而不断发展,它为电力系统运行提供了安全保障,是提高供电质量、减少事故损失最直接有效的手段.目前我国农村电网发展现状不容乐观,继电保护技术的引入为农村电网发展注入了新的活力.文中主要分析了继电保护技术在农村10kV电网线路中的应用及其应注意的问题等,以促进我国农村电网健康的发展.