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.     

网页设计中的Flash应用浅析

随着电脑技术的发展,网络动画已经成为越来越多的人们所关注的一种动画发展的趋势。可以说,通过Flash进行网页设计并建设网站,开创了多媒体效果的网页或整个多媒体网站的新潮流,因此网页动画的制作是网页设计的重心所在,怎样创作精彩的动画对于网站设计相当重要。     

半导体存储器及发展趋势

半导体存储器的容量和速度决策着计算机系统运行速度。目前CPU芯片18个月一更新，为了赶上这个速度，半导体存储器的发展也日新月异。     

Memory recall errors in retrospective surveys: A reverse record check study

This paper reports on a study to compare self-reports during an interview with staff who attended a University health centre in Turkey, with the records of visits to the same health centre over the previous 12 months. Design of the study reflects the effects of importance of the event, duration since the event, frequency of the occurrence of the event, measurement scale of the event, and bounded and unbounded recalling. In order to assess the extent of recall error, responses to retrospective questions on health centre visits are compared with administrative records. Statistical models are proposed for short and long term human memory recall error effects on responses.     

互联网行为管理系统(BCS)中精简TCP/IP的实现

文章介绍了对防火墙通用TCP/IP实现的修改,经修改过的TCP/IP实现将在代码量、协议的完备性、内存的开销、总体性能方面得到提高。     

Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks

Tests of unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989), we observe that our results might be consistent with those in Perron (1989) when testing the nulls of trend-stationarity or a unit-root. However, we also observe that fractionally integrated hypotheses may be plausible alternatives in the context of structural breaks at a known period of time. Final version received: August 2000/Final version accepted: August 2001 RID="*" ID="*"  The author gratefully acknowledges the financial support from the European TMR grant No. ERBFMRX-CT-98-0213. Comments of two anonymous referees are also acknowledged.     

Long memory in volatilities of German stock returns

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by applying a method using the difference of the classical log-periodogram regression estimator for the memory parameter and of the tapered periodogram based estimator. Both estimators give similar values for the memory parameter for each series and this indicates long memory. To support our findings we apply also a methodology using the sample variance and a wavelet based estimator to the data. Also these two methods show clear evidence of long-range dependence in the volatilities of German stock returns.First version received: December 2001/Final version received: March 2003The computational assistance of Eleni Mitropoulou and Björn Stollenwerck as well as the helpful comments of two unknown referees are gratefully acknowledged. Research supported by Deutsche Forschungsgemeinschaft under SFB 475. Stock returns were obtained from Deutsche Finanzdatenbank (DFDB), Karlsruhe.     

“景观记忆”在城市文化景观设计中的 应用

以文化遗产景观“记忆”为线索，探讨文化遗产景 观保护的设计应用与方法。提出阐述了文化景观“记忆三元 素”及其在文化遗产景观感受中的关键作用：1)人类活动的 文化历史记忆；2)自然生态的环境变迁记忆；3)景观营造的 文化景观实体空间风貌记忆。基于现代景观的开放性和参与 性，以2个文化景观遗产设计实践为案例，从人的景观感受 出发，分析探讨了文化遗产景观感受与记忆的因果关系，阐 述了“记忆三元素”作为人、场所和城市之间互动的一种联 系，而成为三者交流的共同“语言”，及其三元耦合、主客 互动关系。基本结论：“记忆”是一种物质文化资源和社会 文化实体，在一定程度上可以展现历史、现实和未来脉络； “记忆”强化了人与场所之间的互动、场所与城市之间的联 系以及人类文明历史的延续；基于记忆的城市文化遗产景观 设计行之有效     

红色经典的改写与革命集体记忆 --以小说《红色娘子军》《沙家浜》为个案的分析

该文联系当前小说创作着意对革命经典改写的现象，通过分析这些小说的创作指导思想，即对政治话语重压下所谓“人性”的复活，来反思当前红色经典改写的怀旧文化态度与商业化叙事策略，指出部分小说的创作侵犯了人民心中的革命历史集体记忆。同时强调革命经典改写和革命故事叙述的一些原则，及不能在人性这面旗帜下随心所欲书写的现实文化背景。     

Another look at long memory in common stock returns

We apply the modified rescaled range test to the return series of 1,952 common stocks. The results indicate that long memory is not a widespread characteristic of these stocks. But logit models of the event of a test rejection reveal that rejections are linked to firms with large risk-adjusted average returns. The maximal moment of a return distribution is also found to influence the event of a rejection, but not in a way suggestive of moment-condition failure. Evidence suggestive of survivorship bias is also uncovered. We conclude that there is some evidence consistent with persistent long memory in the returns of a small proportion of stocks.