EMPIRICAL PERFORMANCE OF GARCH MODELS WITH HEAVY‐TAILED INNOVATIONS

We introduce a new type of heavy‐tailed distribution, the normal reciprocal inverse Gaussian distribution (NRIG), to the GARCH and Glosten‐Jagannathan‐Runkle (1993) GARCH models, and compare its empirical performance with two other popular types of heavy‐tailed distribution, the Student's t distribution and the normal inverse Gaussian distribution (NIG), using a variety of asset return series. Our results illustrate that there is no overwhelmingly dominant distribution in fitting the data under the GARCH framework, although the NRIG distribution performs slightly better than the other two types of distribution. For market indexes series, it is important to introduce both GJR‐terms and the NRIG distribution to improve the models’ performance, but it is ambiguous for individual stock prices series. Our results also show the GJR‐GARCH NRIG model has practical advantages in quantitative risk management. Finally, the convergence of numerical solutions in maximum‐likelihood estimation of GARCH and GJR‐GARCH models with the three types of heavy‐tailed distribution is investigated.     

Economic Impacts of the Possible China–US Trade War

This article uses a multi-country global general equilibrium (GE) model to numerically simulate the effects of possible China–US trade wars. We introduce an endogenous trade imbalance structure with trade cost into the model which helps to explore both tariff and non-tariff trade war effects. Our simulation results show that China will be significantly hurt by the China–US trade war, but negative impacts are affordable. The US can gain under unilateral sanction measures to China, but will lose if China takes retaliation measures. Comparing the effects under mutual trade war, China will lose more than the US. Introducing non-tariff barrier trade wars will intensify the negative effects, and comparatively negative effects to China are larger than to the US. Mexico’s involvement in trade war with the US will strengthen the negative effects and comparatively hurt the US more. Under non-cooperative and cooperative Nash bargaining equilibrium, the US can gain more than China in trade war negotiation, which means the US has stronger bargaining power than China. Additionally, trade wars between China and the US will hurt most countries and the world especially in GDP and manufacturing employment, but benefit their welfare and trade.     

On Measuring the Value of a Nonmarket Good Using Market Data

We use line integral theory to lay out in a more general theoretical framework the conditions under which it is possible to measure with market data the welfare effects of a change in a nonmarket good. We present in detail a numerical method of measuring the value of nonmarket goods using market data, under either weak neutrality or weak complementarity. Our numerical method is more flexible than the existing analytical method because it can be used with any well-behaved Marshallian demand function, and can be used even when the willig condition does not hold.     

龙丽高速公路(K92+945-K93+105)石方路基控爆施工

文章详细介绍了浙江龙丽高速公路K92+945-K93+105段高陡石方路堑在保证其下方的省道通行安全及交通畅通的情况下所采取的安全防护、控制爆破及施工组织措施。     

芯钢管混凝土节点的芯管壁厚与节点承载力关系的数值分析

对一种已经通过试验研究的钢管混凝土结构的新型节点进行数值分析。这种节点将钢管混凝土柱的钢管在节点区间断,在节点区设置芯钢管,使梁中的纵筋在节点中直通、梁与节点区混凝土成为一体可靠的传递梁中的弯矩、剪力及轴力。本文利用数值分析弥补模型试验数量少的缺陷。选择不同芯钢管壁厚的节点模型进行非线性有限元分析,得出芯钢管壁厚对节点承载力的影响规律。分析结果表明芯钢管壁厚是影响节点承载力的主要因素之一。     

Good News and Bad News: Search from Unknown Wage Offer Distributions

The largest market in national economies is the labor market. Labor market contracting is characterized by job search, often from unknown wage offer distributions. This paper reports experimental tests of finite horizon models of job search in which the wage offer distribution is unknown. Theoretically-optimal search from an unknown wage offer distribution can have the seemingly paradoxical property that some offers will be accepted that are lower than other offers that will be rejected in the same period of the search horizon. Thus the reservation wage property (or lowest acceptable wage path) may not exist. This can occur because an offer that is a priori relatively high (good news) can imply that it is highly probable that search is from a favorable distribution, and such an offer can look unattractive when it is an a posteriori relatively low offer from a favorable distribution (bad news). This paper reports results from experimental treatments for search from unknown distributions in which the reservation wage property does exist and treatments in which it does not exist. We find that the consistency of search behavior with search theory reported in earlier papers is robust to the presence or absence of the reservation wage property and to whether the draws come from known or unknown distributions.     

双线螺纹带轮套的加工对车工高级人才培养的探析

双线螺纹加工方法较多,用数控机床加工相对简单,普通车床加工双线螺纹也比较普遍,这不仅可以锻炼机加工者的水平也是高级车工必备的技能,是一项难度大的加工工艺。以C6140型普通车床为加工设备,对带有双线螺纹带轮套的加工方法做一详细的分析,通过对双线螺纹带轮的加工分析,可以充分发挥此项加工项目在普通车工高级人才培养中的作用,对当今社会极需的高级车工人才培养具有一定的帮助。     

人工挖孔桩半桩支护方案可行性分析

本文以实际工程深基坑工程为研究对象,分别对桩基进行数值计算和数值模拟,通过对结果进行对比可以看出,人工挖孔桩采用半桩基是可行的。     

Forecasting technology diffusion: a new generalisation of the logistic model

The present research proposes a new generalisation of the logistic model aiming at technology diffusion forecasting. Regarding criticisms and failures reported in the literature to apply logistic function for long-term forecasting, in our work we focused on short-term accuracy of forecast. To formulate the model, based on mathematical approximation, at first the differential equation governing the diffusion process is found and then by solving the derived differential equation, the forecast function is obtained. In all steps, mathematical tools from numerical analysis are used. We compared the New Generalized Logistic Model with eight of the most renowned models in the literature. The model led to more accurate fits and forecasts than those obtained from other models we applied for comparison.