Non-linear Gaussian sovereign CDS pricing models

Prior literature indicates that quadratic models and the Black–Karasinski model are very promising for CDS pricing. This paper extends these models and the Black [J. Finance 1995, 50, 1371–1376] model for pricing sovereign CDS’s. For all 10 sovereigns in the sample quadratic models best fit CDS spreads in-sample, and a four factor quadratic model can account for the joint effects on CDS spreads of default risk, default loss risk and liquidity risk with no restriction to factors correlation. Liquidity risk appears to affect sovereign CDS spreads. However, quadratic models tend to over-fit some CDS maturities at the expense of other maturities, while the BK model is particularly immune from this tendency. The Black model seems preferable because its out-of-sample performance in the time series dimension is the best.     

一种考虑不同期合闸的行波合闸保护新方法

当线路末端故障时，行波在线路末端的反射情况比较复杂，反向电流行波的极性有可能与正向电流行波的极性相反，而此时测距结果又与线路无故障时相同。因此，会造成行波测距式与行波极性比较式合闸保护的不正确动作。根据行波的折、反射理论，分析出当线路无故障时正向电流行波仅在线路末端发生反射，且电流行波的反射系数为-1，而当线路存在故障时，正向电流行波将在故障点发生反射，无论故障是否在线路末端，电流行波的反射系数都不会是-1。根据这一特征，提出了一种新的行波合闸保护方法。从原理上保证了在各种情况下保护都可以正确动作，大量的电磁暂态仿真结果也证明了这一点。     

Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York

Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, we examine patterns of information flows for China–backed stocks that are cross–listed on exchanges in Hong Kong and New York. Results analyzing the dual–listed stocks indicate significant mutual feedback of information between domestic (Hong Kong) and offshore (New York) markets in terms of pricing and volatility. Stocks listed on the domestic market appear to play a more significant role of information transmission in the pricing process, whereas stocks listed on the offshore market play a bigger role in volatility spillover.     

Dynamic and asymmetric impacts of macroeconomic fundamentals on an integrated stock market

A large body of evidence indicates that macroeconomic and financial variables are dynamically interrelated. In an international setup, we analyze the transmission mechanisms of macroeconomic shocks on the stock market of a small open economy in an increasingly integrated world. We use a time-varying vector error correction model (VECM) that allows analysis of asymmetric impacts that depend on the state of the business cycle. A special focus is directed on monetary policy surprises, where we find that foreign shocks exert a strong influence on an integrated stock market, and that the stage of the business cycle heavily affects the signals of the shocks.     

同杆并架双回线基于电流突变量的综合选相

相电流差突变量选相元件在单回线故障中具有良好的选相性能，但在同杆双回线跨线故障中可能误选相。利用六序故障分量的分析方法，分析了相电流突变量在同杆双回线跨线故障中的幅值和相位特征，给出了其相位比相方程。在此基础上，提出了一种运用测量阻抗和方向元件相结合的综合选相方法，并给出了选相流程图。仿真结果表明，在双回线简单故障和跨线故障时，基于单回线单端电气量的同杆并架双回线综合选相方法具有较理想的选相性能。     

隔河岩水电厂220 kV线路保护配置及运行分析

介绍了隔河岩电厂220kV线路保护的原理设计及运行情况，以及采用了双重微机化继电保护装置后带来的优越性，简要描述了CSL-101A高频保护和RCS-931A光纤保护的应用特点。     

Construction of transmission lines above valuable standing timber

Problems with the construction of transmission lines above a forest are examined. Construction of lines above standing timber makes it possible to shorten the length of the route, eliminate the clearing of a continuous swath along the line, and reduce the volume of in-service work. To implement this solution, it is necessary to introduce changes and supplements to existing regulatory technical documents. __________ Translated from élektricheskie Stantsii, No. 10, October 2007, pp. 48–51.     

三线铁路荷载作用下箱梁桥荷载横向分布系数

文章运用有限元程序对三线铁路预应力混凝土连续箱梁桥进行了模拟,分析了三线铁路荷载作用下箱梁的受力特性及在各种荷载工况下荷载横向分布规律,给出了荷载横向系数的实用值。     

从敦煌本《百行章》看唐初的法制思想

唐代的法制思想，主要有两大特征，即仁刑恤典和厉行法制。对此，学者们多从正史的角度加以探讨和分析。而从敦煌所出唐代蒙书《百行章》所述内容同样清楚地显示了唐初的法制思想的以上特点。这一研究可以起到补充正史的作用。     

高速移动数据传输新标准IEEE 802.20

介绍了未来高速移动通信新标准IEEE802．20的总体概况，具体分析了IEEE802．20的技术特性、系统参考结构以及系统的组成模型，并对IEEE802．20标准前景分析与展望进行了详细描述。