A truly global crisis? Evidence from contagion dependence across international REIT markets

This study examines the global nature of the recent crisis under bivariate Markov-switching models for pre- and post-crisis periods using the breakpoint of August 9, 2007. It quantifies international synchronization of boom-bust regime switches to investigate contagion-type dynamic comovements of Real Estate Investment Trusts (REITs). Global REIT markets display persistent bust regimes from September 2008 to May 2009, whereas the regime-switching patterns are not significant in the pre-crisis period. The results provide new evidence for global REIT contagion phenomena and suggest greater difficulties in diversifying risks across global REIT markets during the post-crisis period.     

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.     

Operational risk quantified with spectral risk measures: a refined closed-form approximation

The quantification of operational risk has become an important issue as a result of the new capital charges required by the Basel Capital Accord (Basel II) to cover the potential losses of this type of risk. In this paper, we investigate second-order approximation of operational risk quantified with spectral risk measures (OpSRMs) within the theory of second-order regular variation (2RV) and second-order subexponentiality. The result shows that asymptotically two cases (the fast convergence case and the slow convergence) arise depending on the range of the second-order parameter. We also show that the second-order approximation under 2RV is asymptotically equivalent to the slow convergence case. A number of Monte Carlo simulations for a range of empirically relevant frequency and severity distributions are employed to illustrate the performance of our second-order results. The simulation results indicate that our second-order approximations tend to reduce the estimation errors to a great degree, especially for the fast convergence case, and are able to capture the sub-extremal behavior of OpSRMs better than the first-order approximation. Our asymptotic results have implications for the regulation of financial institutions, and may provide further insights into the measurement and management of operational risk.     

水文序列相依变异识别的RIC定阶准则——以自回归模型为例

水文过程相依性是水文变异的主要表现形式之一,应用自回归模型对其进行拟合时合理确定模型阶数是一个难点问题。本文在分析AIC和BIC准则的基础上,提出了一种以原序列与其相依成分的相关系数作为拟合度指标,同时借用信息熵形式的函数式,作为模型不确定性度量指标的自回归模型定阶准则(简称RIC准则)。以AR(1)、AR(2)、AR(3)和AR(4)模型为例进行统计试验,将不同序列长度下该准则的定阶准确率与其他定阶准则进行比较,试验结果表明,RIC准则对于上述模型均具有较好的适应性,且定阶准确率远高于AIC准则,其中对于前三阶模型RIC准则优于BIC准则,但四阶模型略低于BIC准则。RIC准则的优势是可以同时满足模型定阶、相依程度分级与模型检验的需求,将其应用于实测水文序列分析,结果显示,该准则能较准确地识别自回归模型的阶数,且符合提出的"相依有变异而残差无变异的最小阶数"的检验标准。     

灰局势决策在水利工程开发方案优选中的应用

针对水利工程开发方案优选具有多目标、多层次等特点,建立灰局势决策模型并应用变异系数法确定评价指标权重。利用该模型对灌区改建扩建规划方案进行优选,结果表明这是一种有效的方法。     

钱塘江景观与文化关系初析

我国进入经济高速发展期后,人们在防洪抗旱得到安全保障、开发资源和治理江道等对河流的基本需求得到满足后,逐渐重视河流的景观和生态功能.从分析研究钱塘江下游河流景观特征、地理水文及人类活动对形成丰富多彩的景观的作用,以及一些以钱塘江为吟颂对象的诗词出发,初步探讨钱塘江景观多样性对人的性格、文学家风格的影响,最后从景观角度探讨河流治理的一些原则.     

有植被的河道水流紊动特性模型试验研究

通过物理模型试验,研究了有植被的河道水流紊动特性.试验结果表明,在复式断面河道滩地种植柔性植被后,滩地糙率增大,水流紊动更为剧烈,河道水流紊动强度峰值由原先的滩槽交界区转移到滩地区.滩地的水流紊动强度沿程递减;滩槽交界区的水流紊动强度沿程不断增大;主槽的水流紊动强度主要与床面糙率有关,滩地植被影响了滩地水流的归槽时间,使主槽水流流速沿程增大.     

弯曲性分叉河道中污染物扩散性的初步研究

弯曲性分叉河道中水流特征复杂,对污染物扩散有很大影响。为了定量分析其水流特征对污染物扩散的影响,采用有限元方法求解弯曲性分叉河道中的污染物扩散数学模型,研究其中污染物扩散的状况。主要针对河道回流、绕流对污染物扩散的影响进行了详细数值模拟计算,并分别给出了可视化结果及平均的扩散距离。计算结果表明:边界层稍微减弱污染物的扩散,弯道分离使污染物扩散呈现多向扩散,而回流和绕流尾迹区使污染物很难扩散,从而有利于泄漏污染物的收集和集中治理。     

新安江流域安徽省地区水环境状况分析

统计分析流域内点源污染、面源污染产生量与污染物入河量的调查监测数据,结果表明:安徽省辖新安江流域点源入河系数约为面源入河系数2~3倍,点源污染是流域内主要污染来源,但面源污染的作用不容忽视,尤其是总磷,有近2/3来自面源,相对省辖淮河、长江两流域来说,面源污染贡献率明显增大。指出流域污染防治必须综合考虑点、面源污染两个方面;在点源污染不太严重的情况下,对面源污染的治理必须引起足够的重视,才能取得实效。     

应用改进BP网络对潼关高程的预测

作者在分析了影响汛前和汛后潼关高程变化值的因素的基础上，利用改进BP网络模型对非特征汛期和汛期潼关高程的变化值进行了计算。计算中不采用潼关的绝对高程，而用高程的变化量作为网络的较出物正量，从而减少计算误差，同时又能客观地考虑各影响因子的作用。改进后的BP模型学习时间短，精度满足要求。用该模型计算的潼关高程变化趋势与实际水库调度运行中的高程基本吻合。