基于双因子已实现GARCH模型的波动率预测研究

准确地预测金融市场的波动率对市场管理者和参与者而言都是至关重要的。本文在标准已实现GARCH模型基础上,将条件方差乘性分解为长期方差和短期方差两部分,分别构造包含杠杆函数的长期方差方程和短期方差方程,用以捕捉波动率的长记忆性和短期微观波动。运用上证综指和日经指数的日收盘价、已实现方差和已实现核波动此类高频数据进行实证分析,结果表明:与标准已实现GARCH模型相比,两指数的双因子已实现GARCH模型在样本内表现出更大的似然估计值;通过样本外误差函数分析和DM检验,双因子已实现GARCH模型也取得更好表现。     

随机波动率与投资中的q理论

本文将随机波动率引入托宾q模型,讨论生产率冲击的波动率大小对公司价值与投资决策的影响.研究发现,公司托宾q值会受到生产率冲击波动率的显著影响,波动率的增大会降低托宾q值,且该影响会随着波动率的增大而加剧.此外,波动率对托宾q值的影响也会传导到公司的投资决策上来,托宾q降低会使得投资额减小,该影响同样会随波动率的增大而加剧.本文还考虑了波动率对公司在用资产与成长机会价值的影响,更为合理地刻画了公司生产过程中生产率冲击的波动率为随机的假设现实情况,所得结论对公司估值及投资决策均有一定的参考价值.     

Asymmetric conditional volatility in international stock markets

Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the SP 500, FTSE 100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.     

铁岭煤中重金属元素的赋存形态及其在热解过程中的挥发行为研究

采用密度分离、脱灰处理和逐级化学提取等间接方法,考察了铁岭煤中Pb, Cr, Co, Ni, V五个重金属元素的宏观结合形态,并在Φ25mm小型石英流化床反应装置上考察了上述五个重金属元素在热解过程中的挥发行为。研究发现,铁岭煤中Pb, Cr, Co, Ni, V均主要与非黄铁矿类矿物质相伴生, 且高达40%～60%赋存在硅酸盐类矿物质中。Pb的碳酸盐结合态和有机束缚的离子可交换态600℃前即可分解转化,而其硫化物和硫酸盐结合态在较高的热解温度下才能分解挥发；Co、Ni的硫化物和硫酸盐结合态在高温下可部分转换为有机结合的离子可交换态；而Cr、V的硫化物和硫酸盐结合态在高温下部分转化生成了新的热稳定相。在500℃～900℃范围内,Pb属半挥发性元素,Cr, Co, Ni, V属难挥发性元素。微量元素的挥发性极大地受其伴生环境、共存活泼元素等的影响,硅铝酸盐类矿物质对重金属元素的挥发有一定的抑制作用。     

Synthesis, properties, and structure of dimethylgold(III) complexes [(CH3)2AuI]2 and (CH3)2AuS2CN(C2H5)2

Volatile diethyldithiocarbamate of dimethylgold(III) was prepared by the interaction of dimethylgold(III) iodide with sodium diethyldithiocarbamate. The complex is examined by the elemental analysis, DTA, IR and electronic spectroscopy. The starting dimeric complex [(CH₃)₂AuI]₂ and a novel monomeric volatile gold(III) complex (CH₃)₂AuS₂CN(C₂H₅)₂ with the AuC₂S₂ coordination core were investigated by single crystal X-ray diffraction for the first time.     

X-ray study of volatile Ni(II), Cu(II), and Pd(II) complexes of β-ketoimine pivalyltrifluoroacetone

Synthesis of volatile complexes based on -ketoimine pivalyltrifluoroacetone, C(CH₃)₃C(NH)CH₂COCF₃, is described. The general formula of the complexes is M(L)₂, where M = Cu, Ni, Pd. Complexes of this kind with Ni and Pd were obtained for the first time. The Cu and Pd complexes were found to be isostructural. A comprehensive crystal-chemical study showed that all structures are molecular and built of trans-complexes. The central atom has a square plane environment. The average M-O and M-N distances are nearly equal in all compounds: 1.84 , 1.92 , and 1.98 for Ni, Cu, and Pd complexes, respectively; the mean values of the O-M-N chelate angles are 93.4°, 91.9°, and 92.7°, respectively.Original Russian Text Copyright © 2004 by I. A. Baidina, G. I. Zharkova, N. V. Pervukhina, S. A. Gromilov, and I. K. IgumenovTranslated from Zhurnal Strukturnoi Khimii, Vol. 45, No. 4, pp. 713–722, July–August, 2004.This revised version was published online in April 2005 with a corrected cover date.     

Tail Behavior of a Threshold Autoregressive Stochastic Volatility Model

We consider a threshold autoregressive stochastic volatility model where the driving noises are sequences of iid regularly random variables. We prove that both the right and the left tails of the marginal distribution of the log-volatility process (α_t)_t are regularly varying with tail exponent −α with α > 0. We also determine the exact values of the coefficients in the tail behaviour of the process (α_t)_t. AMS 2000 Subject Classification. Primary—62G32, 62PO5     

The Pietra term structures of financial assets

This paper explores an elemental connection between call options-the most commonly tradable financial derivatives, implied volatility term structures-critical “market information” emanating from call-option prices, and the Pietra index-a quantitative economic measure of societal egalitarianism. Our study: (i) unveils an intrinsic “Pietra structure” of call-option prices; (ii) introduces the notion of the “Pietra term structures” of financial assets; (iii) describes the probabilistic meaning of the Pietra term structures; (iv) establishes an explicit nonlinear one-to-one mapping between the Pietra term structures and the implied volatility term structures of financial assets. The results presented in this paper provide a deep insight into the econophysics of call options and implied volatility term structures.     

Minimizing the probability of lifetime ruin under stochastic volatility

We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter’s price following a diffusion with stochastic volatility. Given the rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability of going bankrupt. To solve this minimization problem, we use techniques from stochastic optimal control.     

Large-time asymptotics for an uncorrelated stochastic volatility model

We derive a large-time large deviation principle for the log stock price under an uncorrelated stochastic volatility model. For this we use a Donsker-Varadhan-type large deviation principle for the occupation measure of the Ornstein-Uhlenbeck process, combined with a simple application of the contraction principle and exponential tightness.