上海股市波动的周日效应检验

与以往日历异常现象的研究大多集中在股市收益率上不同,本文对上海股市波动的周日效应进行实证研究,无条件波动的修正Levene检验和条件波动的GARCH模型被应用。结果显示上海股市存在显著的星期一高波动现象,利用混合分布模型对此现象进行了解释,周末信息的积累对星期一交易的影响可能是其高波动的原因。     

Modelling credit default swap spreads by means of normal mixtures and copulas

This paper develops a multivariate statistical model for the analysis of credit default swap spreads. Given the large excess kurtosis of the univariate marginal distributions, it is proposed to model them by means of a mixture of distributions. However, the multivariate extension of this methodology is numerically difficult, so that copulas are used to capture the structure of dependence of the data. It is shown how to estimate the parameters of the marginal distributions via the EM algorithm; then the parameters of the copula are estimated and standard errors computed through the nonparametric bootstrap. An application to credit default swap spreads of some European reference entities and extensive simulation results confirm the effectiveness of the method.     

Parameter change test for location‐scale time series models with heteroscedasticity based on bootstrap

This study considers the bootstrap cumulative sum (CUSUM) test for a parameter change in location‐scale time series models with heteroscedasticity. The CUSUM test has been popular for detecting an abrupt change in time series models because it performs well in many applications. However, it has severe size distortions in many situations. As a remedy, we consider the bootstrap CUSUM test, particularly focusing on the CUSUM test based on score vectors, and demonstrate the weak consistency of the bootstrap test for its justification. A simulation study and data analysis are conducted for illustration.     

Bayesian modeling of financial returns: A relationship between volatility and trading volume

The modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameters in the model using a Bayesian approach. The series of returns and trading volume of the British Petroleum stock will be analyzed. Copyright © 2009 John Wiley & Sons, Ltd.     

An evaluation of the multivariate dispersion charts with estimated parameters under non‐normality

Various charts such as |S|, W, and G are used for monitoring process dispersion. Most of these charts are based on the normality assumption, while exact distribution of the control statistic is unknown, and thus limiting distribution of control statistic is employed which is applicable for large sample sizes. In practice, the normality assumption of distribution might be violated, while it is not always possible to collect large sample size. Furthermore, to use control charts in practice, the in‐control state usually has to be estimated. Such estimation has a negative effect on the performance of control chart. Non‐parametric bootstrap control charts can be considered as an alternative when the distribution is unknown or a collection of large sample size is not possible or the process parameters are estimated from a Phase I data set. In this paper, non‐parametric bootstrap multivariate control charts |S|, W, and G are introduced, and their performances are compared against Shewhart‐type control charts. The proposed method is based on bootstrapping the data used for estimating the in‐control state. Simulation results show satisfactory performance for the bootstrap control charts. Ultimately, the proposed control charts are applied to a real case study.     

Five examples of assessment and expression of measurement uncertainty

It is a long‐accepted tenet of scientific practice that every measurement result ought to include a statement of uncertainty associated with the measured value. Such uncertainty should also be propagated to functions of the measured values. It is also widely recognized that probability distributions are well suited to express measurement uncertainty and that statistical methods are the choice vehicles to produce uncertainty assessments incorporating information in empirical data as well as other relevant information, either about the quantity that is the object of measurement or about the techniques or apparatuses used in measurement. Statistical models and methods of statistical inference provide the technical machinery necessary to evaluate and propagate measurement uncertainty. Some of these models and methods are illustrated in five examples: (i) measurement of the refractive index of a glass prism (employing a venerable formula due to Gauss, as well as contemporary Monte Carlo methods); (ii) measurement of the mass fraction of arsenic in oyster tissue using data from an inter‐laboratory study (introducing a Bayesian hierarchical model with adaptive tail heaviness); (iii) measurement of the relative viscosity increment of a solution of sucrose in water (using a copula); (iv) mapping measurements of radioactivity in the area of Fukushima, Japan (via both local regression and kriging, and explaining how model uncertainty may be evaluated); and (v) combining expert opinions about the flow rate of oil during the Deepwater Horizon oil spill into the Gulf of Mexico (via linear or logarithmic pooling). Copyright © 2012 John Wiley & Sons, Ltd.     

Modeling stock index returns by means of partial least‐squares methods: An out‐of‐sample analysis for three stock markets

We analyze the underlying economic forces of the stock markets in Germany, the U.K. and the U.S. Identifying a number of variables evincing return predictability, we follow a partial least‐squares (PLS) approach to combine these observables into a few latent factors. Conditional on European markets, our findings indicate (i) superior prediction performance of PLS‐based schemes in comparison with both, a random walk and a first‐order autoregressive benchmark model, (ii) consistent profitable trading on the German and British market, (iii) profitable linear forecast combinations, (iv) the U.S. stock market is diagnosed as informationally efficient. Copyright © 2010 John Wiley & Sons, Ltd.     

Parametric representation of wave propagation in non‐uniform media (both in transmission and stop bands)

An analytical approach based on the parametric representation of the wave propagation in non‐uniform media was considered. In addition to the previously developed theory of parametric antiresonance describing the field attenuation in stop bands, in the present paper, the behaviour of the Bloch wave in a transmission band was investigated. A wide class of exact solutions was found, and the correspondence to the quasi‐periodic Floquet solutions was shown. Copyright © 2012 John Wiley & Sons, Ltd.     

Number of non‐Fregean sentential logics that have adequate models

We show that there are continuum many different non‐Fregean sentential logics that have adequate models. The proof is based on the construction of a special class of models of the power of the continuum. (© 2006 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Strong dependence in the nominal exchange rates of the Polish zloty

We examine the nominal exchange rates of six currencies (Canadian, Australian and U.S. dollars, euro, Japanese yen and U.K. pound) against the Polish zloty by means of statistical techniques based on unit roots and other long memory processes. We use both parametric and semiparametric methods for estimating and testing integer and fractional orders of integration at the long run or zero frequency. The results show that unit roots are likely to occur in relation with the U.S. and the Canadian dollars, the Japanese yen and the U.K. pound. However, for the Australian dollar and the euro, this hypothesis is rejected in favour of smaller degrees of integration, implying mean reversion in their behaviour. Thus, for the former currencies, in the event of an exogenous shock affecting the exchange rates, strong policy actions must be required to bring the variables back to their original levels. On the other hand, for the Australian dollar and the euro, there exists less need of action since the series will return to their levels sometime in the future. Copyright © 2006 John Wiley & Sons, Ltd.     

Existence of one non‐trivial anti‐periodic solution for second‐order impulsive differential inclusions

The existence of one non‐trivial solution for a second‐order impulsive differential inclusion is established. More precisely, a recent critical point result is exploited, in order to prove the existence of a determined open interval of positive eigenvalues for which the considered problem admits at least one non‐trivial anti‐periodic solution. Copyright © 2017 John Wiley & Sons, Ltd.     

Consistency of kernel‐based quantile regression

Quantile regression is used in many areas of applied research and business. Examples are actuarial, financial or biometrical applications. We show that a non‐parametric generalization of quantile regression based on kernels shares with support vector machines the property of consistency to the Bayes risk. We further use this consistency to prove that the non‐parametric generalization approximates the conditional quantile function which gives the mathematical justification for kernel‐based quantile regression. Copyright © 2008 John Wiley & Sons, Ltd.     

Mathematical analysis of a model describing the number of antibiotic resistant bacteria in a polluted river

In France, 90% of surface water suffer from antibiotic pollution that increases the number of antibiotic resistant bacteria. The first indicator of water quality is revealed by the fish quality. According to the Le Conseil Supérieur de la Pêche, only 15% of rivers in France are considered in good condition, whereas 22% are in very bad condition. The bacterial resistance to antibiotics is a public health problem as it affects humans through drinking water; the treatment of water is costly. Mathematical modeling may estimate and predict the quantity of bacteria in rivers. In this paper, we investigate properties of the mathematical model estimating the number of bacteria in a river presented by Lawrence, Mummert and Somerville. Global analysis of equilibria is presented, using a Lyapunov function. Moreover, the existence of positive periodic solutions is proven. Copyright © 2013 John Wiley & Sons, Ltd.     

Exchange rate uncertainty and trade growth—a comparison of linear and non‐linear (forecasting) models

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost all empirical contributions assume and estimate a linear relationship. Possible nonlinearity or state dependence of causal links between FX uncertainty and trade has been mostly ignored yet. In addition, widely used regression models have not been evaluated in terms of ex‐ante forecasting. In this paper we analyse the impact of FX uncertainty on sectoral categories of multilateral exports and imports for 15 industrialized economies. We particularly provide a comparison of linear and non‐linear models with respect to ex‐ante forecasting. In terms of average ranks of absolute forecast errors non‐linear models outperform both, a common linear model and some specification building on the assumption that FX uncertainty and trade growth are uncorrelated. Our results support the view that the relationship of interest might be non‐linear and, moreover, lacks of homogeneity across countries, economic sectors and when contrasting imports vs exports. Copyright © 2005 John Wiley & Sons, Ltd.     

Similarity solution for a spherical shock wave in a non‐ideal gas under the influence of gravitational field and monochromatic radiation with increasing energy

The propagation of a spherical shock wave in a non‐ideal gas with or without gravitational effects is investigated under the action of monochromatic radiation. Similarity solutions are obtained for adiabatic flow between the shock and the piston. The numerical solutions are obtained using the Runge‐Kutta method of the fourth order. The density of the gas is assumed to be constant. The total energy of the shock wave is non‐constant and varies with time. The effects of change in values of non‐idealness parameter, gravitational parameter, shock Mach number, radiation parameter, and adiabatic exponent of the gas on shock strength and flow variables are worked out in detail. It is investigated that the presence of gravitational field increases the compressibility of the medium, due to which it is compressed and, therefore, the distance between the inner contact surface and the shock surface is reduced. A comparison is also made between the solutions in the cases of the gravitating and the non‐gravitating media. It is manifested that the gravitational parameter and the radiation parameter have in general opposite behaviour on the flow variables and the shock strength.     

Stability of global and exponential attractors for a three‐dimensional conserved phase‐field system with memory

We consider a conserved phase‐field system on a tri‐dimensional bounded domain. The heat conduction is characterized by memory effects depending on the past history of the (relative) temperature ?, which is represented through a convolution integral whose relaxation kernel k is a summable and decreasing function. Therefore, the system consists of a linear integrodifferential equation for ?, which is coupled with a viscous Cahn–Hilliard type equation governing the order parameter χ. The latter equation contains a nonmonotone nonlinearity ? and the viscosity effects are taken into account by a term ?αΔ?_tχ, for some α?0. Rescaling the kernel k with a relaxation time ε>0, we formulate a Cauchy–Neumann problem depending on ε and α. Assuming a suitable decay of k, we prove the existence of a family of exponential attractors {?_α,ε} for our problem, whose basin of attraction can be extended to the whole phase–space in the viscous case (i.e. when α>0). Moreover, we prove that the symmetric Hausdorff distance of ?_α,ε from a proper lifting of ?_α,0 tends to 0 in an explicitly controlled way, for any fixed α?0. In addition, the upper semicontinuity of the family of global attractors {??_α,ε} as ε→0 is achieved for any fixed α>0. Copyright © 2009 John Wiley & Sons, Ltd.     

Global analysis of a periodic epidemic model on cholera in presence of bacteriophage

We propose and analyze a recurrent epidemic model of cholera in the presence of bacteriophage. The model is extended by general periodic incidence functions for low‐infectious bacterium and high‐infectious bacterium, respectively. A general periodic shedding function for two infected class (phage‐positive and phage‐negative) and a generalized contact and intrinsic growth function for susceptible class are also considered. Under certain biological assumptions, we derive the basic reproduction number (R₀) in a periodic environment for the proposed model. We also observe the global stability of the disease‐free equilibrium, existence, permanence, and global stability of the positive endemic periodic solution of our proposed model. Finally, we verify our results with specific functional form. Copyright © 2016 John Wiley & Sons, Ltd.     

Stability of two‐dimensional magnetohydrodynamic motions in the periodic case

We investigate the stability of two‐dimensional periodic solutions to magnetohydrodynamics equations in the class of three‐dimensional periodic solutions. We show the existence of global, strong three‐dimensional solutions to magnetohydrodynamics equations, which are close to two‐dimensional solutions. The advantage of our approach is that neither these solutions nor the external forces have to vanish at infinity. Copyright © 2015 John Wiley & Sons, Ltd.     

Periodicity and non‐negativity of solutions for nonlinear neutral differential equations with variable delay via fixed point theorems

We use a modification of Krasnoselskii's fixed point theorem introduced by Burton to show the periodicity and non‐negativity of solutions for the nonlinear neutral differential equation with variable delay We invert this equation to construct the sum of a compact map and a large contraction, which is suitable for applying the modification of Krasnoselskii's theorem. Copyright © 2015 John Wiley & Sons, Ltd.