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现有GARCH模型依赖于参数条件分布形式假设,依然不能有效刻画金融资产收益偏态厚尾特性,分位数回归能给条件分布提供更加全面的描述.在分位数回归和GJR-GARCH模型基础上建立分位数GJR-GARCH模型,并在贝叶斯框架下对模型进行分析;同时利用中国金融市场数据检验分位数GJR-GARCH模型在风险价值预测方面的实际效果. 相似文献
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The modular interference characteristics of circular-core and elliptical-core two-mode fibers are investigated in theory. The intensity distribution and figure of two-lobe mode patterns are evaluated and simulated quantitatively for different phase difference change between LP01 and LP11even mode. The interference mode patters of elliptical-core and circular-core two-mode fibers are compared, the result shows that the two-lobe interference patters of the two-mode fibers generate energy exchange and oscillation, and the difference is that the interference mode patterns of circular-core two-mode fiber are almost elliptical, while the interference mode pattern of elliptical-core two-mode fiber is approximately circular on condition that proper selection of the ellipticity. Their two-dimensional (2D) profile determines the choice of the core shape of the information pick-up fiber. 相似文献
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