Extreme-value dependence: An application to exchange rate markets

Extreme value theory (EVT) focuses on modeling the tail behavior of a loss distribution using only extreme values rather than the whole data set. For a sample of 10 countries with dirty/free float regimes, we investigate whether paired currencies exhibit a pattern of asymptotic dependence. That is, whether an extremely large appreciation or depreciation in the nominal exchange rate of one country might transmit to another. In general, after controlling for volatility clustering and inertia in returns, we do not find evidence of extreme-value dependence between paired exchange rates. However, for asymptotic-independent paired returns, we find that tail dependency of exchange rates is stronger under large appreciations than under large depreciations.     

一类非定常经济系统的Lyapunov稳定性

讨论了一类非定常经济系统的Lyapunov稳定性,给出了经济系统稳定和渐进稳定的充分条件和稳定的必要条件,同时得到与系统稳定性有关的临界积累率的解析表达式.结果可为经济政策的制定提供理论依据.     

考虑死亡风险下权益指数年金的定价

权益指数年金(Equity Indexed Annuities)是欧美市场近十年发展起来的一类新型年金产品,有最小收益保证,在最小保证基础上与预先设定好的某类股指收益相关联．本文在考虑死亡风险情况下,对简单点对点和年度重设两种指数计算方法下权益指数年金的定价问题作了研究,给出了定价公式并对参与率作了敏感性分析．     

Repetition-rate Tube-shaped Nd∶YAG Laser

１ＩｎｔｒｏｄｕｃｔｉｏｎＩｎｔｈｅｓｅｙｅａｒｓ，ｓｏｌｉｄｓｔａｔｅｌａｓｅｒｄｅｖｅｌｏｐｓｒａｐｉｄｌｙ．Ｔｈｅｒｅ’ｒｅｍａｎｙｔｙｐｅｓｏｆｓｏｌｉｄｓｔａｔｅｌａｓｅｒｓ，ｂｕｔＮｄ∶ＹＡＧｌａｓｅｒｉｓｓｔｉｌｏｎｅｏｆｔｈｅｍｏ...     

Mean Convergence of Lagrnage Type Interpolation on an Arbitrary System of Nodes

Abstract   Sufficient conditions of convergence and rate of convergence for Lagrange type interpolation in the weighted L ^p norm on an arbitrary system of nodes are given. Supported by the National Natural Sciences Foundation of China (No.19671082)     

Cold drawing of elastic-thermoviscoplastic polymeric films and fibres

Finite element analyses of the process of polymer drawing for elastic-thermoviscoplastic material behaviour are performed. The deformation-induced heat generation and its softening effect are accounted for. Non-adiabatic thermal effects are examined from the beginning of the loading process, to the attainment of the nearly steady-state neck propagation stages. Solutions for both polymeric films as well as fibres are presented.     

Impact response of an interface crack in a hybrid piezoelectric laminate

Summary  In a hybrid laminate containing an interfacial crack between piezoelectric and orthotropic layers, the dynamic field intensity factors and energy release rates are obtained for electro-mechanical impact loading. The analysis is performed within the framework of linear piezoelectricity. By using integral transform techniques, the problem is reduced to the solution of a Fredholm integral equation of the second kind, which is obtained from one pair of dual integral equations. Numerical results for the dynamic stress intensity factor show the influence of the geometry and electric field. Received 29 June 2001; accepted for publication 3 December 2001     

The influence of detergentless microemulsion on the kinetics of hydrolysis of di(p-nitrophenyl) methylphosphonate catalyzed by amines

The influence of the detergentless water/oil microemulsion formed in then-hexane-water-2-propanol system on the kinetics of the hydrolysis of di(p-nitrophenyl) methylphosphonate under the conditions of general base catalysis by primary, secondary, and tertiary aliphatic amines was investigate. The leveling of the catalytic rate constants and basicities of the amines was found for this reaction in a microemulsion. The catalytic rate constants for the amines containing hydrophilic groups increase in microemulsions as compared to those in an aqueous medium, while the catalytic constants for the amines containing hydrophobic groups decrease. Translated fromIzvestiya Akademii Nauk. Seriya Khimicheskaya, No. 7, pp. 1339–1342, July, 1998.     

解扩散方程的无界单元方法

对无界单元作仿制变换，其映像为参考单元。在参考单元上的构造插值函数，推导出有限元法解扩散方程所需的能量内积表达式。由Ｌ２范数导出衰减特征长度，数值例子显示了计算是有效的。     

线性模型参数矩阵的二次型的经验Bayes估计的收敛速度

本文构造出正态线性模型误差协差阵的逆矩阵的二次型的经验Ｂａｙｅｓ（ＥＲ）估计，在一定条件下证明了这种ＥＢ估计的收敛速度可任意接近于１．最后，给出了一个实例．