Predictability and model selection in the context of ARCH models

Most of the methods used in the ARCH literature for selecting the appropriate model are based on evaluating the ability of the models to describe the data. An alternative model selection approach is examined based on the evaluation of the predictability of the models in terms of standardized prediction errors. Copyright © 2005 John Wiley & Sons, Ltd.     

有源光放大器链路中交叉相位调制的不稳定性

利用两种方法研究了有源放大器波分复用系统光纤链路中交叉 相位调制的不稳定性．首先利用非线性薛定谔耦合方程，在小幅度扰动下，研究了正常色散 和反常色散光纤中的交叉相位调制不稳定性. 由于相位噪声涨落，利用分裂步长傅里叶 变换法与Monte-Carlo法，模拟了有源放大器链路中反常色散和正常色散情况下的调制不稳定性. 两种方法得到的结论基本一致. 关键词： 调制不稳定性 交叉相位调制 斯托克斯带 反斯托克斯 带     

硅基两维光子晶体的制备和光子带隙特性

利用反应离子束刻蚀设备制备了硅基的两维空气柱光子晶体，并用红外显微镜测试了样品的 反射谱. 理论上用时域有限差分(FDTD)方法计算了样品的光子带隙，从测试结果看光子带隙 和理论计算的光子带隙符合得很好.  关键词： 光子晶体 光子带隙 反射谱 时域有限差方法     

微波宽频带功率负载的研究

介绍了５００Ｗ宽频带功率负载的设计及实验结果，并将研究成果扩展到１０～１０００Ｗ范围。负载主要技术指标：输入阻抗５０Ω，频带宽度０～１０００ＭＨｚ，电压驻波比≤１．１．表面最高温升△ｔ≤１００℃。     

Assignment of conformation-sensitive near-infrared bands in high-spin ferrous haemoproteins. Low-temperature magnetic circular dichroism data

An assignment of the near-infrared bands in the 600–800 nm spectral region observed in magnetic circular dichroism (MCD) spectra of high-spin ferrous haemoproteins is presented. The assignment is based on a relative energy level scheme for iron d-electrons, a comparison of predicted and measured temperature dependences of MCD intensity, a sign of MCD bands and a group theoretical analysis of allowed transitions. The proposed assignment is consistent with the ∼15-nm red shift of the ∼760 nm band on breakage of the Fe-His bond in deoxy-myoglobin at low pH, with low-temperature photolysis experiments available for CO complexes of several haemoproteins. In accordance with the observations, the intensity of the MCD bands for proteins with a sulphur anion of cysteine as proximal haemligand (cytochrome P450 and chloroperoxidase) is predicted to be diminished by at least one order of magnitude compared to that for proteins with an imidazole of a histidine as a protein-derived haemligand (i.e. myoglobin, haemoglobin and horseradish peroxidase). Received: 4 February 1997 / Accepted: 1 May 1997     

Assessing the Error Probability of the Model Selection Test

The asymptotic error probability of Linhart's model selection test isevaluated, and compared with the nominal significance level. We examine thecase where the expected discrepancies of the candidate models from the truemodel are asymptotically equal. The local alternatives method is employed inthe limiting operation of the asymptotic evaluation. Although the errorprobability under the null hypothesis is actually shown to be equal to orless than the level for most situations, intolerable violations of the errorcontrol are observed for nested models: It is often erroneously concludedthat the smaller model is significantly better than the larger model. Toprevent this violation, a modification of Linhart's test statistic isproposed. The effectiveness of the proposed test is confirmed throughtheoretical analysis and numerical simulations.     

抽运激光在光靶中的局域及其对X射线激光特性的影响

新型X射线靶设计为:由SiO2和TiO2组成具有12个周期的一维光子晶体,在它的中间嵌入光靶材料层作为缺陷层,SiO2,TiO2和光靶层的光学厚度分别为λ4、λ4和λ2,λ为抽运激光波长.与普通平板光靶相比,当抽运光垂直照射到这种光靶时,靶层内部的光强将提高2个数量级,所以抽运激光的阈值强度将降低2个数量级,这有利于X射线激光的小型化.在同样的抽运激光照射下,X射线激光的强度将提高4个数量级,转换效率也将提高约4个数量级.由于平均电离度随抽运激光强度的提高而提高,所以采用这种光靶有利于使X射线激光向短波长推进. 关键词： X射线激光 光子晶体 光波局域     

我国封闭式投资基金业绩评价实证研究

随着我国基金行业超常发展,恰当的分析和评价基金业绩已越来越重要。本文根据CAPM的基本原理,利用国外先进的基金业绩评价方法对我国封闭式基金的综合业绩进行实证研究。研究结果表明:总体来看,基金获得的市场超额收益显著为负。基金经理不具有证券选择能力,但具有一定的市场择时能力,但这两种能力均不显著。同时,我们还发现不同投资风格的基金经理具有不同的证券选择能力和市场择时能力。     

Tunable properties of light propagation in photonic liquid crystal fibers

Tunable properties of light propagation in photonic crystal fibers filled with liquid crystals, called photonic liquid crystal fibers (PLCFs) are presented. The propagation properties of PLCFs strongly depend on contrast between refractive indices of the solid core (pure silica glass) and liquid crystals (LCs) filing the holes of the fiber. Due to relatively strong thermo-optical effect, we can change the refractive index of the LC by changing its temperature. Numerical analysis of light propagation in PLCF, based on two simulation methods, such as finite difference (FD) and multipole method (MM) is presented. The numerical results obtained are in good agreement with our earlier experimental results presented elsewhere [1].     

Asymmetric responses of international stock markets to trading volume

The major goal of this paper is to examine the hypothesis that stock returns and return volatility are asymmetric, threshold nonlinear, functions of change in trading volume. A minor goal is to examine whether return spillover effects also display such asymmetry. Employing a double-threshold GARCH model with trading volume as a threshold variable, we find strong evidence supporting this hypothesis in five international market return series. Asymmetric causality tests lend further support to our trading volume threshold model and conclusions. Specifically, an increase in volume is positively associated, while decreasing volume is negatively associated, with the major price index in four of the five markets. The volatility of each series also displays an asymmetric reaction, four of the markets display higher volatility following increases in trading volume. Using posterior odds ratio, the proposed threshold model is strongly favored in three of the five markets, compared to a US news double threshold GARCH model and a symmetric GARCH model. We also find significant nonlinear asymmetric return spillover effects from the US market.