This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, an...This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and comovement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run.展开更多
The purpose of this study is to contribute to the literature by studying the effects of sudden changes both on crude oil import price and domestic gasoline price on inflation for Turkey, an emerging country. Since an ...The purpose of this study is to contribute to the literature by studying the effects of sudden changes both on crude oil import price and domestic gasoline price on inflation for Turkey, an emerging country. Since an inflation targeting regime is being carried out by the Central Bank of Turkey, determination of such effects is becoming more important. Therefore empirical evidence in this paper will serve as guidance for those countries, which have an in- flation targeting regime. Analyses have been done in the period of October 2005-December 2012 by Markovswitching vector autoregressive （MS-VAR） models which are successful in capturing the nonlinear properties of variables. Using MS-VAR analysis, it is found that there are 2 regimes in the analysis period. Furthermore, regime changes can be dated and the turning points of economic cycles can be determined. In addition, it is found that the effect of the changes in crude oil and domestic gasoline prices on consumer prices and core inflation is not the same under different regimes. Moreover, the sudden increase in gasoline price is more important for consumer price infla- tion than crude oil price shocks. Another finding is the presence of a pass-through effect from oil price and ga- soline price to core inflation.展开更多
With the arrival of the ＂housing stock＂ in first - tier cities, the second - handhousing^market will become the dominant property market. This ardcle aim to the first - tiercities of second - hand housing prices and...With the arrival of the ＂housing stock＂ in first - tier cities, the second - handhousing^market will become the dominant property market. This ardcle aim to the first - tiercities of second - hand housing prices and new home price index for the empirical analysis, thedata related to the cointegration analysis found that the result of the first -tier cities real estatemarket in China, the new home price index is the significant factors influencing the second -hand house price indexi For Beijing, Shanghai second - hand housing and new home price in-dex time series johans test, found that there exists cointegration relationship between two varia-bles,the new city real estate market prices out of a line on the secondary market have clearguide. Therefore, the real estate market regulation aiming at the first -tier cities and the＂housing stock＂ should take the second - hand housing market as the main direction, startingwith the sale price and influencing factors of new houses. At the same time, in different cities,we should adhere to the city＇ s policies, reflect the policy differentiation, promote the reformof the real estate supply side, and promote the return of housing properties.展开更多
Considering the need of target positioning,a remote positioning system is designed based on global positioning system(GPS)and general packet radio service(GPRS);The data collection terminal is based on microcontroller...Considering the need of target positioning,a remote positioning system is designed based on global positioning system(GPS)and general packet radio service(GPRS);The data collection terminal is based on microcontroller unit(MCU)PIC24FV301.It uses GPRS network to create wireless link and transmits GPS source information which is collected by LEA-5H board to monitor center on the Internet.The monitor center obtains the target information through processing and analysis of the calculated data.Actual operation results indicate that the designed system has excellent performance and achieves the goal of the remote location.展开更多
With the frequent fluctuations of international crude oil prices and China＇s increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domesti...With the frequent fluctuations of international crude oil prices and China＇s increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domestic refined oil price. This paper aims to investigate the transmission and feedback mechanism between international crude oil prices and China＇s refined oil prices for the time span from January 2011 to November 2015 by using the Granger causality test, vector autoregression model, impulse response function and variance decomposition methods. It is demonstrated that variation of international crude oil prices can cause China domestic refined oil price to change with a weak feedback effect. Moreover, international crude oil prices and China domestic refined oil prices are affected by their lag terms in positive and negative directions in different degrees. Besides, an international crude oil price shock has a signif- icant positive impact on domestic refined oil prices while the impulse response of the international crude oil price variable to the domestic refined oil price shock is negatively insignificant. Furthermore, international crude oil prices and domestic refined oil prices have strong historical inheri- tance. According to the variance decomposition analysis, the international crude oil price is significantly affected by its own disturbance influence, and a domestic refined oil price shock has a slight impact on international crude oil price changes. The domestic refined oil price variance is mainly caused by international crude oil price disturbance, while the domestic refined oil price is slightly affected by its own disturbance. Generally, domestic refined oil prices do not immediately respond to an international crude oil price change, that is, there is a time lag.展开更多
Deepwater oil and gas projects embody high risks from geology and engineering aspects, which exert substantial influence on project valuation. But the uncer- tainties may be converted to additional value to the projec...Deepwater oil and gas projects embody high risks from geology and engineering aspects, which exert substantial influence on project valuation. But the uncer- tainties may be converted to additional value to the projects in the case of flexible management. Given the flexibility of project management, this paper extends the classical real options model to a multi-factor model which contains oil price, geology, and engineering uncertainties. It then gives an application example of the new model to evaluate deepwater oil and gas projects with a numerical analytical method. Compared with other methods and models, this multi-factor real options model contains more project information. It reflects the potential value deriving not only from oil price variation but also from geology and engi- neering uncertainties, which provides more accurate and reliable valuation information for decision makers.展开更多
This paper proposes and makes a study of a new model(called the 3/2 plus jumps model) for VIX option pricing. The model allows the mean-reversion speed and volatility of volatility to be highly sensitive to the actual...This paper proposes and makes a study of a new model(called the 3/2 plus jumps model) for VIX option pricing. The model allows the mean-reversion speed and volatility of volatility to be highly sensitive to the actual level of VIX. In particular, the positive volatility skew is addressed by the 3/2 plus jumps model. Daily calibration is used to prove that the proposed model preserves its validity and reliability for both in-sample and out-of-sample tests.The results show that the models are capable of fitting the market price while generating positive volatility skew.展开更多
Prior to achieving high precision navigation of a spacecraft using X-ray observations, a pulsar rotation model must be built and analysis of the precise posi- tion of the Earth should be performed using ground pulsar ...Prior to achieving high precision navigation of a spacecraft using X-ray observations, a pulsar rotation model must be built and analysis of the precise posi- tion of the Earth should be performed using ground pulsar timing observations. We can simulate time-of-arrival ground observation data close to actual observed values before using pulsar timing observation data. Considering the correlation between the Earth＇s position and its short arc section of an orbit, we use polynomial regression to build the correlation. Regression coefficients can be calculated using the least square method, and a coordinate component series can also be obtained; that is, we can calcu- late Earth＇s position in the Barycentric Celestial Reference System according to pulse arrival time data and a precise pulsar rotation model. In order to set appropriate param- eters before the actual timing observations for Earth positioning, we can calculate the influence of the spatial distribution of pulsars on errors in the positioning result and the influence of error source variation on positioning by simulation. It is significant that the threshold values of the observation and systematic errors can be established before an actual observation occurs; namely, we can determine the observation mode with small errors and reject the observed data with big errors, thus improving the positioning result.展开更多
An effective near-field - far-field (NF - FF) transformation with spherical scanning for quasi-planar antennas from irregularly spaced data is developed in this paper. Two efficient approaches for evaluating the regul...An effective near-field - far-field (NF - FF) transformation with spherical scanning for quasi-planar antennas from irregularly spaced data is developed in this paper. Two efficient approaches for evaluating the regularly spaced spherical samples from the nonuniformly distributed ones are proposed and numerically compared. Both the approaches rely on a nonredundant sampling representation of the voltage measured by the probe, based on an oblate ellipsoidal modelling of the antenna under test. The former employs the singular value decomposition method to reconstruct the NF data at the points fixed by the nonredundant sampling representation and can be applied when the irregularly acquired samples lie on nonuniform parallels. The latter is based on an iterative technique and can be used also when such a hypothesis does not hold, but requires the existence of a biunique correspondence between the uniform and nonuniform samples, associ- ating at each uniform sampling point the nearest irregular one. Once the regularly spaced spherical samples have been recovered, the NF data needed by a probe compensated NF - FF transformation with spherical scanning are efficiently evaluated by using an optimal sampling interpolation algorithm. It is so possible to accurately compensate known posi- tioning errors in the NF - FF transformation with spherical scanning for quasi-planar antennas. Some numerical tests assessing the accuracy and the robustness of the proposed approaches are reported.展开更多
文摘This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and comovement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run.
文摘The purpose of this study is to contribute to the literature by studying the effects of sudden changes both on crude oil import price and domestic gasoline price on inflation for Turkey, an emerging country. Since an inflation targeting regime is being carried out by the Central Bank of Turkey, determination of such effects is becoming more important. Therefore empirical evidence in this paper will serve as guidance for those countries, which have an in- flation targeting regime. Analyses have been done in the period of October 2005-December 2012 by Markovswitching vector autoregressive （MS-VAR） models which are successful in capturing the nonlinear properties of variables. Using MS-VAR analysis, it is found that there are 2 regimes in the analysis period. Furthermore, regime changes can be dated and the turning points of economic cycles can be determined. In addition, it is found that the effect of the changes in crude oil and domestic gasoline prices on consumer prices and core inflation is not the same under different regimes. Moreover, the sudden increase in gasoline price is more important for consumer price infla- tion than crude oil price shocks. Another finding is the presence of a pass-through effect from oil price and ga- soline price to core inflation.
文摘With the arrival of the ＂housing stock＂ in first - tier cities, the second - handhousing^market will become the dominant property market. This ardcle aim to the first - tiercities of second - hand housing prices and new home price index for the empirical analysis, thedata related to the cointegration analysis found that the result of the first -tier cities real estatemarket in China, the new home price index is the significant factors influencing the second -hand house price indexi For Beijing, Shanghai second - hand housing and new home price in-dex time series johans test, found that there exists cointegration relationship between two varia-bles,the new city real estate market prices out of a line on the secondary market have clearguide. Therefore, the real estate market regulation aiming at the first -tier cities and the＂housing stock＂ should take the second - hand housing market as the main direction, startingwith the sale price and influencing factors of new houses. At the same time, in different cities,we should adhere to the city＇ s policies, reflect the policy differentiation, promote the reformof the real estate supply side, and promote the return of housing properties.
文摘Considering the need of target positioning,a remote positioning system is designed based on global positioning system(GPS)and general packet radio service(GPRS);The data collection terminal is based on microcontroller unit(MCU)PIC24FV301.It uses GPRS network to create wireless link and transmits GPS source information which is collected by LEA-5H board to monitor center on the Internet.The monitor center obtains the target information through processing and analysis of the calculated data.Actual operation results indicate that the designed system has excellent performance and achieves the goal of the remote location.
基金support from the Key Project of National Social Science Foundation of China (NO. 13&ZD159)
文摘With the frequent fluctuations of international crude oil prices and China＇s increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domestic refined oil price. This paper aims to investigate the transmission and feedback mechanism between international crude oil prices and China＇s refined oil prices for the time span from January 2011 to November 2015 by using the Granger causality test, vector autoregression model, impulse response function and variance decomposition methods. It is demonstrated that variation of international crude oil prices can cause China domestic refined oil price to change with a weak feedback effect. Moreover, international crude oil prices and China domestic refined oil prices are affected by their lag terms in positive and negative directions in different degrees. Besides, an international crude oil price shock has a signif- icant positive impact on domestic refined oil prices while the impulse response of the international crude oil price variable to the domestic refined oil price shock is negatively insignificant. Furthermore, international crude oil prices and domestic refined oil prices have strong historical inheri- tance. According to the variance decomposition analysis, the international crude oil price is significantly affected by its own disturbance influence, and a domestic refined oil price shock has a slight impact on international crude oil price changes. The domestic refined oil price variance is mainly caused by international crude oil price disturbance, while the domestic refined oil price is slightly affected by its own disturbance. Generally, domestic refined oil prices do not immediately respond to an international crude oil price change, that is, there is a time lag.
基金supported from the National Science and Technology Major Project under Grant No.2011ZX05030
文摘Deepwater oil and gas projects embody high risks from geology and engineering aspects, which exert substantial influence on project valuation. But the uncer- tainties may be converted to additional value to the projects in the case of flexible management. Given the flexibility of project management, this paper extends the classical real options model to a multi-factor model which contains oil price, geology, and engineering uncertainties. It then gives an application example of the new model to evaluate deepwater oil and gas projects with a numerical analytical method. Compared with other methods and models, this multi-factor real options model contains more project information. It reflects the potential value deriving not only from oil price variation but also from geology and engi- neering uncertainties, which provides more accurate and reliable valuation information for decision makers.
基金Supported by the National Natural Science Foundation of China(71371168,11571310)
文摘This paper proposes and makes a study of a new model(called the 3/2 plus jumps model) for VIX option pricing. The model allows the mean-reversion speed and volatility of volatility to be highly sensitive to the actual level of VIX. In particular, the positive volatility skew is addressed by the 3/2 plus jumps model. Daily calibration is used to prove that the proposed model preserves its validity and reliability for both in-sample and out-of-sample tests.The results show that the models are capable of fitting the market price while generating positive volatility skew.
基金supported by the National Natural Science Foundation of China (Grant Nos. 10973030,10973032,11003039,10903032 and 10973049)the National Science Foundation of Shanghai,China (Grant No. 10ZR1435700)
文摘Prior to achieving high precision navigation of a spacecraft using X-ray observations, a pulsar rotation model must be built and analysis of the precise posi- tion of the Earth should be performed using ground pulsar timing observations. We can simulate time-of-arrival ground observation data close to actual observed values before using pulsar timing observation data. Considering the correlation between the Earth＇s position and its short arc section of an orbit, we use polynomial regression to build the correlation. Regression coefficients can be calculated using the least square method, and a coordinate component series can also be obtained; that is, we can calcu- late Earth＇s position in the Barycentric Celestial Reference System according to pulse arrival time data and a precise pulsar rotation model. In order to set appropriate param- eters before the actual timing observations for Earth positioning, we can calculate the influence of the spatial distribution of pulsars on errors in the positioning result and the influence of error source variation on positioning by simulation. It is significant that the threshold values of the observation and systematic errors can be established before an actual observation occurs; namely, we can determine the observation mode with small errors and reject the observed data with big errors, thus improving the positioning result.
文摘An effective near-field - far-field (NF - FF) transformation with spherical scanning for quasi-planar antennas from irregularly spaced data is developed in this paper. Two efficient approaches for evaluating the regularly spaced spherical samples from the nonuniformly distributed ones are proposed and numerically compared. Both the approaches rely on a nonredundant sampling representation of the voltage measured by the probe, based on an oblate ellipsoidal modelling of the antenna under test. The former employs the singular value decomposition method to reconstruct the NF data at the points fixed by the nonredundant sampling representation and can be applied when the irregularly acquired samples lie on nonuniform parallels. The latter is based on an iterative technique and can be used also when such a hypothesis does not hold, but requires the existence of a biunique correspondence between the uniform and nonuniform samples, associ- ating at each uniform sampling point the nearest irregular one. Once the regularly spaced spherical samples have been recovered, the NF data needed by a probe compensated NF - FF transformation with spherical scanning are efficiently evaluated by using an optimal sampling interpolation algorithm. It is so possible to accurately compensate known posi- tioning errors in the NF - FF transformation with spherical scanning for quasi-planar antennas. Some numerical tests assessing the accuracy and the robustness of the proposed approaches are reported.
