The GARCH and DCC-GARCH models are used to study the volatility aggregation and dynamic relevance of China’s three kinds of nonferrous metals （copper, aluminum and zinc） pricesincorporating structural changes. The ...The GARCH and DCC-GARCH models are used to study the volatility aggregation and dynamic relevance of China’s three kinds of nonferrous metals （copper, aluminum and zinc） pricesincorporating structural changes. The results show that copper, aluminum and zinc returns have many structure breaks points, and nonferrous metals have the greatvolatilityrisk during financial crisis. From the resultsof GARCH with and without structural changes,it isfoundthat the volatility clustering of single nonferrous metal is overvalued when ignoring the structural mutation, and the return of aluminum isthe most overvalued, indicating that aluminum market is more susceptible to external shock.Furthermore,it is also foundthatdynamic volatility correlation exists in the three prices of nonferrous metals, and the structural changes have no significant effect on the volatility correlation of thethree nonferrous metals.展开更多
From the group movement of the bed load within the bottom layer,details of the nonlinear dynamic characteristics of bed load movement are discussed in this paper.Whether the sediment is initiated into motion correspon...From the group movement of the bed load within the bottom layer,details of the nonlinear dynamic characteristics of bed load movement are discussed in this paper.Whether the sediment is initiated into motion corresponds to whether the constant term in the equation is equal to zero.If constant term is zero and no dispersive force is considered,the equation represents the traditional Shields initiation curve,and if constant term is zero without the dispersive force being considered,then a new Shields curve which is much lower than the traditional one is got.The fixed point of the equation corresponds to the equilibrium sediment transport of bed load.In the mutation analysis,we have found that the inflection point is the demarcation point of breaking.In theory,the breaking point corresponds to the dividing boundary line,across which the bed form changes from flat bed to sand ripple or sand dune.Compared with the experimental data of Chatou Hydraulic Lab in France,the conclusions are verified.展开更多
基金Project(71072079)supported by the National Natural Science Foundation of China
文摘The GARCH and DCC-GARCH models are used to study the volatility aggregation and dynamic relevance of China’s three kinds of nonferrous metals （copper, aluminum and zinc） pricesincorporating structural changes. The results show that copper, aluminum and zinc returns have many structure breaks points, and nonferrous metals have the greatvolatilityrisk during financial crisis. From the resultsof GARCH with and without structural changes,it isfoundthat the volatility clustering of single nonferrous metal is overvalued when ignoring the structural mutation, and the return of aluminum isthe most overvalued, indicating that aluminum market is more susceptible to external shock.Furthermore,it is also foundthatdynamic volatility correlation exists in the three prices of nonferrous metals, and the structural changes have no significant effect on the volatility correlation of thethree nonferrous metals.
基金Supported by National Natural Science Foundation of China (No.50809045 and No.40776045)National Basic Research Program of China ("973" Program)(No.2007CB714101)Ministry of Education’s New Century Elitist Project of China
文摘From the group movement of the bed load within the bottom layer,details of the nonlinear dynamic characteristics of bed load movement are discussed in this paper.Whether the sediment is initiated into motion corresponds to whether the constant term in the equation is equal to zero.If constant term is zero and no dispersive force is considered,the equation represents the traditional Shields initiation curve,and if constant term is zero without the dispersive force being considered,then a new Shields curve which is much lower than the traditional one is got.The fixed point of the equation corresponds to the equilibrium sediment transport of bed load.In the mutation analysis,we have found that the inflection point is the demarcation point of breaking.In theory,the breaking point corresponds to the dividing boundary line,across which the bed form changes from flat bed to sand ripple or sand dune.Compared with the experimental data of Chatou Hydraulic Lab in France,the conclusions are verified.
