A realistic kinetic Monte Carlo （KMC） simulation model with physical parameters is developed, which well reproduces the heteroepitaxial growth of multilayered Ni thin film on Cu（100） surfaces at room temperature. ...A realistic kinetic Monte Carlo （KMC） simulation model with physical parameters is developed, which well reproduces the heteroepitaxial growth of multilayered Ni thin film on Cu（100） surfaces at room temperature. The effects of mass transport between interlayers and edge diffusion of atoms along the islands are included in the simulation model, and the surface roughness and the layer distribution versus total coverage are calculated. Speeially, the simulation model reveals the transition of growth mode with coverage and the difference between the Ni heteroepitaxy on Cu（100） and the Ni homoepitaxy on Ni（100）. Through comparison of KMC simulation with the real scanning tunneling microscopy （STM） experiments, the Ehrlich-Schwoebel （ES） barrier Ees is estimated to be 0.18±0.02 eV for Ni/Cu（100） system while 0.28 eV for Ni/Ni（100）. The simulation also shows that the growth mode depends strongly on the thickness of thin film and the surface temperature, and the critical thickness of growth mode transition is dependent on the growth condition such as surface temperature and deposition flux as well.展开更多
This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency...This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency exchange swaps contracts （USS/Brazilian Reais） are submitted to a delta-normal VaR method, in order to evaluate the market risk of each swaps series, by modeling the variance of the daily returns, from August 1999 to January 2003. All daily returns series exhibited heteroscedasticity in the conditional variance and sudden changes in the unconditional variance. The points of changes of the unconditional variance were determined through the Iterative Cumulative Sum of Squares （ICSS） algorithm, and the conditional variance was modeled with Markov-Switching-Generalized Autoregressive Conditional Heteroscedasticity （SWGARCH） in order to capture heteroscedasticity and regime change. The results lead to two main conclusions： First, a VaR model must incorporate heteroscedasticity and regime switching in order to describe the variance of the tested series, submitted to brisk changes of economic and political scenarios. Second, a volatility-based VaR do not necessarily generate forward-looking indicators, but rather coincident indicators of possible financial vulnerabilities. The future research will evolve towards evaluating the effects of the Basel III recommendations as if they could be applied to this crisis period.展开更多
This paper investigates the influence of exchange rate volatility on the volume of Japanese manufacturing export. The volatility in yen is shown by conditional variance from EGARCH （Exponential Generalized Autoregres...This paper investigates the influence of exchange rate volatility on the volume of Japanese manufacturing export. The volatility in yen is shown by conditional variance from EGARCH （Exponential Generalized Autoregressive Conditional Heteroscedasticity） model, allowing for asymmetric effects that a shock of an appreciation of the yen is different from that of a depreciation of the yen. The export action model including exchange rate volatility is constructed based on VAR （Vector Auto Regressive） model to examine the relationship between exchange rate uncertainty and the volume of export. Tests are performed for typical eight kinds of industry in Japan. Few empirical studies focus on each Japanese industry export. Results indicate significant negative effects of exchange rate volatility on most manufacturing exports. In addition, this paper analyzes the each industry, featurc of the influence of exchange rate on the volume of Japanese export. The authors find that equipment industries occupying 60% or more of total Japanese exports especially tend to receive negative influence of exchange.展开更多
This paper considers the estimation of a Box-Cox transformation model with varying coefficient. A two-step approach is proposed in which the first step estimates the varying coefficients nonparametrically for any give...This paper considers the estimation of a Box-Cox transformation model with varying coefficient. A two-step approach is proposed in which the first step estimates the varying coefficients nonparametrically for any given parameter a in the transformation function. Then a one-dimensional search of a has been employed based on some least absolute deviation criterion function. The validity of our estimator does not require independence assumption thus is robust to the conditional heteroscedasticity. A simulation study shows a reasonably well finite sample performance. Additionally, a comprehensive empirical study has been carefully examined.展开更多
We consider the periodic generalized autoregressive conditional heteroskedasticity(P-GARCH) process and propose a robust estimator by composite quantile regression. We study some useful properties about the P-GARCH mo...We consider the periodic generalized autoregressive conditional heteroskedasticity(P-GARCH) process and propose a robust estimator by composite quantile regression. We study some useful properties about the P-GARCH model. Under some mild conditions, we establish the asymptotic results of proposed estimator.The Monte Carlo simulation is presented to assess the performance of proposed estimator. Numerical study results show that our proposed estimation outperforms other existing methods for heavy tailed distributions.The proposed methodology is also illustrated by Va R on stock price data.展开更多
The authors consider the complex Monge-Ampere equation det（uij） = ψ（z, u, △↓u） in bounded strictly pseudoconvex domains Ω, subject to the singular boundary condition u =∞ on δΩ. Under suitable conditions on...The authors consider the complex Monge-Ampere equation det（uij） = ψ（z, u, △↓u） in bounded strictly pseudoconvex domains Ω, subject to the singular boundary condition u =∞ on δΩ. Under suitable conditions on ψ, the existence, uniqueness and the exact asymptotic behavior of solutions Monge-Ampere equations are established to boundary blow-up problems for the complex展开更多
According to more recent work, the Wilshire equations have shown good prediction accuracy in a wide range of materials and stress-temperature conditions, particularly in extrapolation of short term results to long ter...According to more recent work, the Wilshire equations have shown good prediction accuracy in a wide range of materials and stress-temperature conditions, particularly in extrapolation of short term results to long term predictions. In the current paper, this methodology was further developed for modeling anisotropic creep characteristics （i.e. minimum creep strain /~n, stress rupture life q and time to a specified strain t~） of four typical Ni-based directionally solidified （DS） and single crystal （SC） superalloys, where a simple orientation factor related to the ultimate tensile strength （UTS） was introduced. The application of these simplistic approaches showed that the anisotropic creep characteristics in a wide range of stress-temperature conditions can be accurately simulated. Meanwhile, during the application of the modified Wilshire equations, break points occurring at the specified stress levels agree well with the transition of creep deformation mechanisms occurring in different stress regions, which provides confidence for using this method.展开更多
基金the State Key Basic Research Development Project of China under Grant No.2006CB708612the Key Project of Science and Technology of Zhejiang Province under Grant No.2007C21120
文摘A realistic kinetic Monte Carlo （KMC） simulation model with physical parameters is developed, which well reproduces the heteroepitaxial growth of multilayered Ni thin film on Cu（100） surfaces at room temperature. The effects of mass transport between interlayers and edge diffusion of atoms along the islands are included in the simulation model, and the surface roughness and the layer distribution versus total coverage are calculated. Speeially, the simulation model reveals the transition of growth mode with coverage and the difference between the Ni heteroepitaxy on Cu（100） and the Ni homoepitaxy on Ni（100）. Through comparison of KMC simulation with the real scanning tunneling microscopy （STM） experiments, the Ehrlich-Schwoebel （ES） barrier Ees is estimated to be 0.18±0.02 eV for Ni/Cu（100） system while 0.28 eV for Ni/Ni（100）. The simulation also shows that the growth mode depends strongly on the thickness of thin film and the surface temperature, and the critical thickness of growth mode transition is dependent on the growth condition such as surface temperature and deposition flux as well.
文摘This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency exchange swaps contracts （USS/Brazilian Reais） are submitted to a delta-normal VaR method, in order to evaluate the market risk of each swaps series, by modeling the variance of the daily returns, from August 1999 to January 2003. All daily returns series exhibited heteroscedasticity in the conditional variance and sudden changes in the unconditional variance. The points of changes of the unconditional variance were determined through the Iterative Cumulative Sum of Squares （ICSS） algorithm, and the conditional variance was modeled with Markov-Switching-Generalized Autoregressive Conditional Heteroscedasticity （SWGARCH） in order to capture heteroscedasticity and regime change. The results lead to two main conclusions： First, a VaR model must incorporate heteroscedasticity and regime switching in order to describe the variance of the tested series, submitted to brisk changes of economic and political scenarios. Second, a volatility-based VaR do not necessarily generate forward-looking indicators, but rather coincident indicators of possible financial vulnerabilities. The future research will evolve towards evaluating the effects of the Basel III recommendations as if they could be applied to this crisis period.
文摘This paper investigates the influence of exchange rate volatility on the volume of Japanese manufacturing export. The volatility in yen is shown by conditional variance from EGARCH （Exponential Generalized Autoregressive Conditional Heteroscedasticity） model, allowing for asymmetric effects that a shock of an appreciation of the yen is different from that of a depreciation of the yen. The export action model including exchange rate volatility is constructed based on VAR （Vector Auto Regressive） model to examine the relationship between exchange rate uncertainty and the volume of export. Tests are performed for typical eight kinds of industry in Japan. Few empirical studies focus on each Japanese industry export. Results indicate significant negative effects of exchange rate volatility on most manufacturing exports. In addition, this paper analyzes the each industry, featurc of the influence of exchange rate on the volume of Japanese export. The authors find that equipment industries occupying 60% or more of total Japanese exports especially tend to receive negative influence of exchange.
基金supported by National Natural Science Foundation of China(Grant Nos.71171127,71471108 and 71601105)the Open Project Program in the Key Laboratory of Mathematical Economics(SUFE)(Grant No.201309KF02)+2 种基金Ministry of Education of the People’s Republic of Chinathe Program for Changjiang Scholars and Innovative Research Team in Shanghai University of Finance and Economicsthe Innovative Research Team of Econometrics in Shanghai Academy of Social Sciences
文摘This paper considers the estimation of a Box-Cox transformation model with varying coefficient. A two-step approach is proposed in which the first step estimates the varying coefficients nonparametrically for any given parameter a in the transformation function. Then a one-dimensional search of a has been employed based on some least absolute deviation criterion function. The validity of our estimator does not require independence assumption thus is robust to the conditional heteroscedasticity. A simulation study shows a reasonably well finite sample performance. Additionally, a comprehensive empirical study has been carefully examined.
基金supported by National Natural Science Foundation of China(Grant No.11371354)Key Laboratory of Random Complex Structures and Data Science+2 种基金Chinese Academy of Sciences(Grant No.2008DP173182)National Center for Mathematics and Interdisciplinary SciencesChinese Academy of Sciences
文摘We consider the periodic generalized autoregressive conditional heteroskedasticity(P-GARCH) process and propose a robust estimator by composite quantile regression. We study some useful properties about the P-GARCH model. Under some mild conditions, we establish the asymptotic results of proposed estimator.The Monte Carlo simulation is presented to assess the performance of proposed estimator. Numerical study results show that our proposed estimation outperforms other existing methods for heavy tailed distributions.The proposed methodology is also illustrated by Va R on stock price data.
基金Project supported by the Tianyuan Foundation of Mathematics (No. 10926164)
文摘The authors consider the complex Monge-Ampere equation det（uij） = ψ（z, u, △↓u） in bounded strictly pseudoconvex domains Ω, subject to the singular boundary condition u =∞ on δΩ. Under suitable conditions on ψ, the existence, uniqueness and the exact asymptotic behavior of solutions Monge-Ampere equations are established to boundary blow-up problems for the complex
基金supported by the National Natural Science Foundation of China(Grand No.NSFC 51275023)the Innovation Foundation of BUAA for PhD Graduates(Grand No.YWF-14-YJSY-49)
文摘According to more recent work, the Wilshire equations have shown good prediction accuracy in a wide range of materials and stress-temperature conditions, particularly in extrapolation of short term results to long term predictions. In the current paper, this methodology was further developed for modeling anisotropic creep characteristics （i.e. minimum creep strain /~n, stress rupture life q and time to a specified strain t~） of four typical Ni-based directionally solidified （DS） and single crystal （SC） superalloys, where a simple orientation factor related to the ultimate tensile strength （UTS） was introduced. The application of these simplistic approaches showed that the anisotropic creep characteristics in a wide range of stress-temperature conditions can be accurately simulated. Meanwhile, during the application of the modified Wilshire equations, break points occurring at the specified stress levels agree well with the transition of creep deformation mechanisms occurring in different stress regions, which provides confidence for using this method.
