Empirical studies have shown that a large number of financial asset returns exhibit fat tails （leptokurtosis） and are often characterized by volatility clustering and asymmetry. This paper considers the ability of t...Empirical studies have shown that a large number of financial asset returns exhibit fat tails （leptokurtosis） and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the GARCH-Type （Generalized Autoregressive Conditional Heteroskedasticity） models to capture the stylized features of volatility in national stock market returns for three countries （Portugal, Spain and Greece）. The results of this paper suggest that in the presence of asymmetric responses to innovations in the market, the ARMA （1,1）-GJRGARCH（1,1） skewed Student-t model which accommodates both the skewness and the kurtosis of financial time series is preferred.展开更多
By analyzing the variability of global SST （sea surface temperature） anomalies, we propose a unified Nifio index using the surface thermal centroid anomaly of the region along the Pacific equator embraced by the 0.7...By analyzing the variability of global SST （sea surface temperature） anomalies, we propose a unified Nifio index using the surface thermal centroid anomaly of the region along the Pacific equator embraced by the 0.7~C contour line of the standard deviation of the SST anomalies and try to unify the traditional Nifio regions into a single entity. The unified Nifio region covers almost all of the traditional Nifio regions. The anomaly time series of the averaged SST over this region are closely correlated to historical Nifio indices. The anomaly time series of the zonal and meridional thermal centroid have close correlation with historical TNI （Trans-Nifio index） indices, showing differences among E1 Nifio （La Nifia） events. The meridional centroid anomaly suggests that areas of maximum temperature anomaly are moving meridionally （although slightly） with synchronous zonal movement. The zonal centroid anomalies of the unified Nifio region are found helpful in the classification of the Eastern Pacific （EP）/Central Pacific （CP） types of E1 Nifio events. More importantly, the zonal centroid anomaly shows that warm areas might move during a single warming/cooling phase. All the current Nifio indices can be well represented by a simple linear combination of unified Nifio indices, which suggests that the thermal anomaly （SSTA） and thermal centroid location anomaly of the unified Nifio region would yield a more complete image of each E1 Nifio/ La Nina event.展开更多
Translation involves not only formal transformation of two languages concerned, but also conversion of thought patterns. The oriental thought pattern is considered ＂concrete＂, ＂man-centered＂, and ＂ordinal＂; whil...Translation involves not only formal transformation of two languages concerned, but also conversion of thought patterns. The oriental thought pattern is considered ＂concrete＂, ＂man-centered＂, and ＂ordinal＂; while the western one is believed to be ＂abstract＂, ＂object-centered＂, and ＂conversed＂. These are the decisive factors for the existence of the differences in language expressing. It is of great importance to study these differences and make some adjustments in terms of syntactic structure, semantic focus, and time order so as to achieve a natural rending.展开更多
文摘Empirical studies have shown that a large number of financial asset returns exhibit fat tails （leptokurtosis） and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the GARCH-Type （Generalized Autoregressive Conditional Heteroskedasticity） models to capture the stylized features of volatility in national stock market returns for three countries （Portugal, Spain and Greece）. The results of this paper suggest that in the presence of asymmetric responses to innovations in the market, the ARMA （1,1）-GJRGARCH（1,1） skewed Student-t model which accommodates both the skewness and the kurtosis of financial time series is preferred.
基金Supported by the National Basic Research Program of China(973 Program)(Nos.2012CB957704,2009CB723903)the National Natural Science Foundation of China(Nos.40506035,40876005)
文摘By analyzing the variability of global SST （sea surface temperature） anomalies, we propose a unified Nifio index using the surface thermal centroid anomaly of the region along the Pacific equator embraced by the 0.7~C contour line of the standard deviation of the SST anomalies and try to unify the traditional Nifio regions into a single entity. The unified Nifio region covers almost all of the traditional Nifio regions. The anomaly time series of the averaged SST over this region are closely correlated to historical Nifio indices. The anomaly time series of the zonal and meridional thermal centroid have close correlation with historical TNI （Trans-Nifio index） indices, showing differences among E1 Nifio （La Nifia） events. The meridional centroid anomaly suggests that areas of maximum temperature anomaly are moving meridionally （although slightly） with synchronous zonal movement. The zonal centroid anomalies of the unified Nifio region are found helpful in the classification of the Eastern Pacific （EP）/Central Pacific （CP） types of E1 Nifio events. More importantly, the zonal centroid anomaly shows that warm areas might move during a single warming/cooling phase. All the current Nifio indices can be well represented by a simple linear combination of unified Nifio indices, which suggests that the thermal anomaly （SSTA） and thermal centroid location anomaly of the unified Nifio region would yield a more complete image of each E1 Nifio/ La Nina event.
文摘Translation involves not only formal transformation of two languages concerned, but also conversion of thought patterns. The oriental thought pattern is considered ＂concrete＂, ＂man-centered＂, and ＂ordinal＂; while the western one is believed to be ＂abstract＂, ＂object-centered＂, and ＂conversed＂. These are the decisive factors for the existence of the differences in language expressing. It is of great importance to study these differences and make some adjustments in terms of syntactic structure, semantic focus, and time order so as to achieve a natural rending.
