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模型重置与期货套期保值效率 被引量:1
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作者 付剑茹 叶猛华 万文昊 《江西师范大学学报(自然科学版)》 CAS 北大核心 2019年第2期196-205,共10页
在套期保值实务中,市场不断受到新的冲击,波动率瞬息万变,过于久远的历史数据可能对投资者产生误导.传统的套期保值方法是利用全期历史样本来估计当期最优套期保值比率,但中国股票市场与股指期货收益率是否具有长记忆性?早期样本信息是... 在套期保值实务中,市场不断受到新的冲击,波动率瞬息万变,过于久远的历史数据可能对投资者产生误导.传统的套期保值方法是利用全期历史样本来估计当期最优套期保值比率,但中国股票市场与股指期货收益率是否具有长记忆性?早期样本信息是否可靠?为解答这些问题,该文尝试提出模型重置概念,保持每次建模的样本数量一定,向前一步预测时按时序引入新样本,同时剔除早期样本;在此基础上选取能有效刻画市场收益率长记忆性的CCC、DCC、GOGARCH模型对中国沪深300、中证500、上证50股指期货的时变套期保值比率进行估计,进而对比模型重置前后的套期保值效率.结果表明:模型重置后,套期保值效率更高;模型重置周期越短(样本越新鲜),套期保值效率越高.这说明在利用沪深300、中证500、上证50股指期货对冲中国股票资产时,应避免受到早期历史数据的影响. 展开更多
关键词 长记忆性 套期保值 模型重置 GARCH模型
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基于ViBe的运动目标检测改进方法 被引量:12
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作者 丁洁 况立群 韩燮 《计算机工程与设计》 北大核心 2017年第2期374-378,共5页
针对运动目标检测算法视觉背景提取(visual background extractor,ViBe)对光线突变适应缓慢和易产生目标丢失等问题,提出一种ViBe的改进算法。充分利用ViBe算法初始化特点,在ViBe中加入光线判定方法并设计生成ViBe新背景模型的方法,改... 针对运动目标检测算法视觉背景提取(visual background extractor,ViBe)对光线突变适应缓慢和易产生目标丢失等问题,提出一种ViBe的改进算法。充分利用ViBe算法初始化特点,在ViBe中加入光线判定方法并设计生成ViBe新背景模型的方法,改变原始ViBe算法结构,使ViBe算法在光线突变时找到合适的帧重置背景模型,将光线突变时模型恢复问题变为模型重置问题,达到迅速适应光照突变的目的。实验结果表明,使用该方法可以使ViBe有两方面的改进:在光线突变时不会产生目标丢失;使ViBe算法更加快速地适应光照变化。 展开更多
关键词 视觉背景提取算法 光线突变 帧间差分 背景差分 运动目标检测 背景模型重置
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Effect of Silicon-on-Insulator Substrate on Residual Strain in 3C-SiC Films
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作者 王晓峰 黄风义 +5 位作者 孙国胜 王雷 赵万顺 曾一平 李海鸥 段晓峰 《Journal of Semiconductors》 EI CAS CSCD 北大核心 2005年第9期1681-1687,共7页
One group of SiC films are grown on silicon-on-insulator (SOI) substrates with a series of silicon-overlayer thickness. Raman scattering spectroscopy measurement clearly indicates that a systematic trend of residual... One group of SiC films are grown on silicon-on-insulator (SOI) substrates with a series of silicon-overlayer thickness. Raman scattering spectroscopy measurement clearly indicates that a systematic trend of residual stress reduction as the silicon over-layer thickness decreases for the SOI substrates. Strain relaxation in the SiC epilayer is explained by force balance approach and near coincidence lattice model. 展开更多
关键词 RAMAN strain relaxation force balance principle near coincidence lattice model
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Resistance Analysis of Unsymmetrical Trimaran Model with Outboard Sidehulls Configuration 被引量:5
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作者 Yanuar Gunawan +2 位作者 M.A.Talahatu Ragil T.Indrawati A.Jamaluddin 《Journal of Marine Science and Application》 2013年第3期293-297,共5页
The application of multi-hull ship or trimaran vessel as a mode of transports in both river and sea environments have grown rapidly in recent years.Trimaran vessels are currently of interest for many new high speed sh... The application of multi-hull ship or trimaran vessel as a mode of transports in both river and sea environments have grown rapidly in recent years.Trimaran vessels are currently of interest for many new high speed ship projects due to the high levels of hydrodynamic efficiency that can be achieved,compared to the mono-hull and catamaran hull forms.The purpose of this study is to identify the possible effects of using an unsymmetrical trimaran ship model with configuration(S/L) 0.1-0.3 and R/L=0.1-0.2.Unsymmetrical trimaran ship model with main dimensions: L=2000mm,B=200 mm and T=45 mm.Experimental methods(towing tank) were performed in the study using speed variations at Froude number 0.1-0.6.The ship model was pulled by an electric motor whose speed could be varied and adjusted.The ship model resistance was measured precisely by using a load cell transducer.The comparison of ship resistance for each configuration with mono-hull was shown on the graph as a function of the total resistance coefficient and Froude number.The test results found that the effective drag reduction could be achieved up to 17% at Fr=0.35 with configuration S/L=0.1. 展开更多
关键词 trimaran model unsymmetrical hull ship resistance STAGGER drag reduction
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Noninfectious Fever Following Aortic Surgery:Incidence,Risk Factors,and Outcomes 被引量:1
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作者 Yun-tai Yao Li-huan Li Qian Lei Lei Chen Wei-peng Wang Wei-ping Chen 《Chinese Medical Sciences Journal》 CAS CSCD 2009年第4期213-219,共7页
Objective To determine the incidence, course, potential risk factors, and outcomes of noninfectious fever developed in patients after aortic surgery. Methods Patients who received operation for aortic aneurysm or dis... Objective To determine the incidence, course, potential risk factors, and outcomes of noninfectious fever developed in patients after aortic surgery. Methods Patients who received operation for aortic aneurysm or dissection in our center from January 2006 to January 2008 were reviewed. Patients who met one of the following criteria were excluded: having a known source of infection during hospitalization; having a preoperative oral temperature greater than or equal to 38.0℃; undertaking emergency surgery; having incomplete data. Univariate analysis was performed in patients with noninfectious postoperative fever and those without, with respect to demographics, intraoperative data, etc. Risk factors for postoperative fever were considered for the muhivariate logistic regression model if they had a P value less than 0.10 in the univariate analysis. Results Totally 463 patients undergoing aortic surgery were enrolled for full review. Among them, 345 (74.5%) patients had noninfectious postoperative fever, the other 118 (25.5%) patients didn't develop postoperative fever. Univariate analysis demonstrated that several risk factors were associated with the development of noninfectious postoperative fever, including weight, surgical procedure, minimum intraoperative bladder temperature, temperature upon intensive care unit (ICU) admission, discharge, and during ICU stay, as well as blood transfusion. In a further multivariate analysis, surgical site of thoracic and thoracoabdominal aorta (odds ratio: 4.861; 95% confidence interval: 3.029-5.801; P=0.004), lower minimum intraoperative bladder temperature (odds ratio: 1.117; 95% confidence interval: 1.01-1.24; P=0.04), and higher temperature on admission to the ICU (odds ratio: 2.57; 95% confidence interval: 1.28-5.18; P=0.008) were found to be significant predictors for noninfectious postoperative fever. No difference was found between the febrile and afebrile patients with regard to postoperative hospitalization duration (P=0.558) or total medical costs (P=0.896). Conclusion Noninfectious postoperative fever following aortic surgery is very common and closely related with perioperative interventions. 展开更多
关键词 FEVER noninfectious aortic surgery
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资产评估中几个问题的探讨
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作者 韩雨南 《中国林业企业》 1999年第2期40-41,共2页
关键词 资产评估 资产 价值 重置成本法模型 现行市场法
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TRANSPORT COSTS AND CHINA'S EXPORTS:SOME EMPIRICAL EVIDENCES 被引量:6
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作者 XU Lizhi FANG Shu-Cherng ZHANG Xun 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2013年第3期365-382,共18页
Based on a new panel data set covering exports of four Chinese port cities to 32 countries and Hong Kong over the period of 1997-2008, this paper extends the conventional gravity model to assess the impacts of transpo... Based on a new panel data set covering exports of four Chinese port cities to 32 countries and Hong Kong over the period of 1997-2008, this paper extends the conventional gravity model to assess the impacts of transport costs and port efficiency on China's exports. The results can be summarized as three main findings: (1) The improvements of port efficiency and reduction of road transport costs play a vital role in China's export competitiveness in the global market. The coefficient estimates on them are relatively large, around 0.72 and -0.89, respectively; (2) The effect of transport costs and port efficiency on China-to-Asia exports significantly exceeds that on China-to-Europe and China-to-America exports; (3) The overall estimated elasticity of road, railroad and port measure is 1.66, which is almost three times that of the average wage of port cities. The empirical results provide strong evidences that upgrading China's transport service networks should offer greater scope for maintaining and increasing its competitive edge in low cost productions. The findings offer some insights and priorities for government policy making. 展开更多
关键词 Container throughput port efficiency the gravity model transport costs.
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