This paper seeks to model and forecast the Chinese nonferrous metals futures market volatility and allows new insights into the time-varying volatility of realized volatility and leverage effects using high-frequency ...This paper seeks to model and forecast the Chinese nonferrous metals futures market volatility and allows new insights into the time-varying volatility of realized volatility and leverage effects using high-frequency data.The LHAR-CJ model is extended and the empirical research on copper and aluminum futures in Shanghai Futures Exchange suggests the dynamic dependencies and time-varying volatility of realized volatility,which are captured by long memory HAR-GARCH model.Besides,the findings also show the significant weekly leverage effects in Chinese nonferrous metals futures market volatility.Finally,in-sample and out-of-sample forecasts are investigated,and the results show that the LHAR-CJ-G model,considering time-varyingvolatility of realized volatility and leverage effects,effectively improves the explanatory power as well as out-of sample predictive performance.展开更多
Wave simulation was conducted for the period 1976 to 2005 in the South China Sea (SCS) using the wave model, WAVEWATCH-III. Wave characteristics and engineering environment were studied in the region. The wind input...Wave simulation was conducted for the period 1976 to 2005 in the South China Sea (SCS) using the wave model, WAVEWATCH-III. Wave characteristics and engineering environment were studied in the region. The wind input data are from the objective reanalysis wind datasets, which assimilate meteorological data from several sources. Comparisons of significant wave heights between simulation and TOPEX/Poseidon altimeter and buoy data show a good agreement in general. By statistical analysis, the wave characteristics, such as significant wave heights, dominant wave directions, and their seasonal variations, were discussed. The largest significant wave heights are found in winter and the smallest in spring. The annual mean dominant wave direction is northeast (NE) along the southwest (SW)-NE axis, east northeast in the northwest (NW) part of SCS, and north northeast in the southeast (SE) part of SCS. The joint distributions of wave heights and wave periods (directions) were studied. The results show a single peak pattern for joint significant wave heights and periods, and a double peak pattern for joint significant wave heights and mean directions. Furthermore, the main wave extreme parameters and directional extreme values, particularly for the 100-year return period, were also investigated. The main extreme values of significant wave heights are larger in the northern part of SCS than in the south- ern part, with the maximum value occurring to the southeast of Hainan Island. The direction of large directional extreme Hs values is focus in E in the northem and middle sea areas of SCS, while the direction of those is focus in N in the southeast sea areas of SCS.展开更多
The purpose of the present paper is to call for attention to the following question: Which of the initial data (nonsmall) admit global smooth solutions to the Cauchy problem for nonlinear wave equations. A few cases a...The purpose of the present paper is to call for attention to the following question: Which of the initial data (nonsmall) admit global smooth solutions to the Cauchy problem for nonlinear wave equations. A few cases and examples are sketched, showing that the general answer of this question may be quite complicated.展开更多
Although deep learning has achieved a milestone in forecasting the El Niño-Southern Oscillation(ENSO),the current models are insufficient to simulate diverse characteristics of the ENSO,which depends on the calen...Although deep learning has achieved a milestone in forecasting the El Niño-Southern Oscillation(ENSO),the current models are insufficient to simulate diverse characteristics of the ENSO,which depends on the calendar season.Consequently,a model was generated for specific seasons which indicates these models did not consider physical constraints between different target seasons and forecast lead times,thereby leading to arbitrary fluctuations in the predicted time series.To overcome this problem and account for ENSO seasonality,we developed an all-season convolutional neural network(A_CNN)model.The correlation skill of the ENSO index was particularly improved for forecasts of the boreal spring,which is the most challenging season to predict.Moreover,activation map values indicated a clear time evolution with increasing forecast lead time.The study findings reveal the comprehensive role of various climate precursors of ENSO events that act differently over time,thus indicating the potential of the A_CNN model as a diagnostic tool.展开更多
基金Project(13&ZD169)supported by the Major Program of the National Social Science Foundation of ChinaProject(2016zzts009)supported by Doctoral Students Independent Explore Innovation Project of Central South University,China+3 种基金Project(13YJAZH149)supported by the Social Science Foundation of Ministry of Education of ChinaProject(2015JJ2182)supported by the Social Science Foundation of Hunan Province,ChinaProject(71573282)supported by the National Natural Science Foundation of ChinaProject(15K133)supported by the Educational Commission of Hunan Province of China
文摘This paper seeks to model and forecast the Chinese nonferrous metals futures market volatility and allows new insights into the time-varying volatility of realized volatility and leverage effects using high-frequency data.The LHAR-CJ model is extended and the empirical research on copper and aluminum futures in Shanghai Futures Exchange suggests the dynamic dependencies and time-varying volatility of realized volatility,which are captured by long memory HAR-GARCH model.Besides,the findings also show the significant weekly leverage effects in Chinese nonferrous metals futures market volatility.Finally,in-sample and out-of-sample forecasts are investigated,and the results show that the LHAR-CJ-G model,considering time-varyingvolatility of realized volatility and leverage effects,effectively improves the explanatory power as well as out-of sample predictive performance.
基金supported by the National Natural Science Foundation of China (51279186)the Open Fund of the Shandong Province Key Laboratory of Ocean Engineering,Ocean University of China (201362045)
文摘Wave simulation was conducted for the period 1976 to 2005 in the South China Sea (SCS) using the wave model, WAVEWATCH-III. Wave characteristics and engineering environment were studied in the region. The wind input data are from the objective reanalysis wind datasets, which assimilate meteorological data from several sources. Comparisons of significant wave heights between simulation and TOPEX/Poseidon altimeter and buoy data show a good agreement in general. By statistical analysis, the wave characteristics, such as significant wave heights, dominant wave directions, and their seasonal variations, were discussed. The largest significant wave heights are found in winter and the smallest in spring. The annual mean dominant wave direction is northeast (NE) along the southwest (SW)-NE axis, east northeast in the northwest (NW) part of SCS, and north northeast in the southeast (SE) part of SCS. The joint distributions of wave heights and wave periods (directions) were studied. The results show a single peak pattern for joint significant wave heights and periods, and a double peak pattern for joint significant wave heights and mean directions. Furthermore, the main wave extreme parameters and directional extreme values, particularly for the 100-year return period, were also investigated. The main extreme values of significant wave heights are larger in the northern part of SCS than in the south- ern part, with the maximum value occurring to the southeast of Hainan Island. The direction of large directional extreme Hs values is focus in E in the northem and middle sea areas of SCS, while the direction of those is focus in N in the southeast sea areas of SCS.
基金Project supported by the Chinese SpecialFunds for Major State Basic Research Project"NonlinearScience"
文摘The purpose of the present paper is to call for attention to the following question: Which of the initial data (nonsmall) admit global smooth solutions to the Cauchy problem for nonlinear wave equations. A few cases and examples are sketched, showing that the general answer of this question may be quite complicated.
基金This work was supported by the National Research Foundation of Korea(NRF)(NRF-2020R1A2C2101025).
文摘Although deep learning has achieved a milestone in forecasting the El Niño-Southern Oscillation(ENSO),the current models are insufficient to simulate diverse characteristics of the ENSO,which depends on the calendar season.Consequently,a model was generated for specific seasons which indicates these models did not consider physical constraints between different target seasons and forecast lead times,thereby leading to arbitrary fluctuations in the predicted time series.To overcome this problem and account for ENSO seasonality,we developed an all-season convolutional neural network(A_CNN)model.The correlation skill of the ENSO index was particularly improved for forecasts of the boreal spring,which is the most challenging season to predict.Moreover,activation map values indicated a clear time evolution with increasing forecast lead time.The study findings reveal the comprehensive role of various climate precursors of ENSO events that act differently over time,thus indicating the potential of the A_CNN model as a diagnostic tool.