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基于混频数据的中国进口日度景气测度研究
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作者 徐聿枫 陈磊 朱文洁 《调研世界》 2024年第10期25-36,共12页
进口对经济增长存在显著的促进作用,如何及时准确地把握进口形势、提升稳外贸优结构调控的科学化水平是亟待解决的重要问题。本文利用AIS海运大数据指标,结合其他日度指标和月度进口增速,通过日度混频动态因子模型构建进口日度景气指数... 进口对经济增长存在显著的促进作用,如何及时准确地把握进口形势、提升稳外贸优结构调控的科学化水平是亟待解决的重要问题。本文利用AIS海运大数据指标,结合其他日度指标和月度进口增速,通过日度混频动态因子模型构建进口日度景气指数以实时监测中国进口运行走势。研究分析发现,该指数具有良好的有效性和实时性。研究表明,在2009—2010年、2016—2018年和2020—2021年,中国进口呈现出三种不同的复苏路径。自2001年以来进口景气共经历五轮周期,总体表现出“速升缓降”的非对称特征。通过比较进口日度景气指数和BDI的基本走势发现,二者存在一定的相似性。 展开更多
关键词 混频数据 高频测度 进口周期波动 景气分析
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风险管理视角下的高频波动率测度比较 被引量:5
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作者 瞿慧 王怿智 《中国管理科学》 CSSCI 北大核心 2014年第S1期307-312,共6页
鉴于波动率研究的一个重要应用是金融风险管理,提出在风险管理视角下比较各种高频波动率测度。具体考虑已实现波动、双幂次变差、中位数已实现波动、双尺度已实现波动、已实现极差和最优线性组合已实现波动,借助偏学生t分布假设下的Real... 鉴于波动率研究的一个重要应用是金融风险管理,提出在风险管理视角下比较各种高频波动率测度。具体考虑已实现波动、双幂次变差、中位数已实现波动、双尺度已实现波动、已实现极差和最优线性组合已实现波动,借助偏学生t分布假设下的Realized GARCH模型,预测未来一日,五日、十日和二十日的在险价值(VaR),并从统计精度、监管精度、资本运作效率和巴塞尔Ⅱ规定的市场风险资本需求四个角度,对六种不同高频波动率测度的VaR预测效果进行比较。使用沪深300指数1分钟数据的实证表明,最优线性组合已实现波动产生的VaR预测具有明显最低的市场风险资本需求,较高的监管精度和较高的资本运作效率,以及最高的统计精度,是风险管理视角下比较可靠的高频波动率测度。 展开更多
关键词 高频波动率测度 Realized GARCH模型 样本外预测 SPA检验
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Examination and Research of the Surface Topography of Ultrasonic Vibration Honing Nd-Fe-B
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作者 祝锡晶 陆志猛 +1 位作者 王建青 成全 《Journal of Measurement Science and Instrumentation》 CAS 2010年第2期201-204,共4页
The mechanism of ultrasonic vibration honing Nd-Fe-B has been briefly elaborated after the introduction of the strategic significance of processing Nd-Fe-B. Based on the formation principle of Scanning Electrtmic Micr... The mechanism of ultrasonic vibration honing Nd-Fe-B has been briefly elaborated after the introduction of the strategic significance of processing Nd-Fe-B. Based on the formation principle of Scanning Electrtmic Microscope (SEM), and at the examination with the aid of SEM to the ultrasonic vibration honing Nd-Fe-B material's superficial microscopic topography, the paper discusses the new processing nechanism according to the SEM examination picture. The research indicates that as a result of supersonic high frequency vibration, the path of the abrasion extends at the same time, and the supersonic cavitation effect forms the intense shock-wave, knpacting Nd-Fe-B material's intemal surface, providing the supersonic energy for the superticial abrasive dust's dimination, which directly explain that the honing processing efficiency is enhanced, and the processing surface roughness is high. 展开更多
关键词 SEM ultrasonic processing HONING Nd- Fe- B ultra- sonic cavitation
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High-frequency interference in low strain integrity testing of large-diameter pipe piles 被引量:19
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作者 DING XuanMing LIU HanLong ZHANG Bo 《Science China(Technological Sciences)》 SCIE EI CAS 2011年第2期420-430,共11页
The high-frequency interference exists obviously in low strain integrity testing of large-diameter pipe pile when a transientpoint load is applied. An analytical solution of vertical vibratory response of large-diamet... The high-frequency interference exists obviously in low strain integrity testing of large-diameter pipe pile when a transientpoint load is applied. An analytical solution of vertical vibratory response of large-diameter pipe piles in low strain testing isdeduced in this paper. The analytical solution is verified by both numerical simulation and model test results. The time-domainvelocity responses on pile top are analyzed. The calculation results indicate that the time-domain responses at various pointssuffer different high-frequency interferences, thus the peak values and phases of different points are different. The influence ofvibratory modes on high-frequency interference is analyzed. It is found that the high-frequency interference at 90° point main-ly derives from the second flexural mode, but for other points it mainly originates from the first flexural mode. The factors af-fecting the frequency and peak value of interference waves have been investigated in this study. The results indicate that thelarger radius angle between the receiving and 90° points leads to greater peak value of high frequency wave crest. The leasthigh-frequency interference is detected at the angle of 90°. The frequency of interference waves is decreased with the increaseof pile radius, while the peak value is almost constant. The frequency is also related to pile modulus, i.e. the larger pile modu-lus results in greater frequency. The peak value varies with impulse width and soil resistance, i.e., the wider impulse width andlarger soil resistance cause smaller peak value. In conclusion, the frequency of interference waves is dependent on the geomet-rical and mechanics characteristics of the piles such as pile radius and modulus, but independent of the external conditionssuch as impulse width and soil resistance. On the other hand, the peak value of interference waves is mainly dependent on theexternal conditions but independent of the geometrical and mechanics characteristics of the piles. In practice, some externalmeasures should be adopted to weaken high-frequency interference such as using soft hammer, hammer cushion and adoptingsuitable receiving point. 展开更多
关键词 large-diameter pipe pile low strain integrity testing high-frequency interference vibratory response analytic solution
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