The accuracy and time scale invariance of value-at-risk （VaR） measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory （EVT） is applied to model the extre...The accuracy and time scale invariance of value-at-risk （VaR） measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory （EVT） is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution （GPD）, and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE （Hill） at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.展开更多
This article proves the existence of singular directions of value distribution theory for some transcendental holomorphic curves in the n-dimensional complex projective space P^n（C）.. An example is given to compleme...This article proves the existence of singular directions of value distribution theory for some transcendental holomorphic curves in the n-dimensional complex projective space P^n（C）.. An example is given to complement these results.展开更多
This paper proves some uniqueness theorems for meromorphic mappings in several complex variables into the complex projective space p^N（C） with truncated multiplicities, and our results improve some earlier work.
This article proves the existence of Julia directions of value distribution of holomorphic mapping f from the unit disk into the n-dimensional complex projective spacePn（C） under the assumption limsupT（r,f）/log 1/...This article proves the existence of Julia directions of value distribution of holomorphic mapping f from the unit disk into the n-dimensional complex projective spacePn（C） under the assumption limsupT（r,f）/log 1/1-r = ＋∞ for hypersurfaces in general position. A heuristic principle concerning the existence of Julia directions of holomorphic mappings from the unit disk into Pn（C） is given also.展开更多
In this article, we prove a degeneracy theorem for three linearly non-degenerate meromorphic mappings from Cn into PN （C）, sharing 2N ＋ 2 hyperplanes in general position, counted with multiplicities truncated by 2.
This article gives a normal criterion for families of holomorphic mappings of several complex variables into P N(C)for moving hypersurfaces in pointwise general position,related to an Eremenko’s theorem.
基金The National Natural Science Foundation of China (No70501025 & 70572089)
文摘The accuracy and time scale invariance of value-at-risk （VaR） measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory （EVT） is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution （GPD）, and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE （Hill） at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.
基金The project supported in part by the National Natural Science Foundation of China (10371091)
文摘This article proves the existence of singular directions of value distribution theory for some transcendental holomorphic curves in the n-dimensional complex projective space P^n（C）.. An example is given to complement these results.
基金supported in part by the National Natural Science Foundation of China(10971156,11271291)
文摘This paper proves some uniqueness theorems for meromorphic mappings in several complex variables into the complex projective space p^N（C） with truncated multiplicities, and our results improve some earlier work.
基金project supported in part by the National Natural Science Foundation of China(10971156)
文摘This article proves the existence of Julia directions of value distribution of holomorphic mapping f from the unit disk into the n-dimensional complex projective spacePn（C） under the assumption limsupT（r,f）/log 1/1-r = ＋∞ for hypersurfaces in general position. A heuristic principle concerning the existence of Julia directions of holomorphic mappings from the unit disk into Pn（C） is given also.
基金supported by the National Natural Science Foundation of China(10871145, 10901120)Doctoral Program Foundation of the Ministry of Education of China (20090072110053)
文摘In this article, we prove a degeneracy theorem for three linearly non-degenerate meromorphic mappings from Cn into PN （C）, sharing 2N ＋ 2 hyperplanes in general position, counted with multiplicities truncated by 2.
基金supported in part by the National Natural Science Foundation of China(10371091)
文摘This article gives a normal criterion for families of holomorphic mappings of several complex variables into P N(C)for moving hypersurfaces in pointwise general position,related to an Eremenko’s theorem.
