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 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.
边坡预警指标的实时估计与诊断是实现边坡安全监控、预防边坡演变为滑坡的重要手段。安全预警注重考虑极端事件,其关键在于能否准确进行效应量序列分位数分析及刻画其尾部特征。基于极值理论中超阈值(Peaks over Threshold,POT)模型,分...边坡预警指标的实时估计与诊断是实现边坡安全监控、预防边坡演变为滑坡的重要手段。安全预警注重考虑极端事件,其关键在于能否准确进行效应量序列分位数分析及刻画其尾部特征。基于极值理论中超阈值(Peaks over Threshold,POT)模型,分时段考虑边坡位移监测序列,借助Hill图法拟定合理的阈值,再利用广义帕累托分布(Generalized Pareto Distribution,GPD)对超阈值序列进行拟合分析,渐进地刻画位移序列分布的尾部特征,分析其抵御已经历荷载的能力。假定边坡失事概率,得到位移预警指标实时估计序列,挖掘或评估出该边坡面临可能发生极端荷载时的抵御能力。最后基于突变理论中尖点突变模型对位移预警指标实时估计序列进行突变诊断,结合具体边坡工程实例,验证了POT-突变理论混合模型的合理性。展开更多
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(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.
文摘边坡预警指标的实时估计与诊断是实现边坡安全监控、预防边坡演变为滑坡的重要手段。安全预警注重考虑极端事件,其关键在于能否准确进行效应量序列分位数分析及刻画其尾部特征。基于极值理论中超阈值(Peaks over Threshold,POT)模型,分时段考虑边坡位移监测序列,借助Hill图法拟定合理的阈值,再利用广义帕累托分布(Generalized Pareto Distribution,GPD)对超阈值序列进行拟合分析,渐进地刻画位移序列分布的尾部特征,分析其抵御已经历荷载的能力。假定边坡失事概率,得到位移预警指标实时估计序列,挖掘或评估出该边坡面临可能发生极端荷载时的抵御能力。最后基于突变理论中尖点突变模型对位移预警指标实时估计序列进行突变诊断,结合具体边坡工程实例,验证了POT-突变理论混合模型的合理性。
