以世界十大股票市场指数为例,运用滚动Monte Carlo模拟技术,实证计算了R-vine、Dvine、C-vine及R-vine all t四种vine copula结构对投资组合的动态VaR预测值,并进一步运用严谨的Back-testing检验方法,实证对比了上述四种vine copula结...以世界十大股票市场指数为例,运用滚动Monte Carlo模拟技术,实证计算了R-vine、Dvine、C-vine及R-vine all t四种vine copula结构对投资组合的动态VaR预测值,并进一步运用严谨的Back-testing检验方法,实证对比了上述四种vine copula结构对投资组合的VaR预测能力的优劣.实证结果显示:不论是在等权重还是在mean-CVaR约束条件下,R-vine对投资组合的VaR预测效果是最好的.特别在高分位数水平下,其表现得更为突出.另外,D-vine的预测精度总体上要高于C-vine和R-vine all t的,而节点间全为t copula的R-vine all t表现相对较差.展开更多
The effect of spin-1 impurities doping on the magnetic properties of a spin-3/2 Ising nanotube is investigated using Monte Carlo simulations within the Blume-Emery-Griffiths model in the presence of an external magnet...The effect of spin-1 impurities doping on the magnetic properties of a spin-3/2 Ising nanotube is investigated using Monte Carlo simulations within the Blume-Emery-Griffiths model in the presence of an external magnetic field. The thermal behaviors of the order parameters and different macroscopic instabilities as well as the hysteretic behavior of the material are examined in great detail as a function of the dopant density. It is found that the impurities concentration affects all the system magnetic properties generating for some specific values, compensation points and multi-cycle hysteresis. Doping conditions where the saturation/remanent magnetization and coercive field of the investigated material can be modified for permanent or soft magnets synthesis purpose are discussed.展开更多
文摘以世界十大股票市场指数为例,运用滚动Monte Carlo模拟技术,实证计算了R-vine、Dvine、C-vine及R-vine all t四种vine copula结构对投资组合的动态VaR预测值,并进一步运用严谨的Back-testing检验方法,实证对比了上述四种vine copula结构对投资组合的VaR预测能力的优劣.实证结果显示:不论是在等权重还是在mean-CVaR约束条件下,R-vine对投资组合的VaR预测效果是最好的.特别在高分位数水平下,其表现得更为突出.另外,D-vine的预测精度总体上要高于C-vine和R-vine all t的,而节点间全为t copula的R-vine all t表现相对较差.
文摘The effect of spin-1 impurities doping on the magnetic properties of a spin-3/2 Ising nanotube is investigated using Monte Carlo simulations within the Blume-Emery-Griffiths model in the presence of an external magnetic field. The thermal behaviors of the order parameters and different macroscopic instabilities as well as the hysteretic behavior of the material are examined in great detail as a function of the dopant density. It is found that the impurities concentration affects all the system magnetic properties generating for some specific values, compensation points and multi-cycle hysteresis. Doping conditions where the saturation/remanent magnetization and coercive field of the investigated material can be modified for permanent or soft magnets synthesis purpose are discussed.
