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Search Results: 1 - 10 of 48586 matches for " Ji Zhou "
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Equity Pricing and Risk Premium under Long-Run Risks and Incomplete Information  [PDF]
Ji Zhou, Alex Paseka
Journal of Mathematical Finance (JMF) , 2014, DOI: 10.4236/jmf.2014.44025
In this paper we derive a pricing kernel for continuous-time long-run risks economy with the Epstein-Zin utility function, non-i.i.d. consumption growth, and incomplete information about fundamentals. In equilibrium, agents learn about latent conditional mean of consumption growth and price equity simultaneously. We demonstrate our analytical results by applying the model to a well-known complete information equity valuation model. Calibration of the model reveals that it can match price-earnings ratio of the market index, equity premium, and a short term interest rate in the data, which, as we show, we can only achieve for high levels of latent state variable persistence. There is a trade-off between the persistence necessary to fit the data and parameters controlling the inference process. The easier the inference is, the larger persistence is required to fit the data.
Risk Correlation Based on Time-Varying Copula Function and Extreme Value Theory  [PDF]
Xinlong Ji, Lu Zhou
Theoretical Economics Letters (TEL) , 2017, DOI: 10.4236/tel.2017.77151
Abstract: The dependence structure of financial assets in financial risk measurement is very important, the tail relations in particular. Authors of extant studies in this field tended to focus on the linear analysis of the financial assets, rarely considering nonlinear, asymmetric and thick-tail characteristics. Here, we apply the copulas connection function with time-varying factors to discuss the risk dependency relationship between financial assets. Moreover, we develop an SV-EVT model to fit variables’ marginal distribution combined with stochastic volatility and extreme value theory. Finally, we present an empirical comparative study of static and dynamic copula models applied to the sample comprising of the Chinese mainland A-shares and Hong Kong stock market. The results show that the CSJC copulas connection function describes the tail features of stock index better than the normal copulas connection function. Similarly, the time-varying model outperforms the static copulas model. Furthermore, we observe an asymmetry dependence change rule between Chinese mainland A-shares market and the Hong Kong stock market; the correlation of lower tail is significantly higher than that of the upper tail, and the bear market effect is remarkable. These findings indicate that time-varying Copulas-SV-EVT model can depict the correlation of financial asset tails exactly, and can thus be used to control investment risk and forecast abnormal fluctuations.
Towards rational design of low-temperature co-fired ceramic (LTCC) materials
Ji Zhou
Journal of Advanced Ceramics , 2012, DOI: 10.1007/s40145-012-0011-3
Abstract: High performance low temperature co-fired ceramic (LTCC) dielectrics is highly desired for next generation information technology. The rational design is a key issue for the development of new LTCC materials. In comparison to the design of conventional electroceramics, more attention should be paid on the formation process of the material structure for that of LTCC, in addition to the physical properties, due to the special requirement in fabrication processing. In this paper, sintering mechanism of three types of LTCC materials, i.e., glass-ceramics, glass ceramic composite, and glass bonded ceramics, as well as important factors of their dielectric properties are discussed and summarized, and the design strategies for LTCC dielectrics, based on new matrix materials with much lower sintering temperature or higher quality, are proposed. As an example for rational design, oxyfluoride glass-ceramic based dielectrics, a new class of LTCC materials with low r, is analyzed.
Ordinal Semi On-Line Scheduling for Jobs with Arbitrary Release Times on Identical Parallel Machines  [PDF]
Sai Ji, Rongheng Li, Yunxia Zhou
Intelligent Information Management (IIM) , 2017, DOI: 10.4236/iim.2017.96014
Abstract: In this paper, we investigate the problem of semi-on-line scheduling n jobs on m identical parallel machines under the assumption that the ordering of the jobs by processing time is known and the jobs have arbitrary release times. Our aim is to minimize the maximum completion time. An ordinal algorithm is investigated and its worst case ratio is analyzed.
Complex genetic algorithm in continuous space
Qiang Li,Ji Zhou
Chinese Science Bulletin , 1999, DOI: 10.1007/BF02885075
Abstract: A new artificial intelligent optimization method, complex genetic algorithm, is presented, and the theoretical analysis for the effective optima-seeking mechanism of the algorithm is finished. The example calculation proves that it is a successful and simple optimization method.
Current Treatment of Brain Metastases from Lung Cancer
Xingqin ZHOU,Bin JI
Chinese Journal of Lung Cancer , 2009,
Formation and tidal evolution of hot super-Earths in multiple planetary systems
Ji-Lin Zhou
Physics , 2009, DOI: 10.1051/eas/1042027
Abstract: Hot super-Earths are exoplanets with masses < 10 Earth masses and orbital periods < 20 days. Around 8 hot super-Earths have been discovered in the neighborhood of solar system. In this lecture, we review the mechanisms for the formation of hot super-Earths, dynamical effects that play important roles in sculpting the architecture of the multiple planetary systems. Two example systems (HD 40307 and GJ 436) are presented to show the formation and evolution of hot super-Earths or Neptunes.
Group Variable Selection via a Hierarchical Lasso and Its Oracle Property
Nengfeng Zhou,Ji Zhu
Statistics , 2010,
Abstract: In many engineering and scientific applications, prediction variables are grouped, for example, in biological applications where assayed genes or proteins can be grouped by biological roles or biological pathways. Common statistical analysis methods such as ANOVA, factor analysis, and functional modeling with basis sets also exhibit natural variable groupings. Existing successful group variable selection methods such as Antoniadis and Fan (2001), Yuan and Lin (2006) and Zhao, Rocha and Yu (2009) have the limitation of selecting variables in an "all-in-all-out" fashion, i.e., when one variable in a group is selected, all other variables in the same group are also selected. In many real problems, however, we may want to keep the flexibility of selecting variables within a group, such as in gene-set selection. In this paper, we develop a new group variable selection method that not only removes unimportant groups effectively, but also keeps the flexibility of selecting variables within a group. We also show that the new method offers the potential for achieving the theoretical "oracle" property as in Fan and Li (2001) and Fan and Peng (2004).
Land Use Change in Hongta District in Yuxi City, China Based on Archived Landsat Data of the Past 30 Years  [PDF]
Shanyu Zhou, Chaonan Ji, Ran Kang, Hermann Kaufmann
Journal of Computer and Communications (JCC) , 2018, DOI: 10.4236/jcc.2018.611013
Urban expansion, which has affected ecosystem functioning and services at local to global scale, is projected to have aggravating impacts on landscape in the future. A detailed study on spatiotemporal patterns of Hongta District in Yuxi City over a relatively long timeframe was conducted using multi-temporal Landsat TM, ETM+ and OLI data of 1987-2017 associated with Geographic Information System techniques and landscape analysis approaches. Results showed that sealed surfaces (urban area) have expanded from 1.4% to 11.8%, with an annually increasing rate of 7.63%. Trees, farm areas and barren lands all underwent a slight reduction during this time period, whereby 23.8% of farms and 9.8% of bare lands transferred into sealed surfaces. Focusing on the urban expansion pattern, it presents a uninuclear polarizing polygon mode illustrating the urbanization sprawl over time to all directions. The greatest expansions are seen in NNE and SSE direction, mainly because of the topographic constraints. A trade-off between urbanization and sustainable development is under investigation by reclaiming barren soil at the mountain range to transfer farming areas from low altitude plains to make way for urban growth.
Climate Suitability and Vulnerability of Winter Wheat Planting in Gansu under the Background of Global Warming  [PDF]
Xing Wang, Yuhe Ji, Guangsheng Zhou, Sheng Wang, Xiaoying Yao
Journal of Geoscience and Environment Protection (GEP) , 2019, DOI: 10.4236/gep.2019.74016
Abstract: Winter wheat is the main food crop in China. Gansu Province is a traditional winter wheat growing area, and its planting range is limited by the thermal conditions of winter. The average temperature in Gansu Province increased by 0.28°C per decade, higher than the China’s and global average, and the warming in winter was more obvious. Therefore, it is necessary to study the climate suitability and vulnerability of winter wheat planting in Gansu. In this paper, the maximum entropy model Maxent and Arcgis software are used to select six major climatic factors including annual total radiation, annual precipitation, the warmest monthly average temperature, the coldest monthly average temperature, annual average temperature, and annual extreme minimum temperature, which construct winter wheat planting distribution-climate relationship model that studies the climate suitability and vulnerability of winter wheat during the period 1961-2015. Studies have shown that the average cold weather and annual extreme minimum temperature are the most important climatic factors affecting winter wheat in Gansu, which can reflect the low temperature conditions that winter wheat can tolerate. However, the main winter wheat planting areas in Gansu Province are distributed in arid and semi-arid rain-fed agriculture areas. Precipitation and total annual radiation are also very important constraints. At the same time, climate change has little effect on winter wheat in Gansu Province, and the area of suitable area fluctuates slightly. It shows moderate adaptation in each evaluation period.
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