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Using GARCH( 1,1 ) model with dummy variables in return equation and modified GARCH( 1,1 ) model with dummy variables in conditional variance equation, the writer of this paper conducts an empirical investigation into the day-of-the-week effect on returns and volatility in open-end fund during the period of June 1,2003 and August 18, 2005 in China respectively.

运用均值方程含有虚拟变量的GARCH(1,1)模型和条件方差方程含有虚拟变量的修正的GARCH(1,1)模型,我们分别对2003年6月1日至2005年8月18日期间中国开放式基金收益的周内效应和收益波动性的周内效应进行实证研究,结果显示,在研究期间内样本基金收益及收益的波动性在周三这一天显著不同于其他交易日,即存在"周三效应"。

Additionally, this research used One-Pass Method for first time to estimate jointly the conditional mean equation and conditional variance equation of Bivariate GARCH Model to avoid estimating error in previous relative studies with Two-Pass Method.

此外,本文在进行模型估计时,首度采用一阶段估计法,来联合估计双变量GARCH模型中的条件平均数方程式与条件变异数方程式,以避免过去相关文献将两条方程式个别估计时所造成的估计误差。

First, the backward Kolmogorov equation for the conditional reliability function and the Pontryagin equation for mean first-passage time and then- associated boundary and initial conditions are derived based on the stochastic averaging methods for quasi non-integrable, quasi integrable and quasi partially integ...

首先利用拟不可积、拟可积非共振及拟部分可积非共振Hamilton系统的随机平均法分别给出了研究该系统首次穿越问题的提法,包括计算条件可靠性函数的后向Kolmogorov方程及计算平均首次穿越时间的Pontryagin方程及其边值条件。

The model can be designed according to the absolute normal model scale or the distorted model scale, in consideration of the conditions of the test site and water supply capacity etc., this experiment designs model in the light of the distorted model scale . The distorted model scale can satisfy the similarity conditions of surge equation and water hammer equation.

试验模型可以设计成正态,也可以设计成变态,考虑到试验场地、供水能力等因素,模型按变态设计,模型比尺同时满足了波动方程和水击方程的相似条件。

Continuity equation and motion equation which can be applied to cone-shaped pipes are obtained and finite difference method for them is brought forward.

根据非稳定流的一维流动理论,对圆锥形管道中的瞬变流动进行了分析,推导出了适用于圆锥形管道的连续性微分方程和运动微分方程,给出了这两个方程的有限差分解法,同时对计算结果进行了相对误差的对比分析。

We reseach the equation of conic section and obtain the equation which can give all plane conic section .

探讨二次曲线的方程,构造了一个可以表示平面上所有九种二次曲线的方程。

From the motion equation of the bar which vibrates one-dimensionally and longitudinally, the model of mechanical four-terminal network and the transfer equations are set up, and the natural frequency equation of coniform horn and the ratio of speed of vibration are derived.

从变截面杆作一维纵振动的运动方程出发,建立机械四端网络的数学模型及传输特性方程,导出了圆锥形变幅杆的频率方程和振速比。

Input the equation and other related parameters of space curve of driving tine by the system interface, then the equation and other parameters of space curve of the conjugate driven tine could be given by automatic design and calculation in the system.

通过系统界面输入主动轮钩杆的空间曲线方程及其他有关参数,此系统可以自动设计计算得到与其共轭的从动轮钩杆的空间曲线方程及其他参数。

Secondly, it analyses the line type between stator and rotor of PDM, gets its derivation bone line equation that satisfies the motor conjugate line type of theoretical sealing and the equation of curved surface, and determines its basic processing method and technology according to the line type characteristic of the spiral curve through analyzing some kinds of typical spiral curve processing methods.

其次,对螺杆钻具定子与转子进行线型分析,推导出其满足理论密封性的马达共轭线型的骨线方程和曲面方程,根据螺杆钻具定子内孔螺旋曲线的线型特点,在分析了几种典型的加工螺旋曲线加工方法的基础上,确定了其基本的加工方法和工艺。

It takesthe weighted average of the L2 norm of the difference of the observation and thesolution of the system and the L2 norm of the difference of conormal derivativeat the different sides of the interface for every subdomain as cost functional andthe smooth coefficients of the subproblem and the value of solution of the originalproblem at interface as identification parameters;Using the property of continu-ous functional defined on compact set,the existence of the optimal solution of theidentification problem is proved;The necessary conditions of optimality charac-terized by the system equation,the adjoit equation and the variational inequalitysimultaneously are given by introducing the conception ofdifferential andadjoit variable;An algorithm is devised and its flow graph is given.

其次,针对分片光滑动力系统的特征,结合正演过程的区域分解算法,建立了分片光滑系统的分解区域参数辨识模型,该模型以子区域上解的实测值与计算值之差的L2范数和界面两侧的通量差的L2范数的加权平均作目标泛函,各子问题的光滑系数及界面上真解的值为待辨识参量;利用紧致集上连续泛函的性质,证明了子区域上参数辨识问题最优辨识参量的存在性;引入微分的概念,借助伴随变量,给出了由系统方程,伴随方程和变分不等式共同表征的最优性必要条件;根据此必要条件设计了算法,给出了算法的程序框图。

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