A multivariate GARCH model with an infinite hidden Markov mixture

This paper proposes a new Bayesian semiparametric model that combines a multivariate GARCH (MGARCH) component and an infinite hidden Markov model. The new model nonparametrically approximates both the shape of unknown returns distributions and their short-term evolution. It also captures the smooth trend of the second moment with the MGARCH component and the potential skewness, kurtosis, and volatility roughness with the Bayesian nonparametric component. The results show that this more-sophisticated econometric model not only has better out-of-sample density forecasts than benchmark models, but also provides positive economic gains for a CRRA investor at different risk-aversion levels when transaction costs are assumed. After considering the transaction costs, the proposed model dominates all benchmark models/portfolios when No Short-Selling or No Margin-Trading restriction is imposed

Recent Progress on Mechanical Condition Monitoring and Fault Diagnosis

AbstractMechanical equipments are widely used in various industrial applications. Generally working in severe conditions, mechanical equipments are subjected to progressive deterioration of their state. The mechanical failures account for more than 60% of breakdowns of the system. Therefore, the identification of impending mechanical fault is crucial to prevent the system from malfunction. This paper discusses the most recent progress in the mechanical condition monitoring and fault diagnosis. Excellent work is introduced from the aspects of the fault mechanism research, signal processing and feature extraction, fault reasoning research and equipment development. An overview of some of the existing methods for signal processing and feature extraction is presented. The advantages and disadvantages of these techniques are discussed. The review result suggests that the intelligent information fusion based mechanical fault diagnosis expert system with self-learning and self-updating abilities is the future research trend for the condition monitoring fault diagnosis of mechanical equipments

Nonlinear FEM Analysis on Composite Beams with Web Opening Under Negative Bending Moment

In order to investigate the shear behaviour and main factors of steel-concrete composite beam with web opening under negative moment, simply supported composite beam under concentrated load was analysis through finite element method. The finite element software ANSYS is used to calculate and analyse nonlinearly ten specimens. The main changing parameters are thickness, reinforcement ratio of slab and size of opening. The analysis indicates that stiffness and ultimate capacity will reduce greatly after web opening under negative bending moment. Through increasing the thickness of concrete slab, its bearing capacity can be enhanced markedly, and increasing the reinforcement ratio of concrete slab can improve its deformability effectively. Concrete slab makes a great contribution to shear capacity of web opening composite beam under negative moment. With the increase of the height or width of opening, the shear force that concrete slab undertakes will increase relatively

A Multivariate GARCH-Jump Mixture Model

This paper proposes a new parsimonious multivariate GARCH-jump (MGARCH-jump) mixture model with multivariate jumps that allows both jump sizes and jump arrivals to be correlated among assets. Dependent jumps impact the conditional moments of returns as well as beta dynamics of a stock. Applied to daily stock returns, the model identifies co-jumps well and shows that both jump arrivals and jump sizes are highly correlated. The jump model has better predictions compared to a benchmark multivariate GARCH model

OPTIMIZATION DESIGN OF THE RFQ TRAPEZOIDAL ELECTRODE

In order to reduce the length of a deuteron beam RFQ, trapezoidal modulation is used in the last 3-meter-long section. Because there is no existing tested design procedure fitting for designing this type of unconventional structure, a VBA code used for designing trapezoidal modulation RFQ electrode was developed. VBA is an effective and efficient tool for completing repetitive work. So it can be used to design repetitive analogous cells of electrode of RFQ or DTL or other periodic acceleration structures. By using this VBA code, cell length and the exit energy can be obtained accurately. The feasibility and accuracy of this method have been validated by beam dynamics simulation