Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions

In this paper, we first determine the existence of structural changes in the dependence between time series of equity index returns of two markets using the change point testing method. The method is based on Archimedean copula functions, which are able to comprehensively describe dependence characteristics of random variables. The degree of financial contagion between markets is subsequently estimated using the tail dependence coefficient of copula functions before and after the change point. We empirically test our method by investigating financial contagion during the subprime crisis between the US S&P 500 index and five Asian markets, namely China, Japan, Korea, Hong Kong and Taiwan. Our results show that a statistically significant change point exists in the dependence between the US market and all Asian stock markets except Taiwan. The upper tail dependence is larger after the time of change, implying the existence of contagion during the banking crisis between the US and the Asian economies. The degree of financial contagion is also estimated and found to be consistent with market events and media reports during that period

Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market

We compare volatility forecasts using daily data and intraday data at different frequencies from the Chinese commodity futures market. Focusing on aluminium, copper and fuel oil futures contracts with 3 months to maturity, our empirical results suggest that in the out-of-sample forecasting tests, there is little informational advantage in generating volatility forecasts using intraday data

Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method

The analysis of financial contagion is a topical issue in international finance and portfolio management. In this paper, we investigate whether the global financial crisis originating from American subprime crisis spreads to China, Japan, UK, France, and Germany. Firstly, multivariate conditional autoregressive value at risk (MV-CAViaR) models are applied to the whole sample to analyze the variation of market risk among these countries. By dividing the sampling period into three important subperiods (precrisis period, crisis period, and recovery period), we examine the changes of the dependence structure of risk during each period. Comparing with the situations in precrisis period, if the estimated coefficients become significant or market risk increases during the crisis, it implies the existence of contagion from the angle of coefficient significance or risk. The findings show that the concerned coefficients are significant or the market risks of the tested countries increase during the crisis except for China. The results imply that there is contagion from the US to all other countries, except for China. Furthermore, the changes of the market risk are found to be consistent with market events and media reports during that period

Spherical harmonic decomposition for surfaces of arbitrary topology

Spherical harmonics have many valuable theoretic and practical applications in data and signal processing and modeling. It decomposes a given function defined on a sphere into a set orthogonal spherical harmonics. However, the given signal/function needs to be defined on a sphere domain. This paper studies the spherical harmonic decomposition for functions defined on general 2-dimensional manifold surfaces. We parameterize a surface with non-trivial topology onto a sphere domain, upon which the spherical harmonic idecomposition can be conducted effectively. We demonstrate the effectiveness of our framework via progressive surface reconstruction. ©2010 IEEE

THE ENVIRONMENTAL CHALLENGE AND HEALTH SECURITY IN CHINA

China has achieved impressive rapid development over the past 30 years. But China also faces the challenge of environmental change resulting from rapid economic growth and the attendant risks to human health. In this paper we described the environmental change and health risk in China from evident fluctuation of China’s climate, major changes in natural hydrological condition, raw materials and energy demand, changes of disease epidemic pattern related to climate change and ecosystem damage, new health risk raised by rapid urbanization and rural environmental quality degradation. The suggestion and countermeasures were discussed

A survey of topology denoise technologies

Conference Name:6th International Conference on Computer Science and Education, ICCSE 2011. Conference Address: Singapore, Singapore. Time:August 3, 2011 - August 5, 2011.Polygonal meshes are the most popular representation scheme for 3D surfaces in computer graphics. Polygonal meshes usually have topological and/or geometric noises during their scanning and collection steps. Many geometric computing and manipulation operations need to be performed on clean meshes. Therefore, topological noises on polygonal meshes need to be removed in a preprocessing step, which is called topology denoise. We classify a few popular topology denoise technologies and analyze their properties. ? 2011 IEEE