• The Korean Journal of Financial Management
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• v.22 no.2
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• pp.91-105
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• 2005

Using Campa and Chang's Expectations Hypothesis model, We test the expectations hypothesis in the term structure of volatilities in options on KOSPI 200 by using daily dosing prices from January 1999 to December 2003. In particular, it addresses whether long-dated volatilities are consistent with expected future short-dated volatilities, assuming rational expectation. Our results do not support the expectations hypothesis : long-term volatilities rise relative to short-term volatilities, but the increases are not matched as predicted by the expectations hypothesis. In addition, an increase in the current long-term volatilities relative to the current short-term volatilities is followed by at a random.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.31 no.7
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• pp.1-8
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• 2003

Numerical characteristics of air chemistry associated with hypersonic flows are described and are compared with those of hydrogen oxygen combustion, applying the partially implicit time integration method to air chemistry. This paper reveals that the time integration of air chemistry needs a chemical Jacobian for stable calculations. However the positive real eigenvalues in air chemistry are relatively smaller than those of hydrogen combustion, and the numerical integration is less sensitive than that with combustion. lt is also found that the application of the partia1ly irnplicit method reduces the computing time without numerical instabilities.

• Journal of Bio-Environment Control
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• v.28 no.4
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• pp.352-357
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• 2019

In this study, we investigated the limit temperature range which is effective for dormancy release of 'Hongro' and 'Fuji' apples during the endodormancy period. The germination rate was 50% or more in all treatments except of 'Hongro' $-5^{\circ}C$ treatment. The germination rate of 'Fuji' was 86.3% at the temperature of $-5^{\circ}C$. The concentrations of carbohydrate and mineral components were significantly different between treatments but did not show any tendency or specific change. However, the sorbitol contents of 'Hongro' $-5^{\circ}C$ treatment were higher at 29.62 mg/g than those of 'Fuji', which was not affected for dormancy release. The results of hormone analysis showed that ABA(abscisic acid) and JA(jasmonic acid) in 'Hongro' $-5^{\circ}C$ treatment were respectively 176.48 and 15.72 ng/g. ABA, JA and SA(salicylic acid) contents in 'Fuji' apple tree were significantly lower than those of 'Hongro'. As a result of this study, the limit temperature range effective for dormancy release was different according to the varieties, and 'Hongro' did not affect with 30.3% of germination rate at $-5^{\circ}C$. However, 'Fuji' is 86.3% even at $-5^{\circ}C$ it was suggested that 'Fuji' had a chilling accumulation for dormancy release.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.11 no.2
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• pp.29-38
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• 2012

The data quality and measurements along consecutive detector stations can vary much even in the same traffic conditions due to variety in detector types, calibration and maintenance effort, field operation periods, minor geometric changes of roads and so on. These faulty situations often create 10% or more of inherent difference in important traffic measurements between two stations even under stable low flow condition. Low detection rates(DR) and high false alarm rates(FAR) therefore sets in among many popular Automatic Incident Detection Algorithms(AIDA). This research is two-folded and aims mainly to develop a new AIDA for uninterrupted flow. For this purpose, a technique which utilizes a Simple Arithmetic Operation(SAO) of traffic variables is introduced. This SAO technique is designed to address the inherent discrepancy of detector data observed successive stations, and to overcome the degradation of AIDA performance. It was found that this new algorithm improves DR as much as 95 percent and above. And mean time to detection(MTTD) is found to be 1 minutes or less. When it comes to FAR, this new approach compared to existing AIDAs reduces FAR up to 31.0 percent. And capability in persistency check of on-going incidents was found excellent as well.

• The Korean Journal of Applied Statistics
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• v.24 no.2
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• pp.253-268
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• 2011

In this paper, we estimate systematic risk from credit migration (or transition) matrices under "Asymptotic Single Risk Factor" model. We analyzed transition matrices issued by KR(Korea Ratings) and concluded that systematic risk implied on credit migration somewhat coincide with the real economic cycle. Especially, we found that systematic risk implied on credit migration is better than that implied on the default rate. We also emphasize how to conduct a stress test using systematic risk extracted from transition migration. We argue that the proposed method in this paper is better than the usual method that is only considered for the conditional probability of default(PD). We found that the expected loss critically increased when we explicitly consider the change of credit quality in a given portfolio, compared to the method considering only PD.

• Horticultural Science & Technology
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• v.33 no.2
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• pp.202-209
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• 2015

In this study, we investigated the cumulative effect of low temperature on bud dormancy release and bud break characteristics in 'Campbell Early' grapevine (Vitis labruscana B.) cuttings grown in water culture. Additionally, we observed the development of buds while exposed to low temperatures in an attempt to improve our understanding of dormancy and bud break. The shoots were collected 120 days after full bloom (DAFB; leaf abscission period), and the accumulated chill unit (CU) value was calculated by reducing the temperature to $7.2^{\circ}C$ at 125 DAFB. The rate of bud break was 100% in shoots collected at 150 DAFB, The period until the first bud break was two times longer than in the shoots collected 165 DAFB, and bud break speed was significantly reduced. These results indicate that buds are released from endodormancy after 165 DAFB, because at this point the bud break was complete (bud break rate 100%) and it occurred in a very short time period. During this period, when the low-temperature accumulated value was 321h and 442CU according to the CH and Utah models, respectively. Furthermore, the survival rate of main buds decreased rapidly after 165 DAFB, and survival rate of accessory buds was maintained at more than 90% without seasonal differences. The rate of flower bud formation of main buds was much higher than in accessory buds (1:0.23) before the release from endodormancy at 150 DAFB. The final ratio of accessory buds to main buds was high, 1:1.54, at 255 DAFB. Correlation analysis of each investigated factor revealed that bud survival rate and bud formation rate were related only for the main buds, and there was a close relationship between the survival rate of main bud and time. In addition, the survival rate of main buds was positively correlated to the rate of flower bud formation.

• Journal of the Korean Data and Information Science Society
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• v.24 no.4
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• pp.737-753
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• 2013

Interest rate options embedded in life insurance products provide policyholders with minimum guaranteed rates credited to the corresponding surrender values. This paper discusses current low-interest environment and several types of interest rate options embedded in life insurance products. In addition, this paper shows profit structures of the life insurance products and calculates values of the interest rate options under stochastic interest model and the corresponding VaR (value at risk). Finally, some implications are discussed.

• Communications for Statistical Applications and Methods
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• v.16 no.2
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• pp.249-264
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• 2009

Equity-indexed annuities(EIAs) provide their customers with the greater of either the return linked to the underlying index or the minimum guaranteed return. Insurance companies have developed EIAs to attract customers reluctant to buy traditional fixed annuities because of low returns and also reluctant to buy mutual funds for fear of the high volatility in the stock market. This paper proposes a new type of EIA embedded with an outside barrier option with flexible monitoring period in order to increase its participation rate. It also derives an explicit pricing formula for this proposed product, and discusses numerical examples to show relationships among participation rate, barrier level, index volatility and correlation.

• Proceedings of the Korean Information Science Society Conference
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• 2002.10c
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• pp.358-360
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• 2002

기존의 정적 부하균등화 기법들은 동적 객체의 내재된 부하와 서버득의 다양한 상태 변화에 따른 능동적 부하분배가 불가능하다. 이를 위해 각 서버에서 프로세스가 자원을 전유하는 비율에 따라 해당 서버의 부하량을 판단하는 새로운 부하할당 기법을 제안하였다. 각 서버의 더미 프로세스는 자신이 프로세서를 점유하는 시점마다 해당 서버의 ID만을 전달함으로써 부하에 따른 차등하게 비동기된 서버보고를 수행한다. 이를 통해 라 서버는 자신의 부하량에 비례하여 부하균등화 참여율을 조정하여 성능저하를 최소화하고 부하량 판단 정보로 활용한다. 결국 제안기법은 웹 서비스의 부하의 성향에 무관하게 지능적인 부하할당을 가능케 한다.

• Proceedings of the Acoustical Society of Korea Conference
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• spring
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• pp.337-340
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• 2004

The exactly reproduced prosody of a TTS system is one of the key factors that affect the naturalness of synthesized speech. In general, rules about prosody had been gathered either from linguistic knowledge or by analyzing the prosodic information from natural speech. But these could not be perfect and some of them could be incorrect. So we proposed artificial neural network(ANN)s that can be trained to team the prosody of natural speech and generate it. In learning phase, let ANNs learn the pitch and energy contour of center phoneme by applying a string of phonemes in a sentence to ANNs and comparing the output pattern with target pattern and making adjustment in weighting values to get the least mean square error between them. In test phase, the estimation rates were computed. We saw that ANNs could generate the prosody of a sentence.