• The Korean Journal of Financial Management
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• v.21 no.1
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• pp.231-253
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• 2004

We examine hedge strategies that use Won-dollar futures to hedge the price risk of the Won-dollar exchange rate. We employ the naive hedge model, minimum variance hedge model and bivariate ECT-ARCH(1) model as hedge instruments, and analyze their hedge performances. The sample period covers from January 2, 2001 to December 31, 2002 with sub-samples such as daily, weekly, bi-weekly prices of the Won-dollar futures and cash. The important findings may be summarized as follows. First, there is no significant difference in hedge ratio between the risk minimum variance model and bivariate ECT-ARCH(1) model that controls for the cointegration relationship of the Won-dollar futures and cash. Second, hedge performance of the naive model and minimum variance model with constant hedge ratios is not far behind that of bivariate ECT-ARCH(1) model with time-varying hedge ratios. This results imply that investors are encouraged to use the minimum variance hedge model to hedge Won-dollar exchange rate with Won-dollar futures. Third, hedge performance and effectiveness of each model is also analyzed with respect to hedge period appear to be greater over long than over the short period. This evidence supports the hypothesis that futures prices would have more time to respond to the greater cash price changes over the longer holding period, leading to an improved hedge performance.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.10 no.2
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• pp.73-82
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• 1998

In order to simulate surface discharged heat dispersion in costal area, a 2-dimensional Eulerian-Lagrangian model for far field and semi-active particle tracking random walk model in near field has been combined. The mass of discharged heat water in near field has treated as particles with buoyancy and this is eventually converted to horizontal additive dispersion in random walk equations. This model is applied to both a simplified coastal geometry and a real site. In simple application it can simulate plume-like characteristics around discharging point than a near field-model, CORMIX/3. Actual application in the Chonsu Bay shows farther spreading of heat water in near field comparing the observed data, and this shows that the developed model might be applied with satisfaction.

• Korean Journal of Fisheries and Aquatic Sciences
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• v.20 no.2
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• pp.114-118
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• 1987

The authors carried out a model experiment to examine the hydrodynamic charactristics of the simple camber and the super-V otter board. The model otter boards are made of 1 mm thick iron plate. The simple camber otter board is made to have $12\%$ camber ratio and $432\;cm^2$ plane projected area, and the super-V otter board to have the same camber ratio as the former in every latitudinal section and almost the same plane projected area. The experiment had been done in a circular flow tank in the speed range of $0.1\~1.2m/sec$. As a result, it is examined that in the simple camber otter board the most effective angle of attack is about $25^{\circ}$, the shearing coefficient 1.47 and the drag coefficient 0.42, while in the super-V otter board they are about $20^{\circ}$, 1.40 and 0.40 respectively, so that the simple camber otter board performs a little better efficiency than the super-V otter board.

• Journal of Korea Water Resources Association
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• v.30 no.5
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• pp.467-475
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• 1997

In this study, breakwater model which has several outlet pipes to discharge heated water is settled in the experimental open channel and velocity distribution of wall jet is measured. Numerical simulation of velocity structure of wall jet using 3-dimensional computer model. Fluent model, is also carried out. The calculated results are verified with the experimental results and the flow characteristics of wall jet are investigated. The length of zone of flow establishment of wall jet is shorter than that of free jet, and the diminution rate of jet centerline longitudinal velocity is larger than that of free jet. Characteristics of buoyant jet and non-buoyant simple jet simulated by Fluent model are compared. Near the outlet pipe, in the region where x/lQ is over 15, this is reversed. Comparison of vertical distribution of longitudinal velocity shows that positive velocity of non-buoyant jet is bigger than that of buoyant jet in the bottom layer and in the upper layer, negative velocity of non-buoyant jet is bigger too. Flow separation in free surface of the buoyant jet occurs in smaller distances from the outlet than the non-buoyant jet. Buoyant jet expands faster than the non-buoyant jet in vertical direction.

• Proceedings of the Korea Water Resources Association Conference
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• 2016.05a
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• pp.110-110
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• 2016

도시 유역의 강우-유출 모의에는 지표 투수율 및 하수관거 영향 등 인위적 배수계통의 영향을 고려할 수 있는 도시유출모형이 널리 이용되고 있으며, 모형 검증을 통해 모의 성능을 평가한다. 도시유출모형의 검증은 일반적인 강우-유출 모형과 같이 강우사상별 유량의 관측시계열과 모의시계열의 목적함수가 최소가 되는 최적 매개변수를 탐색하는 과정이다. 도시유출모형의 검증에서 발생하는 문제점은 크게 다음과 같다. 첫째, 대규모 도시 유역의 복잡하고 다양한 하수관거에 대한 최적매개변수를 관거별로 구하는 것은 물리적으로 불가능하다. 따라서 동일 배수분구내 하수관거의 매개변수 값은 동일하다고 가정하거나, 모형 단순화 과정을 통해 매개변수의 물리적 범위 내에서 최적해를 탐색해야 하는 단순화에서 기인한 불확실성이 있다. 둘째, 다양한 매개변수들의 물리적 범위를 고려하기 위해서는 전역최적화기법이 유효하다. 그러나 전역최적화 종류, 목적함수, 모의횟수, 목표성능별 최적 매개변수 결과가 각각 다르므로 추정된 최적 매개변수의 범위에 대한 불확실성이 있다. 이에 본 연구에서는 Bayesian 모형과 EPA SWMM(Storm Water Management Model)을 연계하여 도시유출모형의 매개변수 불확실성을 정량적으로 분석할 수 있는 모형을 제안하고자 한다. 이를 위해 서울 우이천 유역을 대상으로 SWMM 모형을 구축하고, 절단 정규분포(truncated Gaussian distribution)를 사전분포(prior)로 가정하여 매개변수의 물리적 범위를 고려하였다. 최종적으로 결합확률분포로 계산된 각 매개변수간 사후분포를 통해 모의된 유출량의 불확실성을 정량적으로 분석하였다. 본 연구에서 제안된 모형은 대규모 도시 유역의 도시유출모형 구축 시 다양한 매개변수의 물리적 범위를 고려한 최적화와 동시에 내재된 불확실성을 정량적으로 분석할 수 있으므로, 침수예측 및 홍수예경보 등의 문제에서 상당한 신뢰성을 확보할 수 있을 것으로 판단된다.

• Journal of the Korean Data and Information Science Society
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• v.20 no.2
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• pp.251-260
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• 2009

In this study, we propose a new estimation method based on autocovariance for selecting optimal estimators of the regression coefficients in the simple linear regression model. Although this method does not seem to be intuitively attractive, these estimators are unbiased for the corresponding regression coefficients. When the exploratory variable takes the equally spaced values between 0 and 1, under mild conditions which are satisfied when errors follow an autoregressive moving average model, we show that these estimators have asymptotically the same distributions as the least squares estimators. Additionally, under the same conditions as before, we provide a self-contained proof that these estimators converge in probability to the corresponding regression coefficients.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.37 no.3
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• pp.240-247
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• 2009

Wind tunnel test for Electro-Optical Targeting System(EOTS) has been conducted to investigate the aerodynamic characteristics, especially the torque characteristics of the rotating parts to insure the enough actuator power during the actual operation. The influence of EOTS's complex configuration, such as the observation window, has been investigated by comparing with the results of the simplified models made of half sphere and the cylinder. It has been found that the position of the observation window of EOTS has an effect on surface pressure distribution and the torque characteristics of the rotating observation part.

• Communications for Statistical Applications and Methods
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• v.5 no.3
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• pp.599-605
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• 1998

본 연구에서는 단순구조 순환신경망을 이용한 신경망예측과 전통적인 시계열예측 방법을 이용하여, 순환변동이 있는 시계열자료의 단기예측 오차를 비교한다. 순환신경망모형의 입력자료를 변화시키는 개선된 학습방법을 적용하여 시계열자료를 학습하고, 신경망예측의 결과는 선형 AR(9)모형, 비선형 SETAR모형 그리고 이들의 결합모형을 이용한 예측결과와 비교한다. 실증분석에 적용된 시계열자료는 1700년부터 1987년 까지의 태양흑점 자료이며 예측에 이용된 검정자료는 1980년부터 8년 간의 자료이다.

• Communications for Statistical Applications and Methods
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• v.5 no.1
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• pp.177-191
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• 1998

Hamilton(1989)은 시계열 변수가 2가지 이상의 국면을 가지고 있을 때, 현재 어떤 국면이 진행되고 있고 향후 진행될 국면이 무엇일까에 대해 추론이 가능한 시계열모형을 소개하였다. Hamilton모형은 시계열이 2개의 독립적인 관찰불가능한 변수의 합으로 구성되어 있고, 이중 한 변수는 2국면 마르코프 확률과정(2-State Markov Stochastic Process)을 따른다고 가정한다. Hamilton모형은 계수의 추정이 단순하면서도 비 대칭성과 조건부 이분산 등과 같은 복잡한 동학(Dynamics)을 용인한다는 장점이 있다(Lam, 1990). 본 연구에서는 마르코프 국면전환모형에 대해 설명한후, 사례분석으로 KOSPI와 금리의 추이에 따라 국면을 정의하여 각 국면의 특징과 타국면과의 연관성 등을 분석하였다.

• Journal of Digital Convergence
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• v.12 no.6
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• pp.155-160
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• 2014

When we collect marketing data, we can only obtain the bimonthly or quarterly data but the monthly data be available. If we evaluate or predict monthly market condition or establish monthly marketing strategies, we need to disaggregate these bimonthly or quarterly data to the monthly data. In this paper, for bimonthly or quarterly data, we introduce some methods of disaggregation to monthly data. These disaggregation methods include the simple average method, the growth rate method, the weighting method by the judgment of experts, and variable decomposition method using 12 month moving cumulative sum. In this paper, we applied variable decomposition method to disaggregate for bimonthly data of sum of electronics sales in a European country. We, also, introduce how to use this method to predict the future data.