• Environmental and Resource Economics Review
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• v.16 no.4
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• pp.947-978
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• 2007

In this paper, we investigated a Value-at-Risk approach to the volatility of two crude oil markets (Brent and Dubai). We also assessed the performance of various VaR models (RiskMetrics, GARCH, IGARCH and FIGARCH models) with the normal and skewed Student-t distribution innovations. The FIGARCH model outperforms the GARCH and IGARCH models in capturing the long memory property in the volatility of crude oil markets returns. This implies that the long memory property is prevalent in the volatility of crude oil returns. In addition, from the results of VaR analysis, the FIGARCH model with the skewed Student-t distribution innovation predicts critical loss more accurately than other models with the normal distribution innovation for both long and short positions. This finding indicates that the skewed Student-t distribution innovation is better for modeling the skewness and excess kurtosis in the distribution of crude oil returns. Overall, these findings might improve the measurement of the dynamics of crude oil prices and provide an accurate estimation of VaR for buyers and sellers in crude oil markets.

• The KIPS Transactions:PartA
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• v.13A no.7 s.104
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• pp.561-572
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• 2006

Performance of the mobile devices greatly depends on the efficient resource management because they are usually resource-restricted. In particular, the dynamic storage allocation algorithms very important part of the mobile device's operating system and OS-like software platform. The existing dynamic storage allocation algorithms did not consider application's execution style and the type, life-time, and characteristics of memory objects that the application uses. Those algorithms, as a result, could not manage memory efficiently Therefore, this Paper analyzes the mobile application's execution characteristics and proposes anew dynamic storage allocation algorithm which saves the memory space and improves mobile application's execution speed. The test result shows that the proposed algorithm works 6.5 times faster than the linked-list algorithm[11], 2.5 times faster better than the Doug. Lea's algorithm[12] and 10.5 times faster than the Brent algorithm[14].

• Environmental and Resource Economics Review
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• v.19 no.3
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• pp.485-508
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• 2010

This paper examines the long memory property and investigates cointegration in the dynamics of crude oil markets. For these purposes, we apply the joint ARMA-FIAPARCH model with structural break and the vector error correction model (VECM) to three daily crude oil prices: Brent, Dubai and West Texas Intermediate (WTI). In all crude oil markets, the property of long memory exists in their volatility, and the ARMA-FIAPARCH model adequately captures this long memory property. In addition, the results of the cointegration test and VECM estimation indicate a bi-directional relationship between returns and the conditional variance of crude oil prices. This finding implies that the dynamics of returns affect volatility, and vice versa. These findings can be utilized for improving the understanding of the dynamics of crude oil prices and forecasting market risk for buyers and sellers in crude oil markets.

• Archives of design research
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• v.12 no.2
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• pp.89-95
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• 1999

Carlo H. Sequin, a computer scientist, became to know a sculpture of subtle space construction which was created by Brent Collins, a sculptor, and introduced it as 'Visual Mathematics' in a journal. Sequin who was able to deduce a basic logic of the construction, has developed a software which can be used for virtual modeling merely by substituting simple numerical values using a computer and supplied it to Collins. The present author who was exposed to their collaboration works through series of their papers published in the journal, Leonardo, introduces the Collins' sculptures and the author's modeling procedures of animation works both of which show many common things in visual characteristics and modeling expansion method. The author investigates the mathematical characteristics which is used as a basic motive of modeling and then supplied as a principal visual characteristics of a material. 'Modeling Development by Principle Expansion,' in which the expansion is developed on the base of space twist as for Collins whereas the space section as for the present author, is introduced in this study. With the same stream of the mutual reaction in 'arts, sciences and technology' which has been stressed with the development of sciences and technology, this modeling technology is suggested as a research theme which has a possiblity of various applications.

• Journal of Korea Port Economic Association
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• v.34 no.4
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• pp.125-140
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• 2018

This study uses daily price data on three major types of crude oil (Brent, Dubai, and WTI) and BDI from January 2, 2009 to June 29, 2018, to compare the relationship between crude oil prices and BDI for rate of change and volatility. Unlike previous studies, the correlation between BDI and crude oil prices was analyzed both the rate of change and variability, VARs, Granger Causality Test, and the GARCH and DCC models were employed. The correlation analysis, indicated that the crude oil price change rate and volatility affect the BDI change rate and that BDI volatility affects the crude oil price change rate and volatility. The relationship between oil prices and BDI is identified, but their correlation is low, which is likely a result of lower dependence on crude oil as demand for natural gas increases worldwide and demand for renewable energy decreases. These trends could result in lower correlations over time. Therefore, focusing on the changing demand for raw materials in future investments in international shipping(real economy) and oil markets and macroeconomic analysis is necessary.

• International Journal of Concrete Structures and Materials
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• v.2 no.2
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• pp.107-113
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• 2008

The last 10 years have seen considerable growth in the use of proprietary and special repair cements for concrete pavements in the state of Oklahoma. Many of these products lend themselves to "fast track" construction techniques that allow reopening to traffic within 12 hours or less. These products achieve high early strengths by accelerating the Portland cement hydration process for both Type I and Type III cements. In this paper, the important features of a durable repair which include strength, compatibility and bond or adhesion are first discussed. Then the development, testing and field implementation of the aforementioned materials are discussed including the learning curve required to implement a repair system, not just install a new material. Some of the materials discussed, while expensive on a cost per unit basis, hold great promise for economical use on fast track project.

• The Korean Journal of Financial Studies
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• v.2 no.2
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• pp.171-211
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• 1995

Relatively little is known about the relationship between taxes and asset prices. Differential tax treatment of assets in the same risk class implies differential pricing. Conversely, the ability of tax-exempt investors to engage in tax arbitrage should drive any pricing differences away. The differential tax treatment of classes of US Treasury securities provides a straightforward setting for the examination of possible tax-effects in asset prices. Using the Cox-Ingersoll-Ross Term Structure Model as our framework, we examine the pricing of US Treasury securities over two distinct tax regimes. Evidence that tax effects are not arbitraged away is presented.

• The Korean Journal of Financial Studies
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• v.3 no.2
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• pp.329-364
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• 1996

Writing naked put options is a strategy employed either as a speculation to capture premium income, or as a method of placing a limit order to buy the underlying at the strike price in return for premium received. Using a Monte Carlo simulation, twenty thousand equity prices are generated under known volatility and return parameters. A binomial tree is constructed using the same volatility and return parameters. Put options on these 'equities' are valued with the binomial methodology. The performance of various put writing strategies is evaluated on a risk-adjusted basis. Evidence presented suggests that the judicious use of put options may enhance returns during portfolio construction.

• Proceedings of the Korean Society of Computer Information Conference
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• 2023.01a
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• pp.301-302
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• 2023

에뮬레이션 기술은 다양한 아키텍처에 대해 하드웨어 독립적인 실험 및 분석 환경을 제공하기 때문에 임베디드 기기 분석에 널리 활용되고 있다. 옥테온(Octeon) 아키텍처는 고성능 네트워크 장비에서 주로 사용되는 프로세서로, 이에 대응하는 에뮬레이션 환경의 구축이 어려워 초기 개발 및 분석에 어려움을 겪는다. 따라서 본 논문에서는 QEMU(v.6.0)을 활용한 옥테온 아키텍처의 에뮬레이션 환경을 구현하고 실험한 결과를 소개한다. 구현된 옥테온 에뮬레이션 환경은 옥테온 아키텍처 고유 인스트럭션 중 특정 하드웨어의 지원을 요하지 않는 인스트럭션에 대하여 에뮬레이션이 가능함을 보였으며 이는 옥테온 아키텍처 기반의 기기 프로그램 에뮬레이션에 활용할 수 있을 것으로 기대한다.

• Proceedings of the Korea Information Processing Society Conference
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• 2024.05a
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• pp.427-430
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• 2024

교통체계서비스는 안전한 교통 환경을 구축하는 것을 목표로 하여 차량, 도로, 기반 시설의 정보를 수집 및 처리하여 안전 교통정보를 제공한다. 교통체계서비스가 수집하는 차량 운행정보는 교통 안전 정보 외에도 다른 분야에서도 활용될 수 있으며 특히 다른 데이터와 결합하는 것으로 다양한 결과를 도출할 수 있어 연구, 통계 작성 등에 필요한 자료이다. 그러나 차량의 운행정보는 운전자의 개인정보를 포함하고 있어 운행정보 활용 시 가명화 및 가명결합이 필수적이다. 본 논문에서는 가명화된 운행정보를 가명결합하는데 발생하는 문제점을 설명하고 이러한 문제를 해결한 가명결합 방안을 연구하였다. 그 결과 교통체계서비스가 수집한 운행정보를 다른 기관의 데이터와 결합하여 활용할 수 있게 하여 개인정보를 보호하면서 데이터의 유용성을 활용하는데 기여할 것으로 예상한다.