• 응용통계연구
• /
• 제27권7호
• /
• pp.1219-1228
• /
• 2014

다변량 금융시계열 분석모형인 상수조건부상관(CCC)에 대해 알아보았으며, 개개 변동성간의 상호작용을 함께 고려한 확장된 상수조건부상관(ECCC)을 소개하고 국내 금융시계열에 적용하였다. 다양한 이변량 수익률 자료를 통해 CCC와 ECCC를 비교분석하였다.

• ETRI Journal
• /
• 제39권3호
• /
• pp.417-427
• /
• 2017

This paper investigates the security of constant weight countermeasures, which aim to produce indistinguishable leakage from sensitive variables and intermediate variables, assuming a constant Hamming distance and/or Hamming weight leakages. To investigate the security of recent countermeasures, contrary to many related studies, we assume that the coefficients of the simulated leakage models follow a normal distribution so that we may construct a model with approximately realistic leakages. First, using our simulated leakage model, we demonstrate security holes in these previous countermeasures. Subsequently, in contrast to the hypotheses presented in previous studies, we confirm the resistance of these countermeasures to a standard correlation power analysis (CPA). However, these countermeasures can allow a bitwise CPA to leak a sensitive variable with only a few thousand traces.

• 한국지반환경공학회 논문집
• /
• 제13권12호
• /
• pp.17-25
• /
• 2012

본 논문에서는 TDR 장비를 사용하여 지반특성에 따라 변화하는 유전상수를 측정하였으며, 지반의 함수비 및 밀도와의 상관성을 분석하였다. 또한, 유전상수를 이용한 지중 공동탐사기법의 적용성을 평가하기 위하여 공동의 크기에 따른 유전상수의 변화 정도를 측정하였다. 실험결과 지반의 유전상수는 함수비와 밀도가 증가함에 따라 선형적인 증가 경향을 나타내는 것으로 평가 되었으며, 일정한 관계식으로 표현할 수 있었다. 또한, 지반의 유전상수는 공동의 크기에 따라 일정한 경향을 나타내며 변화하는 것으로 평가되었다. TDR 기법을 사용하여 측정된 유전상수값은 지반의 함수비, 밀도와 일정한 상관관계를 나타내고 있음을 확인하였으며, 지중 공동탐사에 관한 기초자료로서 활용할 수 있을 것으로 판단된다.

• 대한기계학회논문집B
• /
• 제28권5호
• /
• pp.526-534
• /
• 2004

A new second-moment closure model for turbulent heat fluxes is proposed on the basis of the elliptic equation. The new model satisfies the near-wall balance between viscous diffusion, viscous dissipation and temperature-pressure gradient correlation, and also has the characteristics of approaching its respective conventional high Reynolds number model far away from the wall. The predictions of turbulent heat transfer in a channel flow have been carried out with constant wall heat flux and constant wall temperature difference boundary conditions respectively. The velocity field variables are supplied from the DNS data and the differential equations only fur the mean temperature and the scalar flux are solved by the present calculations. The present model is tested by direct comparisons with the DNS to validate the performance of the model predictions. The prediction results show that the behavior of the turbulent heat fluxes in the whole region is well captured by the present model.

• 재무관리연구
• /
• 제26권3호
• /
• pp.199-226
• /
• 2009

본 논문은 우리나라 주식시장과 외환시장의 기대 수익률과 조건부 변동성간의 시계열적 관계를 2요인 자본자산가격결정모형(two-factor ICAPM)을 이용하여 실증 분석하였다. 주가와 환율의 조건부 분산은 GARCH 모형과 비대칭성을 반영한 GJR(1993) 모형으로 추정하였으며, 주가와 환율과의 조건부 공분산은 Bollerslev(1990)의 일정 상관관계(CCC) 모형과 Engle(2002)의 동태적 조건부상관관계(DCC) 모형을 이용하여 추정하였다. 실증 분석모형은 MGARCH-M 모형을 사용하였으며, 추정방법은 준최우추정법(QMLE)을 사용하였다. 실증 분석결과 외환위기 이후에 주식시장의 기대 수익률은 주가의 분산에 대해, 그리고 환율과의 공분산에 대해 유의한 음(-)의 관계를 갖는 것으로 나타났다. 그러나 외환시장에서 기대 수익률은 조건부 분산과 조건부 공분산에 대해 유의하지 않은 것으로 나타났다. 조건부 분산의 추정에서는 GJR 모형이 GARCH 모형에 비해 더 적합한 것으로 나타났다. 그리고 DCC 모형이 CCC 모형에 비해 설명력이 더 높은 것으로 나타났다. 본 논문의 분석결과는 주식시장에서 환율 변동이 위험 요인으로 작용하고 있기 때문에 포트폴리오 구성이나 위험 관리 등에서 환율 변동을 고려할 필요가 있고, 변수들간의 상관관계는 시변하는 모형을 사용할 필요가 있음을 시사한다.

• 상하수도학회지
• /
• 제25권6호
• /
• pp.971-979
• /
• 2011

Palm Oil Mill Effluent (POME) is the mixed organic wastewater generated from palm oil industry. In this study, kinetic analysis with treating POME in an anaerobic hybrid reactor (AHR) was performed. Therefore, the AHR was monitored for its performances with respect to the changes of COD concentrations and hydraulic retention time (HRT). Batch tests were performed to find out the substrate removal kinetics by granular sludge from POME. Modified Stover Kincannon, First-order, Monod, Grau second-order kinetic models were used to analyze the performance of reactor. The results from the batch test indicate that the substrate removal kinetics of granular sludge is corresponds to follow Monod's theory. However, Grau second-order model were the most appropriate models for the continuous test in the AHR. The second order kinetic constant, saturation value constant, maximum substrate removal rate, and first-order kinetic constant were 2.60/day, 41.905 g/L-day, 39.683 g/L-day, and 1.25/day respectively. And the most appropriate model was Grau second-order kinetic model comparing the model prediction values and measured COD concentrations of effluent, whereas modified Stover-Kincannon model showed the lowest correlation.

• Bulletin of the Korean Chemical Society
• /
• 제29권5호
• /
• pp.963-968
• /
• 2008

For the [$Cr_2(H_2tmp)_2Cl_4$] compound, simplified models with two bridging methoxo ligands have been studied. The influence of the bridging Cr-O-Cr bond angles on the exchange coupling between metal atoms in the model compound has been analyzed by means of density functional calculations with the broken-symmetry approach. Coupling constant calculated for the full structure is in good agreement with the experimentally reported value, confirming the validity of the computational strategy used in this work to predict the exchange coupling in a family of related dinuclear Cr(III) compounds. The calculations indicate a good correlation between the calculated coupling constant and the sum of the squared energy gap of three pairs of metal $t_{2g}$ OMSOs with a limited variation of the Cr-O-Cr angle. The spin density distribution and the mechanism of magnetic coupling interactions are discussed.

• Bulletin of the Korean Chemical Society
• /
• 제22권4호
• /
• pp.357-361
• /
• 2001

Frequency spectra of the complex permittivity of 2-methoxyethanol (2-ME) with water, ethanol, dimethylsulphoxide (DMSO), N,N-dimethylformamide (DMF) and N,N-dimethylacatamide (DMA) have been determined over the frequency range of 10 MHz to 20 GHz at 25 $^{\circ}C$, using the Time domain reflectometry method, for 11 concentrations for each system. The static dielectric constant, dielectric constant at microwave frequency, relaxation time, excess dielectric parameters, and Kirkwood correlation factor have been determined. The relaxation in these systems within the frequency range can be described by a single relaxation time constant, using the Debye model. The parameters show a systematic change with the concentration.

• 해양환경안전학회지
• /
• 제20권3호
• /
• pp.323-333
• /
• 2014

In this paper, the wakes behind a square cylinder were simulated using two kinds of different turbulence models for the eddy viscosity concept such as the zero- and the one-equation model in which the former is the mixing length model and the latter is the k-equation model. For comparison between numerical and analytical solutions, we employed three skill assessments: the correlation coefficient(r) for the similarity of the wake shape, the error of maximum velocity difference(EMVD) for the accuracy of wake velocity and the ratio of drag coefficient(RDC) for the pressure distribution around the structure. On the basis of the numerical results, the feasibility of each model for wake simulation was discussed and a suitable value for the empirical constant was suggested in these turbulence models. The zero-equation model, known as the simplest turbulence model, overestimated the EMVD and its absolute mean error(AME) for r, EMVD and RDC was ranging from 20.3 % to 56.3 % for all test. But the AME by the one-equation model was ranging from 3.4 % to 19.9 %. The predicted values of the one-equation model substantially agreed with the analytical solutions at the empirical mixing length scale $L=0.6b_{1/2}$ with the AME of 3.4 %. Therefore it was concluded that the one-equation model was suitable for the wake simulation behind a square cylinder when the empirical constant for eddy viscosity would be properly chosen.

• 한국해양공학회:학술대회논문집
• /
• 한국해양공학회 2002년도 춘계학술대회 논문집
• /
• pp.104-109
• /
• 2002

In this paper, a statistical analysis of fatigue crack growth behavior under constant amplitude loads has been carried out. Fatigue crack growth tests were conducted on sixteen pre-cracked compact tension (CT) specimens of the pressure vessel (SPV50) steel in controlled identical load and environmental conditions. The assessment of the statistical distribution of fatigue crack growth experimental data obtained from SPV50 steel was studied and also the correlation of the parameter C and m in the Paris-Erdogan law was discussed. The probability distribution function of fatigue crack growth life seems to follow the 3-parameter Weibull. The fatigue crack growth rate seems to follow the 3-parameter Weibull and the log-normal distribution. The coefficient of variation (COV) of fatigue crack growth life was observed to decrease as the crack grows. A strong negative linear correlation exists between the coefficient C and the exponent m in Paris model. Fatigue crack growth rate data shows a normal distribution for both m and logC.