• Communications for Statistical Applications and Methods
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• v.21 no.5
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• pp.445-459
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• 2014

This paper investigates the dependence structure of Korean financial markets (stock, foreign exchange (FX) rates and bond) using copula-GARCH and dynamic conditional correlation (DCC) models. We examine GJR-GARCH with skewed elliptical distributions and four copulas (Gaussian, Student's t, Clayton and Gumbel) to model dependence among returns, and then employ DCC model to describe system-wide correlation dynamics. We analyze the daily returns of KOSPI, FX (WON/USD) and KRX bond index (Gross Price Index) from $2^{nd}$ May 2006 to $30^{th}$ June 2014 with 2,063 observations. Empirical result shows that there is significant asymmetry and fat-tail of individual return, and strong tail-dependence among returns, especially between KOSPI and FX returns, during the 2008 Global Financial Crisis period. Focused only on recent 30 months, we find that the correlation between stock and bond markets shows dramatic increase, and system-wide correlation wanders around zero, which possibly indicates market tranquility from a systemic perspective.

• Journal of the Korean Wood Science and Technology
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• v.33 no.5 s.133
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• pp.13-20
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• 2005

This paper deals with flexural vibration techniques as a means of predicting bending strength properties for quarter-sawn and flat-sawn planes of red pine containing knots. Dynamic modulus of elasticity $(MOE_d)$ was calculated from resonance frequency obtained from the flexural vibration induced by a magnetic driver in quarter-sawn and flat-sawn planes of red pine containing knots. The dynamic MOE were well correlated to bending strength properties. Their correlation coefficients ranged from 0.866 to 0.800 for the regression between dynamic MOE and static bending MOE or MOR. The difference of the values between quarter-sawn and flat-sawn was very small. These values were higher than correlation between percentage of total knot diameter to total width of red pine specimen $(K_T(%))$ as well as $K_O(%)$ base upon ASTM D 3737 and static bending strength properties (correlation coefficient r = 0.448~0.704), and were similar to those between static bending MOE and bending MOR (r = 0.850). These results indicate that dynamic MOE obtained from resonance frequency induced by flexural vibration of magnetic driver is able to effectively use for predicting of static bending strength of red pine containing knots as well as static MOE.

• Journal of the Korean Wood Science and Technology
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• v.49 no.5
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• pp.504-513
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• 2021

In this study, cross-laminated wood panels were manufactured with four softwoods and three hardwoods with the goal of efficiently predicting the static strength performance using dynamic modulus of elasticity (MOE) and simultaneously revealing the dynamic performance of cross-laminated wood panels. The effect of the density of the species on the dynamic MOE of the laminated wood panels was investigated. Moreover, the static bending strength performance was predicted nondestructively through the correlation regression between the dynamic MOE and static bending strength performance. For the dynamic MOE, the parallel- and cross-laminated wood panels composed of oriental oak showed the highest value, whereas the laminated wood panels composed of Japanese cedar showed the lowest value. In all types of parallel- and cross-laminated wood panels, the density dependence was confirmed, and the extent of the density dependence was found to be greater in the P_⊥ and C_⊥ types with perpendicular-direction laminae in the faces than in the P_∥ and C_∥ types with longitudinal-direction laminae in the faces. Our findings confirmed that a high correlation exists at a significance level of 1% between the dynamic modulus and static bending modulus or bending strength in all types of laminated wood panels, and that the static bending strength performance can be predicted through the dynamic MOE.

• Journal of the Korean Society of Safety
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• v.11 no.2
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• pp.52-59
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• 1996

This paper presents a new approach for assessing the dynamic reliability in a complex system such as a nuclear power plant. The method is applied to a dynamic analysis of the potential accident sequences which may occur during mid-loop operation. Mid-loop operation is defined as an operation to make RCS water level below the top of the flow area of the hot legs at the junction with the reactor vessel for repairs and maintenance of steam generators and reactor coolant pumps for a specific time. The Idea behind this approach consists of both the use of the concept of the performance achievement/requirement correlation and of a dynamic event tree generation method. The assessment of the system reliability depends on the determination of both the required performance distribution and the achieved performance distribution. The quantified correlation between requirement and achievement represents a comparison between two competing variables. It is demonstrated that this method is easily applicable and flexible in that it can be applied to any kind of dynamic reliability problem.

• Steel and Composite Structures
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• v.6 no.2
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• pp.87-101
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• 2006

The deformation and dynamic behavior mechanism of submerged shell-like lattice structures with membranes are in principle of a non-conservative nature as circulatory system under hydrostatic pressure and disturbance forces of various types, existing in a marine environment. This paper deals with a characteristic analysis on quasi-periodic and chaotic behavior of a circular arch under follower forces with small disturbances. The stability region chart of the disturbed equilibrium in an excitation field was calculated numerically. Then, the periodic and chaotic behaviors of a circular arch were investigated by executing the time histories of motion, power spectrum, phase plane portraits and the Poincare section. According to the results of these studies, the state of a dynamic aspect scenario of a circular arch could be shifted from one of quasi-oscillatory motion to one of chaotic motion. Moreover, the correlation dimension of fractal dynamics was calculated corresponding to stochastic behaviors of a circular arch. This research indicates the possibility of making use of the correlation dimension as a stability index.

• Bulletin of the Korean Chemical Society
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• v.18 no.5
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• pp.478-484
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• 1997

In a recent paper[Bull. Kor. Chem. Soc. 17, 735 (1996)] we reported results of molecular dynamic (MD) simulations for the thermodynamic and structural properties of liquid n-alkanes, from n-butane to n-heptadecane, using three different models. Two of the three classes of models are collapsed atomic models while the third class is an atomistically detailed model. In the present paper we present results of MD simulations for the dynamic properties of liquid n-alkanes using the same models. The agreement of two self-diffusion coefficients of liquid n-alkanes calculated from the mean square displacements (MSD) via the Einstein equation and the velocity auto-correlation (VAC) functions via the Green-Kubo relation is excellent. The viscosities of n-butane to n-nonane calculated from the stress auto-correlation (SAC) functions and the thermal conductivities of n-pentane to n-decane calculated from the heat-flux auto-correlation (HFAC) functions via the Green-Kubo relations are smaller than the experimental values by approximately a factor of 2 and 4, respectively.

• Communications for Statistical Applications and Methods
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• v.21 no.4
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• pp.335-347
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• 2014

This paper employs dynamic conditional correlation (DCC) model to examine time-varying comovement in the Korean stock market with a focus on the financial industry. Analyzing the daily returns of KOSPI 200 eight sector indices from January 2008 to December 2013, we find that stock market correlations significantly increased during the GFC period. The Financial Sector had the highest correlation between the Constructions-Machinery Sector; however, the Consumer Discretionary and Consumer Staples sectors indicated a relatively lower correlation between the Financial Sector. In terms of model fitting, the DCC with t distribution model concludes as the best among the four alternatives based on BIC, and the estimated shape parameter of t distribution is less than 10, implicating a strong tail dependence between the sectors. We report little asymmetric effect in correlation dynamics between sectors; however, we find strong asymmetric effect in volatility dynamics for each sector return.

• The Korean Journal of Physiology and Pharmacology
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• v.3 no.5
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• pp.491-499
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• 1999

This study was designed to evaluate the efficacy of dynamic parameters, such as correlation dimension $D_2,$ by comparing spectral electroencephalographic (EEG) parameters. These parameters are used to estimate the depth of halothane anesthesia as defined by the presence of body movement in response to a tail clamp. Six rats were used and each of them was exposed to halothane sequentially at the concentrations of 0%, 0.5%, 1.0% and 1.5% for 30 min. A tail clamp was applied every five min and the movements were recorded at each concentration level. The spectral parameters and the dynamic parameters were derived from 20-sec and 10-sec segments, respectively, from the last 5-mins of EEG recording at each concentration level. Correlation coefficients between the parameters and the movements were calculated. Standardized values of three parameters, betaL power, median power frequency (MPF), and $D_2$ were derived by calculation based on the number of animals showing the movement in response to a tail clamp. The betaL power had the largest correlation coefficient to spontaneous movement and to the response to a tail clamp than any other band parameter. MPF had a better correlation with the movement than 90% spectral edge frequency. Among the dynamic parameters, $D_2$ on the parietal cortex had a better correlation with the movement. The level of deviation and variation of standardized $D_2,$ MPF, and betaL were significant (p<0.01). The order of deviation and variation was; betaL power > MPF > $D_2.$ The correlation dimension serves as a better index for the depth of halothane anesthesia defined in forms of a response to external stimulation.

• The Journal of Engineering Geology
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• v.31 no.4
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• pp.541-547
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• 2021

To assess the stability of a slope and the likelihood of its loss or collapse requires information about the ground, such as the composition of the stratum and its mechanical characteristics. This information is generally gathered through standard penetration testing (SPT) and cone penetration testing. SPT is not widely used due to problems with accessing slopes, most of which are steep and without ramps. A drop cone penetrometer, a portable device that can make up for these shortcomings, can be used in a limited way in some circumstances. Therefore, we developed a portable drilling machine and a small dynamic cone penetration test module that can easily access a slope site and perform SPT. The correlation of the developed system's results with those from SPT was analyzed. Analysis of the correlation between the energy shear rate passing to the load during the different test types established that the energy shear rate is reflected in the test result. The correlation between corrected dynamic cone penetration testing and corrected SPT was N_d' = 3.13 N'.

• International Journal of Highway Engineering
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• v.7 no.4 s.26
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• pp.91-102
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• 2005

This study dealt with correlation analysis of binder stiffness with deformation strength and dynamic creep property of asphalt mixtures for evaluation of applicability of deformation strength $(S_D)$. Two aggregates, with maximum size of 13mm and eight binders were used to produce 16 different mixtures. The stiffness of binder $(G^*/sin\delta)$ was measured using DSR at $64^{\circ}C$. Final deformation(FD) and dynamic stability(DS) were measured by dynamic creep (DC) test, and SD was measured by Kim test for each mixture. Results of correlation analysis between $G^*/sin\delta$, and $S_D$, m and DS showed that correlation with binder stiffness and deformation strength was the highest $(R^2>0.88)$. There was good correlation between DS, FD with $S_D$. The results indicated that rut-resistance property of mixture is better reflected in $S_D$ test than FD or DS of dynamic creep test. Therefore, it is concluded that $S_D$ can be possibly used for evaluation of rut resistance of asphalt concretes with a good reliability if the procedure is standardized.