• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.85-98
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• 2016

This study makes an empirical comparison of various realized volatilities (RVs) in terms of overnight returns. In financial asset markets, during overnight or holidays, no or few trading data are available causing a difficulty in computing RVs for a whole span of a day. A review will be made on several RVs reflecting overnight return variations. The comparison is made for forecast accuracies of several RVs for some financial assets: the US S&P500 index, the US NASDAQ index, the KOSPI (Korean Stock Price Index), and the foreign exchange rate of the Korea won relative to the US dollar. The RV of a day is compared with the square of the next day log-return, which is a proxy for the integrated volatility of the day. The comparison is made by investigating the Mean Absolute Error (MAE) and the Root Mean Square Error (RMSE). Statistical inference of MAE and RMSE is made by applying the model confidence set (MCS) approach and the Diebold-Mariano test. For the three index data, a specific RV emerges as the best one, which addresses overnight return variations by inflating daytime RV.

• Environmental and Resource Economics Review
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• v.31 no.4
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• pp.645-668
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• 2022

Hydrogen energy is emerging as an important means of carbon neutrality in the various sectors including power, transportation, storage, and industrial processes. Fuel cell power plants are the fastest spreading in the hydrogen ecosystem and are one of the key power sources among means of implementing carbon neutrality in 2050. However, high volatility in system marginal price (SMP) and renewable energy certificate (REC) prices, which affect the profits of fuel cell power plants, delay the investment timing and deployment. This study applied the real option methodology to analyze how the dual uncertainties in both SMP and REC prices affect the investment trigger price level in the irreversible investment decision of fuel cell power plants. The analysis is summarized into the following three. First, under the current Renewable Portfolio Standard (RPS), dual price uncertainties passed on to plant owners has significantly increased the investment trigger price relative to one under the deterministic price case. Second, reducing the volatility of REC price by half of the current level caused a significant drop in investment trigger prices and its investment trigger price is similar to one caused by offering one additional REC multiplier. Third, investment trigger price based on gray hydrogen and green hydrogen were analyzed along with the existing byproduct hydrogen-based fuel cells, and in the case of gray hydrogen, economic feasibility were narrowed significantly with green hydrogen when carbon costs were applied. The results of this study suggest that the current RPS system works as an obstacle to the deployment of fuel cell power plants, and policy that provides more stable revenue to plants is needed to build a more cost-effective and stable hydrogen ecosystem.

• The Korean Journal of Pesticide Science
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• v.21 no.1
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• pp.1-8
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• 2017

Although a global ban on the use of endosulfan, an organochloline insecticide, has taken effect in mid-2012, it has been still used in several countries, including India and China, and detected in diverse environments in the world due to its relative persistence and semi-volatility. In this study, the effect of endosulfan on soil bacterial community was investigated using 16S rRNA gene pyrosequencing method. When endosulfan was applied to an upland soil at a rate of 100 mg/kg soil (ES soil), the number of operational taxonomic units (OTU) and diversity indices for bacteria initially decreased and gradually recovered to the level of the non-treated soil (NT soil) during an eight-week incubation period. At bacterial phylum level, relative abundances of Proteobacteria and Verrucomicrobia were higher while those of Chloroflexi and Spirochaetes were lower in the ES soil than in the NT soil, suggesting that an endosulfan application affects the bacterial community structure in soil. In the ES soil, the relative abundances of the OTUs affiliated to the genera Sphingomonas and Burkholderia increased in the initial period of incubation while those affiliated to the genera Pseudonocardia and Opitutus increased in the late period of incubation. Because the first three genera contain bacterial strains reported to degrade endosulfan, they are expected to be involved in the degradation of endosulfan, probably one after another.

• The Korean Journal of Applied Statistics
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• v.27 no.1
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• pp.123-132
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• 2014

Inflation uncertainty is known to have deleterious effects on facilities investment by disturbing the corporate decision on the opportunity cost of investment. In this paper, we test the validity of this hypothesis in Korea by estimating the inflation uncertainty with both a time-varing parameter model with GARCH disturbances and the relative price volatility and then, estimate the facilities investment equation which includes those uncertainty indicators. The uncertainty indexes estimated by the above-mentioned methods continue to fluctuate even after the inflation rate has dropped dramatically reflecting the structural changes of Korea's economy since the financial crisis in 1997. As a result of estimation of the investment equation by both OLS and GMM, we find the inflation uncertainty has a negative effect on facilities investment with a statistical significance. Moreover, by means of Markov-switching regression model utilized to verify the non-linearity of this relationship, we draw a conclusion that this negative effect of inflation uncertainty heightens asymmetrically during the downturn periods of business cycle.

• Journal of environmental and Sanitary engineering
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• v.19 no.4 s.54
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• pp.25-33
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• 2004

Acrylamide, difficult to analyze by GC and GC/MS due to the polarity and low volatility, was analyzed by LC/ESI/MS in the study. Acrylamide its(molecular weight 71amu) showed m/z=72 $(M+H)^+$ and high peak intensity at 22V in SIR mode. The mass spectrum ratios of acrylamide for qualitative identification had m/z=72 in precursor ion and m/z=55 in products ion, respectively. Those ratios at 30V in SIR mode ranged from 1: 1.4 to 1:1.17 despite various acrylamide concentrations. The ion intensity ratios of acrylamide $(m/z=72,\; [M+H]^+)$ to acrylamide isotopes $(m/z=73,\;[M+H]^+)$ ranged from 100 : 3.57 to 100 : 3.92. The results verified theoretical mass spectrum ratio that was 100:3.82. The linearity of standard calibration curve was y : 520.584x + 1815.26 with $r^2=0.99.$ In quality assurance and quality control, the recovery rate ranged from 81.64 percent to 90.97 percent and relative standard deviation was less than $10\%$ with 5 repeated injections at individual standard calibration solutions. The method was applied to analyze acrylamide in food at grocery stores. Snacks made of potatoes showed the highest acrylamide concentration followed by products made of French fries, wheat, and corn.

• Analytical Science and Technology
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• v.8 no.1
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• pp.9-16
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• 1995

The low concentration of cadmium in the whole-blood was determined by graphite furnace atomic absorption spectrometry(GFAAS) after the sample was diluted five-fold by 1% Triton X-100, 2% $(NH_4)_2HPO_4$ as matrix modifier and pyrocoated graphite tube with L'vov platform was tried remove the interferences of blood matrix and reduce the loss of volatility of cadmium at higher ashing temperature($600^{\circ}C$). The criteria for evaluating the accuracy and precision of this analysis was confirmed by analysis of interlaboratory comparison(Japan) and NIST SRM No. 909(Cd in Serum). The limit of the determination for cadium was 0.1ng/ml and the relative standard deviation(RSD) at 1.0ng/ml level was about 10% for the GFAAS.

• Korean Chemical Engineering Research
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• v.56 no.1
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• pp.29-41
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• 2018

Separating a mixture having an azeotrope or low relative volatility with single distillation column is difficult. Separating water-acetic acid mixture and water-ethanol mixture with a distillation column consumes a lot of energy. Pervaporation membrane can be used to separate the mixture in the concentration region where separation is difficult with distillation. We simulated a distillation-membrane hybrid process where membrane is located on the head of the distillation column for efficient separation of water-acetic acid and water-ethanol mixture. Permeability data were obtained from experiments and literature. We formulated an optimization problem for the process with total annual cost (TAC) as an objective function and major design variables as optimization variables. Major optimization variable affecting TAC of the hybrid process was shown to be distillate concentration. We also suggested a simplified optimization procedure to get a close-to-optimal solution.

• Journal of the Society of Naval Architects of Korea
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• v.58 no.5
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• pp.281-293
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• 2021

Oil and steel prices, which are major pricescosts in the shipbuilding industry, were predicted. Firstly, the error of the moving average line (N=3-5) was examined, and in all three error analyses, the moving average line (N=3) was small. Secondly, in the linear prediction of data through existing theory, oil prices rise slightly, and steel prices rise sharply, but in reality, linear prediction using existing data was not satisfactory. Thirdly, we identified the limitations of linear prediction methods and confirmed that oil and steel price prediction was somewhat similar to actual moving average line prediction methods. Due to the high volatility of major price flows, large errors were inevitable in the forecast section. Through the time series analysis method at the end of this paper, we were able to achieve not bad results in all analysis items relative to artificial intelligence (Prophet). Predictive data through predictive analysis using eight predictive models are expected to serve as a good research foundation for developing unique tools or establishing evaluation systems in the future. This study compares the basic settings of artificial intelligence programs with the results of core price prediction in the shipbuilding industry through time series prediction theory, and further studies the various hyper-parameters and event effects of Prophet in the future, leaving room for improvement of predictability.

• Journal of Korea Trade
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• v.23 no.5
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• pp.87-101
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• 2019

Purpose - This paper examines the effectiveness of the foreign exchange risk insurance system in the promotion of SME exports in Korea. The purpose of this study is to analyze the short-term and long-term responses of SME exports to foreign exchange risk insurance support policies. Based on these empirical studies, we would like to present some operational improvements to the operation of the foreign exchange risk insurance system. Design/methodology - In order to analyze the effect of exchange risk insurance on the exports of SMEs, a VAR model consisting of foreign exchange risk insurance underwriting values, export relative price, and domestic demand pressure, including export volume, was established. The study began with tests of the stationarity of time series data. The unit root tests showed that all concerned variables were non-stationary. Accordingly, the results of the cointegration test showed that the tested variables are not cointegrated. Finally, an impulse response function and variance decomposition analysis were conducted to analyze the impulse of foreign exchange risk insurance on exports of SMEs. Findings - As a result of estimating the VAR (1) model, foreign exchange risk insurance was found to be significant at a 1% significance level for SME' export promotion. In the impulse response analysis, SMEs' export response to the impulse of foreign exchange risk insurance showed that exports gradually increased until the third quarter, and then slowed down. However, the impulse did not disappear, and appeared continuously. Originality/value - This study analyzed the effect of foreign exchange insurance on exports of SMEs by applying the VAR model. In particular, this study is the first to analyze the short-term and long-term effects of foreign exchange risk insurance on exports of SMEs. The empirical evidence in the current study have a policy implication for the policy authority to support and promote the foreign exchange risk insurance in the effect of exchange rate volatility on Korea' export SMEs.

• Asia-Pacific Journal of Business
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• v.13 no.4
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• pp.45-59
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• 2022

Purpose - This study investigates the performance of investment strategies incorporating estimated stock market cycle based on a lead-lag relationship between business cycle and stock market cycle, thereby deriving empirical implications on risk management. Design/methodology/approach - The data period ranges from June 1953 to September 2022 and de-trended short rate, term spread, credit spread, stock market volatility are considered as major input variables to estimate business cycle and stock market cycle by applying probit model. Based on the estimated stock market cycle, two types of strategies are constructed and their performance relative to the benchmark is empirically examined. Findings Two types of strategies based on stock market cycle are considered: The first strategy is to long(short) on stocks when stock market stage is expected to be an expansion(a recession), and the second one is to long on stocks(bonds) when expecting an expansion(a recession). The empirical results show that the strategies based on stock market cycle outperforms a simple buy and hold strategy in both in-sample and out-of-sample investigation. Also the out-of-sample evidence suggests that the second strategy which is in line with asset allocation is more profitable than the first one. Research implications or Originality The strategies considered in this study are based on the estimated stock market cycle which only depends on a few easily available financial variables, thereby making easier to establish such a strategy. It implies that investors enhance investment performance by constructing a relatively simple trading strategies if they set their position on stocks or choose which asset class to buy conditioning on stock market cycle.