유로-달러 환율에 대한 확산모형과 추정에 관한 실증분석

송봉주(Bon Ju Song) 이화여자대학교 이화사회과학원 2009 사회과학연구논총 Vol.22 No.-

연속시간 확산 모형(diffusion model)은 금융시장에서 광범위하게 사용되고 있고 최근에는 많은 논문들이 환율시장 분석에서 확산모형을 사용하려는 연구를 지속하고 있다. 선물환율(forward exchange rate)은 현물환율을 기초자산으로 한 파생상품이기 때문에 현물환율과 선물환율의 관계는 여러 측면에서 분석되었다. 본 논문에서는 다변량 확산모형(multivariate diffusion model)을 사용하여 현물-선물 환율의 관계를 분석하는 새로운 4가지 모델을 제시하고자 한다. 또한 우리는 이러한 현물-선물환율에 대한 다변량 확산모형을 시뮬레이션 최우추정법(simulated maximum likelihood estimation)을 사용하여 추정하는 방법을 구체적으로 제시하였다. 또한 월별 유로-달러 환율을 이용하여 위의 4가지 모델에 대하여 실증분석을 하였는데 실증분석의 추정과 예측결과를 바탕으로 보면 우리가 제시한 4가지 모델이 현물- 선물 환율을 분석하는데 적합한 것으로 판단된다. Continuous diffusion model is widely used for the analysis of financial market. Recently, many papers try to use the diffusion model for the analysis of exchange rates. Since the forward exchange rate is based on the spot exchange rate, their relation is analyzed in many aspects. This paper suggests four new different diffusion models which use multi-variate diffusion processes in order to deal with the relation between spot exchange rates and forward exchange rates. Furthermore, we study how to estimate the referred diffusion model by the use of simulated maximum likelihood estimation. Finally, we do empirical study with monthly euro-dollar spot/forward exchange rate. As a result, the four new diffusion models are appropriate for the analysis of spot and forward exchange rate based on the empirical study of monthly euro-dollar exchange rates.

Estimating Diffusion-Controlled Reaction Parameters in Photoinitiated Polymerization of Dimethacrylate Macromonomers

최영선 한국고분자학회 2003 Macromolecular Research Vol.11 No.5

The kinetics of photoinitiated polymerization of dimethacrylate macromonomers have been studied to determine the diffusion-controlled reaction parameters using attenuated total reflectance-Fourier transform infrared spectroscopy (ATR-FTIR). A predicted kinetic rate expression with a diffusion control factor was employed to estimate an effective rate constant and to define the reaction-controlled and diffusion-controlled regimes in the photopolymerization. An effective rate constant, ke, can be obtained from the predicted kinetic rate expression. At the earlier stages of polymerization, the average values of kinetic rate constants do not vary during the reaction time. As the reaction conversion, α, reaches the critical conversion, αc, in the predicted kinetic expression, the reaction becomes to be controlled by diffusion due to the restricted mobility of dimethacrylate macromonomers. A drop in value of effective rate constant causes a drastic decrease of reaction rate at the later stages of polymerization. By determining the effective rate constants, the reaction-controlled and diffusion-controlled regimes were properly defined even in the photopolymerization reaction system.

Maximum Likelihood Estimation of Continuous-time Diffusion Models for Exchange Rates

최승문,이재범 대외경제정책연구원 2020 East Asian Economic Review Vol.24 No.1

Five diffusion models are estimated using three different foreign exchange rates to find an appropriate model for each. Daily spot exchange rates expressed as the prices of 1 euro, 1 British pound and 100 Japanese yen in US dollars, respectively denoted by USD/EUR, USD/GBP, and USD/100JPY, are used. The maximum likelihood estimation method is implemented after deriving an approximate log-transition density function (log-TDF) of the diffusion processes because the true log-TDF is unknown. Of the five models, the most general model is the best fit for the USD/GBP, and USD/100JPY exchange rates, but it is not the case for the case of USD/EUR. Although we could not find any evidence of the mean-reverting property for the USD/EUR exchange rate, the USD/GBP, and USD/ 100JPY exchange rates show the mean-reversion behavior. Interestingly, the volatility function of the USD/EUR exchange rate is increasing in the exchange rate while the volatility functions of the USD/GBP and USD/100Yen exchange rates have a U-shape. Our results reveal that more care has to be taken when determining a diffusion model for the exchange rate. The results also imply that we may have to use a more general diffusion model than those proposed in the literature when developing economic theories for the behavior of the exchange rate and pricing foreign currency options or derivatives.

Maximum Likelihood Estimation of Continuous-Time Diffusion Models for Korean Short-Term Interest Rates

최승문 한국은행 2015 經濟分析 Vol.21 No.4

The purpose of this paper is to estimate a general continuous-time diffusion model for short term interest rates using Korean data. The model is general enough to encompass almost all of the diffusion models suggested in the literature to explain the dynamics of short term interest rates. We approximate the true but unknown conditional transition probability density function of the diffusion process using Aït-Sahalia’s (2008) irreducible method to conduct maximum likelihood estimation. The overnight call rate and the 91 day CD rate have been adopted as a proxy for the short term interest rate. Overall, estimation results are quite similar for both interest rates. We could not find any significant evidence of nonlinearity in the drift in either data series. However, for both interest rates, a linear drift term is statistically different from zero at high interest rates. We could obtain very significant estimates for the parameters in the volatility function for all models and all data sets. The volatility term is an increasing function of the interest rates. We also found some evidence that the underlying data generating process might change over time.

Forecasting the Growth of Smartphone Market in Mongolia Using Bass Diffusion Model

Anar Bataa,신광섭 사)한국빅데이터학회 2022 한국빅데이터학회 학회지 Vol.7 No.1

The Bass Diffusion Model is one of the most successful models in marketing research, and management science in general. Since its publication in 1969, it has guided marketing research on diffusion. This paper illustrates the usage of the Bass diffusion model, using mobile cellular subscription diffusion as a context. We fit the bass diffusion model to three large developed markets, South Korea, Japan, and China, and the emerging markets of Vietnam, Thailand, Kazakhstan, and Mongolia. We estimate the parameters of the bass diffusion model using the nonlinear least square method. The diffusion of mobile cellular subscriptions does follow an S-curve in every case. After acquiring m, p, and q parameters we use k-Means Cluster Analysis for grouping countries into three groups. By clustering countries, we suggest that diffusion rates and patterns are similar, where countries with emerging markets can follow in the footsteps of countries with developed markets. The purpose was to predict the timing and the magnitude of the market maturity and to determine whether the data follow the typical diffusion curve of innovations from the Bass model.

생명보험산업 보험료 성장률 예측계량모형 비교

전성주 ( Sungju Chun ),조영현 ( Younghyun Cho ) 한국금융연구원 2015 금융연구 Vol.29 No.3

In this article we evaluate the performance of forecasting models to predict the Korean life insurance premium growth rates. Comparisons are made for the Vector Auroregressive (VAR) predictive model, the multivariate leading indicator model, and the diffusion index model proposed by Stock and Watson (2002) against the Univariate Autoregressive (AR) predictive model as a benchmark. We compare each model’s predictability for the total premium incomes and the initial premium incomes of three types in the individual insurance; protection, endowment and annuity. The complete quarterly data spans from the second quarter of 1986 to the first quarter of 2014. The lag selection for AR and VAR forecasting models depends on the Bayesian Information Criteria (BIC) with the maximum number of lags set to 4. For the multivariate leading indicator model, we use 4 leading indicators of GDP growth rates, inflation, education, and age. In order to avoid data mining concerns, we select the variables that have been found to be the determinants of life insurance demands by previous studies. The diffusion index model is an approximate dynamic factor model that relates the future life insurance premium growth rates to a number of factors estimated by principal components using a large number of macroeconomic variables. The set of macroeconomic variables consists of 57 variables representing 6 main categories of macroeconomic time series: demand for final output; balance of payments and international trade; price indexes; money, interest rates and financial markets; labor, production and population; and world variables. We also include in the data set the variables related to the life insurance industry such as the industry’s total asset returns, claims paid and etc. In predicting total premium income growth rates, the AR predictive model produces the smallest mean squared predictive errors (MSPEs). For the premium incomes of protective insurance all the forecasting models have the MSPEs less than 3%. But they become unreliable in predicting the premium incomes of annuity with producing the MSPEs more than 10%. When we test the null hypothesis of no difference in MSPEs, it is rejected at 5% significance level for the VAR and the diffusion index predictive models when we forecast the total premium income growth rates of protective insurance. In predicting initial premium income growth rates, we find that there are no statistically significant differences in the MSPEs of each model. In addition, all the models have MSPEs more than 10% so that we may not be able to depend on any model to forecast in practice. We conclude that it may not be beneficial to take advantage of the information contained in macroeconomic variables for predicting life insurance premium growth rates. It may be due to the fact that most of the insurance contracts in Korea charge monthly premiums, which induces heavy autocorrelations among quarterly insurance premium data and makes an AR forecast very effective. Rho and Shin (1998) also found that macroeconomic variables are not likely to influence on insurance demands as is largely determined by insurer’s push-marketing. Policy holders cannot surrender their insurance contracts without heavy penalties, which makes them not so much responsive to macroeconomic environments. Lastly, life insurance demands are very sensitive to changes in insurance regulation and taxation, which could not be controlled for by our estimation procedure due to the lack of time series observations.

확산포집기로 공기중 ppb 농도수준의 휘발성유기물질 포집시 확산길이와 기류변화가 시료포집속도에 미치는 영향

변상훈,톰 스톡,마리아 모란디,아프샤,제이 크로스 한국산업위생학회 2001 한국산업보건학회지 Vol.11 No.1

Passive samplers have been used for personal, indoor, and outdoor air monitoring of VOCs at ppb concentrations in community and office environments. The path length of modified passive sampler was shortened, so it was intended to increase an uptake rate. The performance of the modified 3M 3500 organic vapor monitor(OVM) as a tool for assessing exposures to toxic air pollutants in nonoccupational community environments was evaluated using combined controlled test atmospheres of six selected target volatile organic compounds(VOCs): benzene, methyl tert-butyl ether(MTBE), chloroform, 1,4-dichloro-benzene, tetrachloroethylene, and toluene. The experiments were conducted by exposing the dosimeters to concen-trations of 50∼100 ㎍/㎥ on six velocity(0.00, 0.02, 0.06, 0.12, 0.20. 0.30 m/sec) for 24 hours. IF the uptake rate was increased, that means that we could use the passive sampler more effectively. The uptake rates were increased linearly according to reduce the path length. Although the diffusion path length was shortened, the change of uptake rate was with ±25% of theoretical value, in-dicating that the modified passive sampler(TM) can be effectively used over the range of concentrations and enviro-nmental conditions tested with a 24-h sampling period if the face velocities were over 0.12㎧ for 6 components of VOCs. But when the face velocities were less than 0.12㎧, uptake rates were reduced more than expected values. So, the passive sampler with the shortened path length should be used at indoor or outdoor environment where the face velocity should be over about 0.10 ㎧. If the path length was shortened more, the uptake rate was more effected by starvation.

공기 중 니코틴 포집에 있어 국산 확산포집기와 능동포집기의 비교 평가

김효철,백남원,이경숙,김경란,김원,Kim, Hyo-Cher,Paik, Nam-Won,Lee, Kyung-Suk,Kim, Kyung-Ran,Kim, Won 한국환경보건학회 2006 한국환경보건학회지 Vol.32 No.5

It is widely known that Environmental Tobacco Smoke(ETS) is not good for health. ETS is composed of a lot of chemicals. So indicators are needed to evaluate the risk of ETS in air. One of the indicators is Nicotine. Active sampler has been used to measure nicotine concentration in air. The experiments were conducted to compare the active sampler method with diffusive sampler in exposure chamber and smoking areas, respectively. Sampling rate was 40.5 ml/min in exposure chamber. Experimental sampling rate (40.5 ml/min) was more than theoretical sampling rate (33.52 ml/min). And the higher was the concentration in air, the higher was experimental sampling rate. The average desorption, rate was 113.6%. The overall precision was 7.31 %. The overall accuracy was 18.96%, which were under NIOSH criteria. The average(GM) concentrations of nicotine by two sampling methods were $8.29{\mu}g/m^{3}$ (active sampler), $7.54{\mu}/m^{3}$ (diffusive sampler) in smoking area and smoking room. There was no regression between active sampler and diffusive sampler ($R^{2}=0.2397$). But slope, coefficient of determination was 1.017, 0.9292, respectively after removing outliers. And the slope (1.017) was close to the theoretical slope (1). In conclusion, this study indicated that diffusive sampler can be used to evaluate concentration of nicotine in air instead of active sampler.

Computational studies of diffusion cool flame structures of n-heptane with/without ozone sensitization with a reduced chemistry

손채훈,손진우,Sang Hee Won,Yiguang Ju 대한기계학회 2015 JOURNAL OF MECHANICAL SCIENCE AND TECHNOLOGY Vol.29 No.3

The diffusion cool flame structures of n-heptane are studied numerically with a comprehensively reduced chemistry. For this study, nheptane/oxygen diffusion flame is self-sustained in a counterflow flame configuration with ozone sensitization. N-heptane is diluted bynitrogen to lower flame temperature and a small amount of ozone is added to oxygen to enhance oxygen atom production. N-heptanediffusion flame shows both hot-flame and cool-flame behaviors in high and low temperature regimes, respectively. Its S-shaped curvehas two upper branches of hot and cool flame branches. The upper branch of cool flame is observed at low strain rates with the order ofmagnitude from O(1) to O(102) s-1 and its zone is much narrower than that of hot flame. N-heptane cool flame survives irrespective ofozone addition, but ozone extends the viable or stable flame zone to higher strain rate. Cool-flame temperatures are below 800 K andradical-induced ignition comes into play. N-heptane is highly diluted by nitrogen and extinction strain rate is more sensitive to mole fractionof n-heptane rather than mole fraction of ozone. Heat release rates of elementary reaction steps and concentrations of major radicalsare far lower in cool flames than in hot flames. Main characteristics of cool flame structures at low strain rates and low temperatures areprovided although the present low-temperature kinetics is not complete.

Anomalous Diffusion in Molecular Communication

Trang Ngoc Cao,Dung Phuong Trinh,Youngmin Jeong,Hyundong Shin IEEE 2015 IEEE communications letters Vol.19 No.10

<P>We consider anomalous diffusion to model a molecular communication channel. To account for general and practical molecular propagation, we use the fractional diffusion equation and derive the distribution of first passage time in terms of Fox's H-function. We then analyze the bit error rate for timing and amplitude binary modulation schemes in anomalous diffusion.</P>