AR-APARCH 모형을 이용한 VaR 사후검정 분석: 비대칭적이고 꼬리가 두터운 분포도를 중심으로

정재헌,강상훈 한국자료분석학회 2010 Journal of the Korean Data Analysis Society Vol.12 No.6

Financial asset returns suffer from skewness and excess kurtosis, implying that the assumption of normal distribution is inappropriate for evaluating more accurate Value-at-Risk (VaR). This paper examines/compares VaR analysis performance using RiskMetrics, Normal_APARCH, student-t_APARCH and skewed student-t_APARCH model in three KOSPI size indices (Large, Medium and Small). From out-of-sample VaR analysis, we found that skewed student-t_APARCH model provides more accurate VaR one-day-ahead forecasting ability rather than others. This finding indicates that appropriate assumption of return distribution characteristics improve the computation of VaR in financial markets. 금융자산 수익률의 분포특성은 정규분포 가정과 다른 꼬리가 두꺼우며 비대칭적인 평균을 갖는 분포로 잘 알려져 있다. 정확한 수익률 예측의 분포는 Value-at-Risk(VaR) 모형의 성과 예측력을 향상시킨다. 본 논문은 KOSPI 규모 지수를 수익률의 특징을 반영하는 skewed student-t분포를 기초로 하는 APARCH 모형을 이용하여 VaR의 성과를 예측하고 비교하였다. 분석결과 매입포지션(long position)과 매도포지션(short position) 모두에서 skewed student-t분포를 기초한 APARCH모형이 다른 변동성모형(RiskMetrics, Normal_APARCH, student-t_APARCH)들 보다 우월한 VaR성과를 나타냈다. 결론적으로 정확한 수익률 분포도의 가정이 VaR 예측력과 성과를 향상시켰다.

심미 및 기능을 위한 총의치 치아배열시 안면요소의 고려

정재헌,권혁신 대한치과의사협회 1995 대한치과의사협회지 Vol.33 No.11

2단계 수송네트워크 상에서의 장기적 비용 최적화

정재헌 한국경영과학회 2005 한국경영과학회지 Vol.30 No.3

In our model, a fleet of vehicles start from docking point to collect loads at the terminals assigned to the point. Then the docking points are connected to the hub by primary vehicle routes starting at the hub. This vehicle visit all the docking points to collect the loads which have been collected by the secondary vehicles. Our goal is to minimize the long-run cost of setting up the docking points and vehicle operation cost by deciding the location of the docking points and the routes optimally. We propose an heuristic algorithm to solve this and tested it though various experiments.

수종의 탄성 의치상 이장재에 대한 Candida albicans의 성장에 관한 연구

정재헌,김광원,김동기,이장희,Chung, Chae-Heon,Kim, Kwang-Won,Kim, Dong-Ki,Lee, Zang-Hee 대한치과보철학회 1993 대한치과보철학회지 Vol.31 No.1

For the purpose of this study was to determine the growth of Candide albicans on the surface of the resilient denture liners. The discs$(40\times40mm)$ of 2 resilient lining materals (Molloplast B, Mollosil) and one conventional acrylic resin (K-33) and one metal plate were processed and disinfected. Firstly, the test discs were placed into petri dish, and Candide albicans suspensions was overlayed on the test discs. And the test discs were incubated with intermitant shaking for 1 hour, 2 hours, 6 hours, 12 hours, 24 hours. After incubation, imprint culture method was achived and counted the colony on the agar plate. Secondly, the effect of denture cleansing agents on the growth of Candide alibicans on the resilient dentureliners was evaluated. The results were as follows : 1. The growth of Candida albicans on discs of Molloplast B and Mollosil was increased than that on discs of acrylic resin and metal plate (p<0.05). 2. As Candide albicans suspensions were incubated for 2 hours, the growth of Candida albicans on discs of Mollosil was increased than that on discs of Molloplast B (p<0.05), and the growth of Candide albicans on discs of metal plate was increased than that on discs of acrylic resin (p<0.05). 3. As Candide albicans suspensions were incubated for 6 hours, the growth of Candide albicans on discs of Mollosil was increased than that on discs of Molloplast B (p<0.05). 4. The growth of Candide albicans on discs of Mollosil and Molloplast B in treating denture cleansing agent was inhibited than control discs (p<0.05).

반 조절성 교합기 사용에 관한 고찰

정재헌 대한치과의사협회 1991 대한치과의사협회지 Vol.29 No.9

주문 집약을 위한 재고 변용 모델 연구:제철산업의 소로트 주문 집약 활용을 중심으로

정재헌 한국경영과학회 2006 한국경영과학회지 Vol.31 No.2

In our model, we keep inventory to satisfy uncertain demands which arrives irregularly. In this situation, we have additional two constraints. First, we need to have certain amount of order consolidation (consolidation constraint) for the orders to replenish the inventory because of production or purchase amount constraint. And also, if we order at a certain date which was set by administrative convenience, we have capacity constraint to order the consolidated order demands (capacity constraint). We show this variant inventory policy is needed in steel industry and note that there will be possible similar case in industry. To deal with this case, we invent a variant replenishment policy and show this policy is superior to other possible polices in the consolidation constraint case by extensive simulation. And we derive a combined solution method for dealing with the capacity constraints in addition to the consolidation constraints. For this, we suggest a combined solution method of integer programming and simulation.

실시간 현장 계측을 통한 한강의 수리특성 조사연구

정재헌,강준구,여운광,Jeong, Jae-Heon,Gang, Jun-Gu,Yeo, Un-Gwang 한국수자원학회 2000 한국수자원학회논문집 Vol.33 No.1

III. 총의치 인공치아의 배열

정재헌,송미령 대한치과의사협회 1993 대한치과의사협회지 Vol.31 No.1

치아회분과 석고혼합제재 매식과 자가골 동시 이식후 치유과정에 관한 실험적 연구

김영균,김흥중,이상호,여환호,임성철,설인택,정재헌 大韓顎顔面成形再建外科學會 2000 Maxillofacial Plastic Reconstructive Surgery Vol.22 No.1

The purpose of this study was to evaluate the efficacy of adding autogenous bone to the toothash-plaster mixture in the healing process of bone. Full-thickness round osseous defects with the diameter of 20mm were made at the calvarial bone of adult dogs (n=19) bilaterally, which were thought to be critical size defect. The right defects were repaired with the toothash-plaster mixture plus autogenous bone (compressed volume 0.3cc) and the left defects with only toothash-plaster mixture. At 2-, 4-, 8-, 12- and 20- week after implantation, dogs were sacrificed and evaluated the osseous healing of bony defects clinically, radiographically, and microscopically. The results were as follows : 1. At the clinical observation, the wound healed very well without any problem except severe swelling in the early period after operation. Slight depression was recognized at the both sides when the portions of cranial defect were palpated. 2. There were statistically significant differences between toothash-plaster mixture groups and autogenous bone added groups at the same period, and among the groups in the bone density of the digital radiograms (P<0.001).There was a tendency that bone density was increasing with time. 3. In light microscopic examination, new bone formation was more active in the autogenous bone added groups than toothash-plaster mixture groups at the early period after mplantation but there is little difference at 20-week after implantation. 4. In fluorescent microscopic examination, the fluorescent band could be observed at the area of active bone formation and the band was more distinct in the autogenous bone added groups then toothash-plaster mixture groups. 5. In transmitted electron microscopic examination, organelles such as rER, Golgi complex and secretory granule and osteoblast were observed. In summary higher volume ratio of autogenous bone is needed to improve the bone healing in that there is little difference between toothash-plaster mixture group and autogenous bone added group at the 20-week after implantation in spite of new bone formation was more active in the autogenous bone added groups than toothash-plaster mixture groups at the early period after operation.

홀소자를 이용한 전기식 구동장치 위치제어 특성 분석

정재헌,최승주,이수철,박건국,배경호,조종우 한국항공우주학회 2014 한국항공우주학회 학술발표회 논문집 Vol.2014 No.11

유압식 구동장치가 주력으로 사용되던 항공기 분야에 전기식 구동장치 적용이 확대되고 있다. 전기식 구동장치는 모터와 구동기의 절대적 위치를 확인하는 감지기, 회전운동을 직선운동으로 변환하는 볼나사, 토크를 전달하는 기어, 모터 등으로 구성된다. 이러한 전기식 구동장치 제작에 신뢰성을 확보하기 위하여 모터 및 감지기 2중화에 많은 노력을 하고 있으나 이러한 노력은 비용 상승을 동반하게 된다. 더욱이 RVDT 등은 감지기 비용뿐만 아니라 출력신호를 처리하는 회로의 복잡도가 높아지고 그에 따라 MTBF가 단축되는 주요 원인이 된다. 이러한 이유로 감지기 사용을 줄이고 구동장치를 간단하게 제어할 수 있는 방법에 대하여 연구를 수행하였다. 본 연구에서는 시험개발중인 전기식 구동장치를 이용하여 RVDT 위치 감지기를 사용한 제어 특성과 위치 감지기를 배재하고 모터 회전자 확인용 홀소자를 이용한 구동제어 방식에 대한 위치 제어 특성을 확인하였다. The application of electrical actuator is currently being expanded to a field of aircraft where hydraulic actuator had been the mainstream. Electrical actuator is composed of the components such as absolute position sensor, ball screw from rotary to straight-line, torque conveying gear and motor etc. To secure the credibility of manufacturing this electrical actuator, many efforts are being made to dualize motor and sensor, but these efforts inevitably increases cost. Furthermore, RVDT which is mainly used in the aircraft increases the complexity of output signal process and hence shortens MTBF. This is why the research is performed on the way how to simply control the actuator with reduced usage of the sensor. The research identifies the control characteristics of RVDT using electrical actuator under development and also confirms position control characteristics of driver control method using hall sensor with exclusions of position sensor.