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선물프리미엄 이례현상에 있어서 고빈도 이자차이율과 장기기억 특성
( Richard T Baillie ),한영욱 ( Young Wook Han ) 한국금융공학회 2013 금융공학연구 Vol.12 No.1
본 논문은 미국과 독일 사이의 30일 만기 유로본드(Eurobonds)의 고빈도 이자 차이율 (high frequency interest rate differentials)에 대한 시계열 특성을 파악하고자 한다. 고빈도 이자 차이율 데이터는 선물프리미엄 이례현상 (forward premium anomaly)과 관련된 논쟁의 중심인 선물프리미엄의 적분차수 (the order of integration)의 문제를 지적하기 위해 이용되었다. 선물프리미엄 데이터의 조건부 모멘트 (conditional moments)에서 나타나는 매우 지속적인 자기상관관계(autocorrelation)로 인해 발생되는 특이한 어려움은 선물프리미엄에서 나타나는 일중 주기성(intraday periodicity)의 추출로 설명 할 수 있다. 선물프리미엄의 조건부 모멘트를 위한 모수적인 장기기억모형은 고빈도 선물프리미엄의 특성을 매우 잘 나타내는 것으로 밝혀졌으며 또한 모수적인 장기기억 모형이 준모수적인 Local Whittle 추정모형 결과와도 매우 유사한 것으로 밝혀졌다. 따라서 이러한 결과들은 매우 짧은 샘플기간을 가진 고빈도 형태의 선물프리미엄 데이터에서 나타나는 조건부 모멘트 모두에서 장기기억 효과가 존재함을 보여주는 명확한 증거이다. 또한 이러한 실증적 결과들은 선물프리미엄 데이터에서 나타나는 장기기억 특성이 외환시장의 내재적인 특성이라는 사실과 일치하며, 아울러 이러한 결과는 선물프리미엄 회귀분석을 위한 Fama 회귀식에서 나타나는 적분차수의 균형부족(lack of balance)을 보여줌으로써 무위험 이자율 평가설(uncovered interest rate parity: UIP)에 대한 결과적인 거부는 아마도 DM-$ 통화시장의 내재적인 특성일 수도 있다. This paper considers high frequency time series for the US and German 30 day Eurobond interest rate differential. The data are used to address the issue of the order of integration of the forward premium, which is at the heart of the controversy concerning the forward premium anomaly. Extraction of the intraday periodicity in the high frequency forward premium presents unusual difficulties due to the very persistent autocorrelation in both the first two conditional moments. Parametric ARFIMA-FIGARCH long memory model in both the first two conditional moments is found to represent high frequency forward premium quite well, and are similar to results from semi parametric local Whittle estimation. There is strong evidence of long memory effects in both the first two moments of the forward premium at very short spans of high frequency data. The empirical results are consistent with long memory being an intrinsic property of the markets. The results indicate that the “lack of balance” in the Fama type forward premium regression and the consequent rejection of uncovered interest rate parity (UIP) may well be an inherent feature of the DM-$ currency mankets.
한영욱,Richard T. Baillie 한국경제학회 2019 The Korean Economic Review Vol.35 No.1
The 1920s exchange markets represent one of the earliest recorded periods of freely floating exchange rates and central bank interventions. This paper uses a set of daily exchange rate data in the 1920s for three currencies (French Franc, Belgium Franc and Italy Lira) against the British Pound, and finds the exchange rate returns have the widespread long memory volatility property that is consistent with the post Bretton Woods era. And, this paper quantifies the duration of the effectiveness of the heavy intervention by the Bank of France on three exchange rates. The intervention is found to have direct effects on the French franc spot rate, but not on market volatility. There is also some evidence that the intervention had moderate influence on the deviation from the uncovered interest rate parity in the exchange markets by Granger causing the excess returns which may be associated with a time dependent risk premium.
Han, Deog Hwa,Person, Paul G,Baillie Thomas A. 중앙대학교 약학연구소 1990 약학 논총 Vol.4 No.-
Four isotopically labelled analogs of S-(N-methylcarbamoyl) glutathione(SMG), the glutathione conjugate of methylisocyanate, and three isotopically-labelled derivatives of S-(N-methylcarbamoyl) cysteine (SMC), the corresponding cysteine adduct, have been prepared by reaction of glutathione and cysteine, respectively, with [1-^13C]-, [3-^13C]-, [3-14^C]- or [3, 3, 3-^2H_3]methylisocyanate. The latter species, which served as key intermediates in the syntheses, were obtained either by reaction of [1-^13C]acetylchloride with sodium azide [to give [1-^13C]methylisocyanate), or by reaction of silver cyanate with iodomethane labelled with ^13C, ^14C or deterium (to give the methyl-substituted compounds). Condensation of labelled methylisocyanate with glutathione or cysteine proceeded smoothly and in high yield in aqueous acetonitrile solution, and afforded the target conjugates in high isotopic purity. The structures of the products were confirmed by fast atom bombardment tandem mass spectrometry (FAB / MS / MS) and by ^1H- and ^13C-NMR spectroscopy.
Kasa, I.W.,Hill, M.K.,Thawites, C.J.,Baillie, N.D. Asian Australasian Association of Animal Productio 1997 Animal Bioscience Vol.10 No.1
A study was conducted on the effects of ploughing on physiological responses of male and female Bali-cattle. A $2{\times}2{\times}6{\times}8$ factorial design (2 seasons, 2 sexes, 6 days and 8 consecutive time of measurements every 30 minutes) was employed. Responses during the cool/humid season were lower than hot/dry; respiration rate (RR) was 52 vs 75/min, rectal temperature(RT) was 39.1 vs $39.5^{\circ}C$ and skin temperature (ST) was 37.1 vs $37.6^{\circ}C$. Within sexes, males were less tolerant than females in that their RR (66 vs 61 breath/min), RT (39.4 vs $39.2^{\circ}C$) and ST (37.6 vs $37.1^{\circ}C$) were each higher than females during work. With increasing time, during the average 2.5 h working period gradual increases in RR, RT and ST were recorded and the overall increases of 84 breath/min, $1.9^{\circ}C$ and $13.8^{\circ}C$ respectively (p < 0.001). Packed cell volume (PCV) data indicated significant difference between sexes, time and season (p < 0.001, p < 0.05 and p < 0.001 respectively). Within time (before and after 2.5 h working) the PCV decreased from 27.4 to 25.6%.
Effects of Treadmill Exercise on Respiratory Moisture Losses in Goats of Different Breeds
Kasa, I.W.,Thwaites, C.J.,Hill, M.D.,Baillie, N.D. Asian Australasian Association of Animal Productio 2000 Animal Bioscience Vol.13 No.6
Changes in respiration rate (RR), rectal temperature (RT), respiratory moisture loss (RML), packed cell volume (PCV) and haemoglobin (Hb) were monitored in 2 adults female goats each of the Saanen (S) and Toggenburg (T) breeds during 60 min of exercise (walking at 3 km/h) on a moving-belt treadmill on each of 6 alternate days. A significant $time{\times}breed$ interaction was observed for RR; mean values in Sand T after 60 min of exercise were 130 and 223 /min ($p{\leq}0.01$). The observed time x breed interaction for RT indicated that S was less stressed by exercise than T; mean values after 60 min exercise were 40.4 and $40.8^{\circ}C$ respectively ($p{\leq}0.01$). For RML, the $day{\times}breed$ interaction ($p{\leq}0.001$) indicated that while S had higher values on day 1, thereafter the values for T were higher. The $time{\times}breed$ interaction for RML/breath indicated that values for T declined more rapidly (from 9.4 to 3.1 mgjbreath) than those for S (from 8.3 to 4.1 mgjbreath; ($p{\leq}0.01$). PCV declined during exercise ($p{\leq}0.05$) by 5.5 percentage points. The exercise imposed was stressful in that it led to increases in RR, RT and RML. S was most tolerant of exercise in that it recorded lower values of RT. The fact that the RML/breath was higher during exercies in S apparently allowed it to compensate for a lower RR. Despite higher RR and RML, T also had a higher RT, suggesting either higher muscular heat production during exercise in that breed, or higher sweating losses in S.
Choi, Eun Young,Kim, Jincheol,Lim, Sean,Han, Ekyu,Ho-Baillie, Anita W.Y.,Park, Nochang Elsevier 2018 Solar energy materials and solar cells Vol.188 No.-
<P><B>Abstract</B></P> <P>In this work, we employ atomic layer deposition (ALD) to form Al<SUB>2</SUB>O<SUB>3</SUB> layer as an encapsulant for perovskite solar cells (PSCs). Al<SUB>2</SUB>O<SUB>3</SUB> layer deposited at temperature as low as 95 °C achieves water vapor transmission rate (WVTR) of 1.84 × 10<SUP>−2</SUP> g m<SUP>−2</SUP> d<SUP>−1</SUP> at 45 °C–100%RH when thermal ALD is used. In order to test the moisture barrier capability of Al<SUB>2</SUB>O<SUB>3</SUB> layer for PSCs, mesoporous perovskite devices, with spiro-OMeTAD or PTAA as hole transport layer (HTM) encapsulated by 50 nm Al<SUB>2</SUB>O<SUB>3</SUB> film, are exposed to 65 °C–85%RH for 350 h and their stabilities are monitored. We find that the color of perovskite does not change after 350 h of exposure regardless of the type of HTM used. With regards to Th-ALD encapsulated devices, PTAA based PSCs experienced a smaller power conversion efficiency (PCE) drop than spiro-OMeTAD based PSCs after thermal stress at 65 °C. This is due to the presence of pinholes within spiro-OMeTAD layer after thermal stress which are not observed in PTAA. Finally, we successfully achieve excellent durability test results for mesoporous (HC(NH<SUB>2</SUB>)<SUB>2</SUB>PbI<SUB>3</SUB>)<SUB>0.85</SUB>(CH<SUB>3</SUB>NH<SUB>3</SUB>PbBr<SUB>3</SUB>)<SUB>0.15</SUB>/PTAA devices encapsulated by 50 nm Al<SUB>2</SUB>O<SUB>3</SUB> with less than 4% drop in PCE after 7500 h (> 10 months) of exposure to 50%RH under room temperature.</P> <P><B>Highlights</B></P> <P> <UL> <LI> The WVTR values of 50 nm Al<SUB>2</SUB>O<SUB>3</SUB> layers is 1.84 x 10<SUP>−2</SUP> g m<SUP>−2</SUP> d<SUP>−1</SUP> at 45 °C–85 %RH. </LI> <LI> PTAA is more stable than spiro-OMeTAD during ALD process. </LI> <LI> Pinholes are formed within spiro-OMeTAD layer under thermal stress. </LI> <LI> PTAA-based devices experiences less than 4% drop after 7500 h of 50 %RH at room temperature. </LI> </UL> </P> <P><B>Graphical abstract</B></P> <P>Synopsis: This research focused on the method to enhance the stability of perovskite solar cells via Al<SUB>2</SUB>O<SUB>3</SUB> thin film encapsulation. Additionally, degradation mechanism is investigated during ALD process.</P> <P>[DISPLAY OMISSION]</P>