시간변동부 헷지비율의 추정과 그 조정 : 로그수익율을 이용한 GARCH 모형

김수덕,윤원철 ( Su Duk Kim,Won Cheol Yun ) 한국파생상품학회 1998 선물연구 Vol.6 No.1

GARCH Model has often been used for the estimation of time varying hedge ratios. But it has been casually used for the estimation of time varying conditional hedge ratio in the form of log difference of spot and futures series while the true hedge ratio derived is expressed in terms of their simple difference. We show that a proper hedge ratio can be obtained by adjusting the ratio of lagged spot and futures to the time varying conditional hedge ratio estimated from multivariate conditional GARCH model. We use spot and futures of NYMEX heating oil data and show that we may get a better performance of the estimated time varying conditional hedge ratio with such adjustment using GARCH log difference series as duration becomes longer.

지역별 주택분포와 주거형태의 변화에 관한 고찰

김수덕,Kim, Su-Deok 한국자원경제학회 1994 資源經濟學會誌 Vol.4 No.1

인구 및 주택건축 총조사보고서의 년도별로 분류된 잔존주택에 관한 정보에는 멸실되어 소실된 주택과 당시의 신규주택분에 관한 정보를 얻을 수 없고, 센서스이후 추계된 최근의 지역통계는 기간내 발생한 멸실주택에 대한 추계과정이 생략되어 주택의 통계가 과대계상되어 있다. 본 연구는 지역별 주택수 예측의 방법을 제시하고 주택형태별, 평형별, 난방형태별 분포현황의 분석과 전망을 시도하였다. 지역별 주택수의 예측에서 지역별 주택의 건축년도와 멸실이 독립이라는 가정하에 주택의 수명, 최대멸실확율을 보이는 지역별 이항분포(Binomial Distribution)를 찾아내었다. 주어진 Data의 특성에 따라 얻어진, 지역별로 다른 최적의 분포와 이에 따라 산정된 각 시점의 신규주택수를 이용하여 미래의 주택수를 전망하였다. 주택형태, 평형, 난방시설분포의 현황분석과 전망은 각 형태의 비율을 산정, 추정하는 방식을 택했다.

보살의 범행(梵行)과 보시바라밀의 구족(具足)에 대하여 -『열반경』「범행품」과 순타의 마지막 공양을 중심으로

김수덕 계명대학교 한국학연구원 2023 한국학논집 Vol.- No.92

According to the chapter on “Pure Practice” in the Mahāparinirvāṇa Sūtra, in order for a bodhisattva to dwell in parinirvana, they must perfect two pure practices, which include seven forms of excellence and attaining the four immeasurable minds. And in order to put the four immeasurable minds into practice, one must practice the six perfections. The four immeasurable minds include: loving-kindness, compassion, joy, and equanimity. Mahakasyapa divided each element of these four into three causes, and then divided these 12 items into two groups: one was the group of loving-kindness and compassion, and the other was that of joy and equanimity. However, the Buddha stressed that the balanced practice of perfecting loving-kindness, compassion, joy, and equanimity was better for establishing a foundation of wholesome roots instead of dividing them into three causes or emphasizing loving-kindness and compassion only. This study looked into the meaning of the perfection of generosity in two situations. One is the perfection of generosity as part of the six perfections that are needed to be practiced to attain the four immeasurable minds, which are the foundation of wholesome roots. The other is completing the perfection of generosity, which Cunda achieved when he offered the Buddha his last meal. This study found that Cunda’s last meal offering encompassed the three causes of pure offerings that must be present when one performs an act of generosity, and these causes completed the perfection of generosity. To complete the perfection of generosity requires pure practices, which one must do with a mind balanced with loving-kindness, compassion, joy, and equanimity. The donor, the donation, and the recipient of the donation must be pure too. After completing the perfection of generosity, Cunda advanced from the stages of “voice hearers” and “solitary realizers” and dwelled in the tenth stage of the Dharma-cloud on the bodhisattva path.” Just as Cunda performed an act of perfect generosity by arousing the Mahayana aspiration for enlightenment, we should examine ourselves to see if we are generous toward others out of love, to benefit them, to share joy with them with a mindset of equality. In addition, in the Korean Buddhist community we should think about whether we have made genuine bodhisattva vows when we give offerings to the Three Jewels. Furthermore, as Mahayana bodhisattvas we should be aware of and reflect on all of the thoughts, words, and deeds we have performed in pursuing the perfection of generosity, in dedicating our merits to others, and in making vows.

전기 전도성 향상을 위한 RGO가 코팅된 TiO₂ 제조

김수덕,최진섭 한국표면공학회 2016 한국표면공학회 학술발표회 초록집 Vol.2016 No.11

양극산화 공정을 통한 나노 구조의 지르코늄-구리 합금 산화물 제조

김수덕,오병인,최진섭 한국표면공학회 2016 한국표면공학회 학술발표회 초록집 Vol.2016 No.5

Analysis of Economic Feasibility of Integrated Gasification Combined Cycle(IGCC) as a Next Generation Power Supply in Korea

김수덕 한양대학교 경제연구소 2008 JOURNAL OF ECONOMIC RESEARCH Vol.13 No.1

This research attempts to evaluate the economic feasibility of a new power generation technology known as integrated gasification combined cycle(IGCC), considering various potential business conditions. The fact that IGCC has been defined as a new energy by New and Renewable Energy Promotion Act is taken into account to form an additional potential scenario of future governmental support in addition to normal economic sensitivity analysis. Evaluated at the current price of year 2008, result shows that IGCC project with net power capacity of 353MW is estimated to secure more than 10% of IRR (Internal Rate of Return) if wholesale power price (SMP) is determined above the level of 80Won/kWh under the current Cost Based Pool market system. Assuming IGCC socially accepted, environmentally friendly and energy efficient power source, combined impact of governmental support and changes in SMP are also examined. The possible application of FIT(Feed-in Tariff) and RPS(Renewable Portfolio Standards) for the promotion of IGCC is also examined.

[영화사전] 독립 영화인들을 위한, 알고 싶은 '영화 음향'

김수덕 한국독립영화협회 1999 독립영화 Vol.1 No.-

미설명 도시가스의 분석 : 경인지역 중심으로

김수덕,서정규 한국에너지학회 2003 에너지공학 Vol.12 No.4

A study is perfomed on the difference between the volume of gas purchased from Korea Gas Corporation (KGC) and that of measured gas deliveries including total sales, pipeline inventory, and other usage by gas companies at Seoul and Kyunggi area. Actual data md information from 1996 to 2001 on gas purchase from KGC, sales, loss and own company use and pipeline status of each gas company are used to identify net inventory change in pipeline, unaccounted inventory estimates based on billing cycle and their net changes. A framework to be used for the analysis of such differences and an empirical test result are being provided. As a conclusion, the hypothesis that each gas company purchased more than the volume of gas accounted-for by all the possible factors is shown to be rejected. 본 연구에서는 경인지역 도시가스회사들이 가스공사로부터 도매 매입한 도시가스의 양이 배관내재고 등의 기타 용도를 포함한 도시가스판매량과의 차이에 대해 검토하여 보고자 하였다. 1996년부터 2001년의 자료를 이용하여 가스공사로부터 매입한 물량, 배관길이, 판매자료, 손실, 자가소비, 기타의 항목으로 기존의 자료를 정리하였고, 이를 기초로 하여, 배관내 재고량 변화, 판매 자료에 기초한 추정 미검침 재고량과 그 이월분 등을 확인하였다. 또 이를 통해 우리의 관심의 대상이 되는 오차를 이해할 수 있는 틀을 제공하고, 사실관계의 확인을 실증적인 분석을 통해 제시하고자 하였다. 결과. 각 도시가스회사가 도매 매입한 물량이 미검침 재고량의 이월분, 배관내재고, 검침판매량, 손실, 자가소비, 기타를 합한 량보다 많다라는 통계적 가설을 기각함을 보인다.

에너지가격변화의 경제적 효과에 관한 연구

김수덕,손양훈 한국환경경제학회 한국자원경제학회 2001 자원·환경경제연구 Vol.10 No.4

We investigate a practical method of calculating the impact of multiple domestic energy price change on the final demand, production, the export and import change, the change in the balance of payment of Korean economy. By combining an existing computable general equilibrium (CGE) model with the traditional input-output analysis with two additional assumptions on the price behavior, we provide a cost-effective method of analyzing the impact of multiple energy price changes on the domestic economy. The energy price shock we used in this paper is 0.127% increase weighted by the sectoral productions. The total impacts on price level and GDP are 1.258% and -0.940%, respectively. The impact on the total output (GDP and intermediate goods) is about -1.580%.

RPS 도입의 경제적 효과

김수덕,문춘걸 한국환경경제학회 한국자원경제학회 2005 자원·환경경제연구 Vol.14 No.3