• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.193-225
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• 2006

The purpose of this paper is to analyze contagion in Asian foreign exchange markets using Extreme Value Theory and Copula. Our application deals with asymptotic dependence of daily exchange rate return for a sample of eight countries over period 1997.1.1-2005.4.13. The empirical results are summarized as follows. Firstly, Gumbel Copula is a good model to our data according to the value of AIC. Secondly, the extremal dependence between East Asian crisis countries became lower in the post crisis period than the crisis period. Thirdly, It seemed that high extremal dependence exists between East Asian countries with Singapore. Fourthly, the tail dependence between Indonesia, Malaysia, Thailand, Philippine became higher in the crisis period than the total period and post crisis period. Fifthly, the fact that the extremal dependence between Korea and Indonesia, Malaysia, Thailand, Philippine did not increase during the Asian Financial Crisis showed that the contagion effect was not the reason of the Korea's Fiancial Crisis. Sixthly, the extremal dependence between Asian exchange markets was not very high while comparing with the European exchange markets.

• Environmental and Resource Economics Review
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• v.29 no.2
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• pp.145-170
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• 2020

This study analyzes the dependence structure between energy (crude oil, natural gas, coal) prices and economic (real and financial) uncertainty. Summary of the results of the dependence structure between energy prices and economic uncertainty analysis is as follows. First, the results of model selection show that the BB7 copula model for the pair of crude oil price and economic uncertainty, the Joe copula model for the pair of natural gas price and economic uncertainty, and the Clayton copula model for the pair of coal price and economic uncertainty were chosen. Second, looking at the dependency structure, it showed that the pair of energy (crude oil, natural gas, coal) prices and real market uncertainty show positive dependence. Whereas, the only pair of financial market uncertainty-crude oil price shows positive dependency. In particular, crude oil price was found to have the greatest dependence on economic uncertainty. Third, looking at the results of tail dependency, the pair of real market uncertainty-crude oil price and pair of real market uncertainty-natural gas price have an asymmetric relationship with the upper tail dependency. It can be seen that the only pair of financial market uncertainty-crude oil represents asymmetric relationships with the upper tail dependencies. In other words, combinations with asymmetric relationships have shown strong dependence when negative extreme events occur. On the other hand, tail dependence between economic uncertainty and coal price be not found.

• Journal of Korea Port Economic Association
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• v.35 no.4
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• pp.107-120
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• 2019

Crude oil is a resource that is being used as a raw material in major industries, representing the price of the raw material market. It is also an important element that affects the shipping market in terms of fuel costs for freight vessels. As a result, crude oil and freight rates are closely related. Therefore, from January 2009 to June 2019, this study analyzed the dependency structure between oil price (WTI) and freight rates (BDI, BCI, BPI, BSI, and BHI) using daily data. The main results are summarized as follows. First, according to the copula results, survival Gumbel copula in WTI-BDI, Clayton copula in WTI-BCI, Survival Joe copula in WTI-BPI, Joe copula in WTI-BSI, and survival Gumbel copula in WTI-BHI were selected as the best-fitted model. Second, looking at Kendall's tau correlation, there is a positive correlation between BDI and oil price. Furthermore, freight rate index (BCI, BPI, BSI) and oil price show positive dependencies. In particular, the strongest dependence was found in BCI and oil price returns. However, BHI and oil price show a negative dependency. Third, looking at the tail-dependency structure, a pair between oil price and BDI, BCI showed a lower tail-dependency. The pair between oil price and BSI showed the upper tail-dependency.

• Journal of Korea Port Economic Association
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• v.36 no.4
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• pp.93-106
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• 2020

Trade is an important economic activity. In particular, since the establishment of the World Trade Organization (WTO), the scope of trade has been expanding due to events such as the entry of China into the WTO in 2001, the establishment of a multilateral trading system, mitigation and integration of trade barriers, and the establishment of the free trade agreement (FTA). Despite the expansion of the trade market, however, extreme events such as the 2008 global financial crisis, the 2016 Brexit, and the 2018 US-China trade war have had a direct negative impact on the trade market. Therefore, the present this study analyzed the dependence structure between the international shipping freight rate index, a variable representing trade activities, and the trade uncertainty between the US and China. The following is a summary of the analysis results. First, the US-Chinese trade policy uncertainty and international shipping freight rate index presented a Frank copula and rotated Clayton copula 270° distribution, respectively, showing the same distribution structure for each country. Second, the Kendall's tau correlation revealed a negative dependence between the international shipping freight rate index and US-Chinese trade policy uncertainty. The degree of dependence was greater in the combination of uncertainty in China's trade policy and international shipping freight rates. In other words, the dependence of global demand and trade policy uncertainty confirmed that China was stronger than the US. Finally, the tail dependence results revealed that the US-Chinese trade policy uncertainty and international shipping freight rates were independent of each other. This means that extreme events related to the trade policy uncertainty or international shipping rate index were not affected by each other.

• Journal of the Korean Society of Food Science and Nutrition
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• v.31 no.5
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• pp.917-923
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• 2002

Inhibitory mechanism of the anticoagulant polysaccharide purified from Codium fragile was investigated. The anticoagulant compounds (Cf-30-IV-4-ii, CF-30-IV) prolonged the clotting time at both activated partial thrombo-plastin time (aPTT) and thrombin time (TT). The Inhibition factor assay of instrinsic coagulation pathway in the blood showed that the anticoagulant polysaccharide (CF-30-IV-4-ii) inhibited other factors such as Ⅷ, Ⅸ, Ⅵ and Ⅷ of the coagulation cascade, which did not affect the lupus anticoagulant AB activity. In the thrombin inhibition pattern the CF-30-IV-4-ii did not directly influence the fibrine formation mediated by thrombin but af-fected the anticoagulant activity through the activation of antithrombin III. Base on these result, the anticoaglant polysaccharide (CF-30-IV-4-ii) was considered to inhibit serine pretense involved in the blood coagulation cascade through the enhancing antithrombin III activity. The residual effects of anticoagulant activity and antithrombosis were tested with ICR mice. The anticoagulant polysaccharide (CF-30-W) kept its anticoagulant activitv for 6 hrs with 100% survival at a dose of 150 mg/kg in the antithromboisis test. The anticoagulant effect of CF-30-RF in ex vivo was proportional to the concentration of intravenously injected dose up to 100 mg/kg.

• Economic Analysis
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• v.27 no.1
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• pp.67-90
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• 2021

This study found an interesting fact that the nonlinear relationship structure between volatility and trading volume changed before and after the COVID-19 pandemic according to empirical analysis using Bitcoin (BTC) market data that sensitively reflects investors' trading behavior. That is, their relationship appeared positive (+) in a stable market state before COVID-19 pandemic, as in theory based on the information flow paradigm. In a state under severe market stress due to COVID-19 pandemic, however, their dependence structure changed and even negative (-). This can be seen as a consequence of increased market stress caused by COVID-19 pandemics from a behavioral economics perspective, resulting in structural changes in the asset market and a significant impact on the nonlinear dependence of volatility and trading volume (in particular, their dependence at extreme quantiles). Hence, it should be recognized that in addition to information flows, psychological phenomena such as behavioral biases or herd behavior, which are closely related to market stress, can be a key in changing their dependence structure. For empirical analysis, this study performs a test of Ross (2015) for detecting a structural change, and proposes a Copula Regression Quantiles (CRQ) approach that can identify their nonlinear relationship structure and the asymmetric dependence in their distribution tails without the assumption of i.i.d. random variable. In addition, it was confirmed that when the relationship between their extreme values was analyzed by linear models, incorrect results could be derived due to model specification errors.

• Management & Information Systems Review
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• v.39 no.2
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• pp.17-37
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• 2020

The purpose of this study is to investigate the global spillover effects through the existence of linear and nonlinear causal relationships between the US, European and BRIC financial markets after the period from the introduction of the Euro, the financial crisis and the subsequent EU debt crisis in 2007~2010. Although the global spillover effects of the financial crisis are well described, the nature of the volatility effects and the spread mechanisms between the US, Europe and BRIC stock markets have not been systematically examined. A stepwise filtering methodology was introduced to investigate the dynamic linear and nonlinear causality, which included a vector autoregressive regression model and a multivariate GARCH model. The sample in this paper includes the post-Euro period, and also includes the financial crisis and the Eurozone financial and sovereign crisis. The empirical results can have many implications for the efficiency of the BRIC stock market. These results not only affect the predictability of this market, but can also be useful in future research to quantify the process of financial integration in the market. The interdependence between the United States, Europe and the BRIC can reveal significant implications for financial market regulation, hedging and trading strategies. And the findings show that the BRIC has been integrated internationally since the sub-prime and financial crisis erupted in the United States, and the spillover effects have become more specific and remarkable. Furthermore, there is no consistent evidence supporting the decoupling phenomenon. Some nonlinear causality persists even after filtering during the investigation period. Although the tail distribution dependence and higher moments may be significant factors for the remaining interdependencies, this can be largely explained by the simple volatility spillover effects in nonlinear causality.

• Journal of the Korean Data and Information Science Society
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• v.28 no.4
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• pp.797-810
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• 2017

The Korean peninsula is exposed to typhoons every year. Typhoons cause huge socioeconomic damage because tropical cyclones tend to occur with strong winds and heavy precipitation. In order to understand the complex dependence structure between strong winds and heavy precipitation, the copula links a set of univariate distributions to a multivariate distribution and has been actively studied in the field of hydrology. In this study, we carried out analysis using data of wind speed and precipitation collected from the weather stations in Busan and Jeju. Log-Normal, Gamma, and Weibull distributions were considered to explain marginal distributions of the copula. Kolmogorov-Smirnov, Cramer-von-Mises, and Anderson-Darling test statistics were employed for testing the goodness-of-fit of marginal distribution. Observed pseudo data were calculated through inverse transformation method for establishing the copula. Elliptical, archimedean, and extreme copula were considered to explain the dependence structure between strong winds and heavy precipitation. In selecting the best copula, we employed the Cramer-von-Mises test and cross-validation. In Busan, precipitation according to average wind speed followed t copula and precipitation just as maximum wind speed adopted Clayton copula. In Jeju, precipitation according to maximum wind speed complied Normal copula and average wind speed as stated in precipitation followed Frank copula and maximum wind speed according to precipitation observed Husler-Reiss copula.

• Radiation Oncology Journal
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• v.16 no.3
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• pp.233-243
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• 1998

Purpose : To evaluate the effects of X-irradiation on prenatal deaths, i.e., preimplantation deaths, embryonic deaths and fetal deaths, and on external malformations in precompacted preimplantation ddy mice Materials and Methods : Pregnant mice (n=85) obtained by limiting the mating time to from 6 to 9 A.M., were segregated into 11 groups. The first five groups (n=26) were irradiated with X-ray doses of 0.1 0.5, 0.75, 1.5, and 3 Gy, respectively, at 24 h post conception (p.c.) of the preimplantation Period. The second five (n=27) groups were irradiated at the same X-ray doses, respectively, but at 48 h p.c. of the preimplantation period. The last group (n=32) was the control group. The uterine contents were examined on the 18th day of gestation for prenatal deaths and external malformations. Results : 1) A statistically significant increase in preimplantation deaths with increasing dose was observed in the experimental groups irradiated at 24 h p.c. and in the groups irradiated at 48 h p.c., as compared to the control group. The threshold dose was close to 0.05 Gy and 0.075 Gy for the irradiations at 24 h p.c. and 48 h p.c. respectively. 2) A statistically significant increase in embryonic deaths with increasing dose was observed in all irradiation groups, except the group irradiated with a dose of 0.1 Gy at 48 h p.c.. 3) No fetal deaths were found in any experimental group. 4) In the experimental groups irradiated at 24 h p.c. anomalies increased with statistical significance, as compared with the control group : 2 exencephalies, 2 open eyelids, 3 anophthalmias, 2 cleft Palates, 2 gastroschisis, 1 abdominal wall defect. 1 leg defect, and 2 short tail anomalies: the threshold dose for external malformations was close to 0.2 Gy at 24 h p.c.. In the groups irradiated at 48 h p.c., 1 open eyelid and 2 short tail anomalies were observed, but there was no statistical significance in those malformations. Conclusion : The results of this study reveal that X-irradiation of precompacted preimplantation ddy mice causes not only preimplantation deaths and embryonic deaths but also external malformations. In addition, external malformations were observed in our experiments at diagnostic doses, including 0.1 and 0.5 Gy. For this reason, we recommend that irradiation should be avoided during the preimplantation period by applying Rugh's 10-day rule.

• Proceedings of the Korean Geotechical Society Conference
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• 2004.03a
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• pp.289-309
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• 2004

위에서 언급한 바와 같이 계측대상 연약 지반이 대심도, 광역화함에 따라 연약지반 계측의 전반적인 추세는 자동계측 시스템의 사용과 준설ㆍ매립공사 또는 해수면상에서의 공사 특성상 케이블 관리의 어려움을 극복하고자 무선데이터 전송방식의 사용이다. 또한 유지관리의 필요성 증대로 인하여 계측 모니터링, 자동분석 프로그램의 기술도 발전되고 있다. 그러나 아직 국내는 계측에 대한 기술 개발이 미비할 뿐 아니라 계측기술에 대한 인식이 매우 부족하고, 관련법이 정비되지 못하여 계측관련 기술 및 경험이 전무한 영세업체들까지 난립하여 치열한 경쟁을 하는 관계로 기술개발에 대한 투자는 거의 중단된 상태이다. 따라서 정확한 유지관리 계측을 위해서는 대부분 외산기기에 의존할 수밖에 없는 상황이다. 그러나, 현재 국내의 전자통신 기술의 수준을 감안할 때 관련법이 정비되고 체계적인 연구와 투자가 이루어진다면 쉽게 세계적인 수준으로 도약할 수 있으리라 판단된다. 한국지반공학회의 연약지반위원회에서는 2003년 8월 20일 한양대학교 박물관 강당에서 학술세미나를 개최하였다. 본격적인 세미나에 앞서 '연약지반 공학자의 당면문제 및 해결방안'에 관한 주제로 전 연약지반위원회 위원장이셨던 (주)에스코 컨설턴트의 김승렬박사께서 초청강연을 하여 주셨다. 김승렬박사께서는 그 원고의 꼬리말을 다음과 같이 기술하며 마무리하셨다. 국내 연약지반 기술수준의 상황과 우리의 위상을 제고하기 위한 좋은 말씀으로 생각되어 본고에서는 그 부분을 인용하는 것으로 끝을 맺고자 한다. '우리나라의 연약지반 기술수준은 동남아시아 지역의 국가들인 싱가포르, 대만, 태국, 심지어는 베트남에 비해 결코 우월한 위치에 있지 않다. 오히려 많이 낙후되었다고 할 수 있다. 경제규모와 위상과 발전상태에 비추어 보면 실로 부끄러운 일이 아닐 수 없다. 이렇게 된 배경에는 연약지반이 사회의 문제로 대두되는 일이 미미하여 이 분야에 쓸리는 관심이 상대적으로 적은 점이 주원인이라고 볼 수 있다. 연약지반이 기술현장에서 문제로 떠오르기 시작한지도 째 오랜 시간이 경과하였다. 이제 더 이상 우리의 기술수준을 이대로 방치할 수는 없는 시점에 와 있는 것이다. 연약지반에 몸담고 있는 우리 스스로가 위상을 지키려는 노력을 배가하여야 한다. 연약지반 공학자들은 스스로 고급의 데이터를 생산하고 평가하고 예측하는 기법을 활발하게 적용하고 발전시킴으로써 자신들의 위치를 지켜야 할 것이다. Clean-handed-research만을 고집하는 환상에서 깨어나 국외의 변모하는 모습을 빠르게 수용하고 국내의 연약지반 관련 자료를 국외에 널리 알릴 수 있는 위치로 발돋움할 때 연약지반 공학자의 위상도 제고될 것이다.'