• Journal of the Korea Academia-Industrial cooperation Society
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• v.12 no.12
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• pp.5671-5676
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• 2011

Volatility Index is the index that represents future volatility of underlying asset implied in option price and expected value of market that measures the possibility of stock price's change expected by investors. The Korea Exchange announces a volatility Index, VKOSPI, since April, 13, 2009. This paper used daily data from January, 2002 through December, 2008 and tested power of Volatility index for future returns of portfolios sorted by size, book-to-market equity and beta. As a result, VKOSPI has the predictive power to future returns and then VKOSPI may be determinants of returns. Also if beta is included when sorting portfolio, the predictive power of VKOSPI is stronger for future portfolio returns.

• Journal of the Korean Data and Information Science Society
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• v.28 no.4
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• pp.843-851
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• 2017

The rise of the Robo-advisor represents one of the most profound shifts in FinTech. It also raises concerns about their financial management. As the most Robo-Advisors utilize ETFs, we seek to determine the appropriate risk management model in estimating 95% Value-at-Risk (VaR) and 99% VaR in this paper. The GARCH and the Markov regime wwitching GARCH are evaluated in terms of the accuracy of probability, the independence of extreme events occurrence and both. The result shows that the Markov regime switching GARCH can be a good ETF risk management tool since it can reflect financial market structural changes into the volatility.

• Journal of the Korea institute for structural maintenance and inspection
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• v.25 no.5
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• pp.15-23
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• 2021

In this paper, service life for RC(Reinforced Concrete) substructure subjective to carbonation was evaluated through deterministic and probabilistic method considering field investigation data and Design Code(KDS 14 20 40). Furthermore changes in service life with increasing COV(Coefficient of Variation) and equivalent safety index meeting the same service life were studied. From the investigation, the mean and its COV of cover depth were evaluated to 70.0 ~ 90.0 mm and 0.2, respectively. With intended failure probability of 10.0 % and 70 mm of cover depth, service life decreased to 137 years, 123 years, and 91 years with increasing COV of 0.05, 0.1, and 0.2, respectively. In the case of 80 mm of cover depth, it changes to 179 years, 161 years, and 120 years with increasing COV. The equivalent safety index meeting the same service life from deterministic method showed 1.66 ~ 3.43 for 70 mm of cover depth and 1.61 ~ 3.24 for 80 mm of cover depth, respectively. The various design parameters covering local environment and quality condition in deterministic method yields a considerable difference of service life, so that determination of design parameters are required for exposure conditions and parameter variation.

• Communications for Statistical Applications and Methods
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• v.15 no.6
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• pp.925-937
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• 2008

In this study, we considered the clustering analysis for stock return traded in the stock market. Most of financial time-series data, for instance, stock price and exchange rate have conditional heterogeneous variability depending on time, and, hence, are not properly applied to the autoregressive moving-average(ARMA) model with assumption of constant variance. Moreover, the variability is font and center for stock investors as well as academic researchers. So, this paper focuses on the generalized autoregressive conditional heteroscedastic(GARCH) model which is known as a solution for capturing the conditional variance(or volatility). We define the metrics for similarity of unconditional volatility and for homogeneity of model structure, and, then, evaluate the performances of the metrics. In real application, we do clustering analysis in terms of volatility and structure with stock return of the 11 Korean companies measured for the latest three years.

• The Korean Journal of Applied Statistics
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• v.27 no.1
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• pp.123-132
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• 2014

Inflation uncertainty is known to have deleterious effects on facilities investment by disturbing the corporate decision on the opportunity cost of investment. In this paper, we test the validity of this hypothesis in Korea by estimating the inflation uncertainty with both a time-varing parameter model with GARCH disturbances and the relative price volatility and then, estimate the facilities investment equation which includes those uncertainty indicators. The uncertainty indexes estimated by the above-mentioned methods continue to fluctuate even after the inflation rate has dropped dramatically reflecting the structural changes of Korea's economy since the financial crisis in 1997. As a result of estimation of the investment equation by both OLS and GMM, we find the inflation uncertainty has a negative effect on facilities investment with a statistical significance. Moreover, by means of Markov-switching regression model utilized to verify the non-linearity of this relationship, we draw a conclusion that this negative effect of inflation uncertainty heightens asymmetrically during the downturn periods of business cycle.

• Journal of the Korea institute for structural maintenance and inspection
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• v.22 no.1
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• pp.32-39
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• 2018

Repairing timing and the extended service life with repairing are very important for cost estimation during operation. Conventionally used model for repair cost shows a step-shaped cost elevation without consideration of variability of extended service life due to repairing. In the work, RC(Reinforced Concrete) Column is considered for probabilistic evaluation of repairing number and cost. Two mix proportions are prepared and chloride behavior is evaluated with quantitative exterior conditions. The repairing frequency and cost are investigated with varying service life and the extended service life with repairing which were derived from the chloride behavior analysis. The effect of COV(Coefficient of Variation) on repairing frequency is small but the 1st repairing timing is shown to be major parameter. The probabilistic model for repairing cost is capable of reducing the number of repairing with changing the intended service life unlike deterministic model of repairing cost since it can provide continuous repair cost with time.

• Journal of the Korean Recycled Construction Resources Institute
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• v.4 no.2
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• pp.172-179
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• 2016

For an evaluation of service life in RC(Reinforced Concrete) structures, deterministic method and probabilistic method considering random variables of design parameters are usually adopted. In the work, surface chloride contents which vary with distance from sea shore and height are investigated from the previous research literature surveys, and they are considered for service life estimation. Through the analysis, the probabilistic method shows much lower results, which is due to variations of design parameters and very low intended durability failure. In the deterministic method, the structures within 250m and higher than 60m are evaluated to be free from chloride attack. In the probabilistic method, those higher than 60m in all the region and higher than 40m and 250m from sea shore are evaluated to satisfy the service life.

• Proceedings of the Korea Committee for Ocean Resources and Engineering Conference
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• 2004.11a
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• pp.127-132
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• 2004

본 연구는 2003 년 9월 내습한 태풍 매미로 인해 마산 진해 용원 지역을 포함하는 가덕수도 인근 해역의 태풍 매미의 풍역변화 특성과 개방형 및 폐쇄성 해역 등의 지형적 특성을 고려한 호안 월류 패턴을 고찰하고 이를 모식화하였다. 태풍 매미 통과시 진해만의 경우는 풍향이 E-ESE 인 시점이 파랑에너지가1 충분히 발달하여 입사할 조건에 해당되고 마산만의 경우는 풍향이 SE-S인 시점이며, 부산신항 인근 해역은 S-SSW의 풍향이 유세한 시점을 중심으로 태풍파랑을 산정하여야 구조물에 미치는 정확한 영향을 평가할 수 있을 것으로 판단된다. 따라서 이상 파랑의 내습에 따른 해양구조물의 안정정을 확보하기 위해서는 태풍 통과시 천해역의 풍역변화에 따른 수위변동 및 파랑장 영향을 해석하고 입사파랑에 의한 구조물의 피해를 최소화할 수 있는 방안의 연구 필요성을 강조할 수 있다.

• Computational Structural Engineering
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• v.10 no.1
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• pp.173-183
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• 1997

In this paper a method is suggested for the probabilistic analysis of impact buckling failure time of cylinder with random axisymmetric geometric imperfection under axial impact. Failure is assumed as axisymmetric radial deformation exceeds the given criteria for the first time. For the generation of random geometric initial imperfection, random field theory by mean function and autocorrelation function of geometric imperfection is used. Suggested method is useful for the treatment of the randomness of realistic geometric imperfection and can be used for the structural safety analysis of cylinder considering its effect.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.330-333
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• 2015

충적하천에서 발생하는 하천의 침식과 퇴적은 흐름을 통해 발생하는 자연적인 현상이다. 침식 및 퇴적에 대한 수치모형을 이용한 분석은 하천에 존재하는 보와 같은 수리구조물들의 유사이송에 대한 영향을 연구하는데 효과적인 방법이다. 본 연구에서는 낙동강에 위치한 강정고령보에서 달성보 구간을 대상으로 보 건설 후 다기능보 운영을 통해 발생되는 하상변동에 대해 다양한 유사량 산정 공식별 대상구간에 대한 하상변동양상을 파악하고 실측자료와의 비교를 통해 실제 한천에서의 수리구조물 영향을 고려한 하상변동 예측에 대한 HEC-RAS 모형의 적용성을 평가하였다.