• Journal of the Korean Data and Information Science Society
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• v.20 no.1
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• pp.11-24
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• 2009

The process controller in the adjustment procedure is often used effectively to control the process level close to target when noise is present and unremovable. Examples of the robust controller are single EWMA controller and double EWMA controller. Double EWMA controller is designed to reduce the offset of the process deviation, which single EWMA can not eliminate. In this paper, the two controllers are modified by taking EWMA of the original controller to reduce the adjustment variance, which may become excessively large when the two given controllers are implemented. It is shown that the EWMA modification of the given controllers is successful in reducing the adjustment variance, while the mean squared deviation increases slightly.

• Proceedings of the Korean Statistical Society Conference
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• 2000.11a
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• pp.141-146
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• 2000

Shapiro와 Wilk(1972)는 위치모수와 척도모수가 미지인 경우 지수분포의 검정통계량을 제안하였다. 그것은 척도모수의 일반화 최소제곱추정량과 표본분산의 비로 구성되었다. 그러나 이 검정통계량은 일치성을 갖지 않는다. 본 논문에서는 척도모수의 두개의 점근유효추정량으로 구성된 통계량을 고려하고 이의 극한분포를 구하였다. 또한 두 개의 통계량의 검정력을 비교한 결과 제안된 통계량이 변동계수가 1보다 크거나 같은 분포에서 더 좋은 검정력을 가짐을 볼 수 있었다.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1449-1466
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• 2014

In this paper, we consider a hedge portfolio based on futures of underlying asset. A classical way to estimate a hedge ratio for a hedge portfolio of a spot and futures is a regression analysis. However, a regression analysis is not capable of reflecting long-run equilibrium between a spot and futures and volatility clustering in the conditional variance of financial time series. In order to overcome such defects, we analyzed KOSPI200 index and futures using VECM-CC-GARCH model and computed a hedge ratio from the estimated conditional covariance-variance matrix. In real data analysis, we compared a regression and VECM-CC-GARCH models in terms of hedge effectiveness based on variance, value at risk and expected shortfall of log-returns of hedge portfolio. The empirical results show that the multivariate GARCH models significantly outperform a regression analysis and improve hedging effectiveness in the period of high volatility.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.61-73
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• 2016

We consider the wild bootstrap Ljung-Box (LB) test for autocorrelation in residuals of fitted multivariate time series models. The asymptotic chi-square distribution under the IID assumption is traditionally used for the LB test; however, size distortion tends to occur in the usage of the LB test, due to the conditional heteroskedasticity of financial time series. In order to overcome such defects, we propose the wild bootstrap LB test for autocorrelation in residuals of fitted vector autoregressive and error correction models. The simulation study and real data analysis are conducted for finite sample performance.

• The Korean Journal of Financial Management
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• v.26 no.3
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• pp.139-169
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• 2009

This paper introduces the modified VaR which takes into account the asymmetry and fat-tails of financial asset distribution, and then compares its out-of-sample forecast performance with traditional VaR model such as historical simulation model and Riskmetrics. The empirical tests using stock indices of 6 countries showed that the modified VaR has the best forecast accuracy. At the test of independence, Riskmetrics and GARCH model showed best performances, but the independence was not rejected for the modified VaR. The Monte Carlo simulation using skew t distribution again proved the best forecast performance of the modified VaR. One of many advantages of the modified VaR is that it is appropriate for measuring VaR of the portfolio, because it can reflect not only the linear relationship but also the nonlinear relationship between individual assets of the portfolio through coskewness and cokurtosis. The empirical analysis about decomposing VaR of the portfolio of 6 stock indices confirmed that the component VaR is very useful for the re-allocation of component assets to achieve higher Sharpe ratio and the active risk management.

• The Korean Journal of Financial Management
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• v.21 no.2
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• pp.183-209
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• 2004

This paper uses both the bivariate GARCH type BEKK error correction model and Bivariate-AR(1)-Markov-Switching-VECM model to estimate the volatility, time-varying correlation and hedge ratio for the KTB spot and futures indexes, sampled daily over 1/4/2000-10/30/2003. This study suggests that the volatility regime has more significant influence on KTB markets than incline/decline regime does. The results support the importance of the bivariate model in stead of univariate model between KTB spot and futures markets, which may consider not only individual variance process but also covariance process at the same time.

• Nuclear Medicine and Molecular Imaging
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• v.42 no.4
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• pp.275-284
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• 2008

Purpose: We intended to evaluate myocardial oxygen consumption ($MVO_2)$ by applying recirculation correction and modified one-compartment model to have a reference range of $MVO_2$ in normal young population and to reveal the effect of recirculation on time-activity curve (TAC). Materials and Methods: In nine normal male volunteers with mean age of $26.3{\pm}4.0$, $MVO_2$ was estimated with 925 MBq (25mCi) of $^{11}C$-Acetate (Neuroscience Research Institute, Gachon University of Medicine and Science, Incheon, Korea) and PET/CT (Biograph 6, Siemens Medical Solution, Germany). Analysis software such as $MATLAB^{(R)}$ v7.1 (Mathworks, Inc., United States), $Excel^{(R)}$ 2007 (Microsoft, United States), and $SPSS^{(R)}$ v12.0 (Apache Software Foundation, United States) were used. Twenty three frames were of $12{\times}10$, $5{\times}60$, $3{\times}120$, $2{\times}300's$ duration, respectively. The modified one-compartmental model and the recirculation correction method were applied. Statistical analysis was performed by using Test of Normality, ANOVA and Post-Hoc (Scheffe's) analysis, and p-value less than 0.05 was considered as significant. Results: The normal reference ranges of $MVO_2$ were presented as $3.18-4.64\;{\times}\;10^{-4}\;ml/g/sec$, $1.91-3.94\;{\times}\;10^{-4}\;ml/g/sec$, $4.31-6.40\;{\times}\;10^{-4}\;ml/g/sec$, $2.84-4.53\;{\times}\;10^{-4}\;ml/g/sec$ and $3.42-5.00\;{\times}\;10^{-4}\;ml/g/sec$ in the septum, the inferior wall, the lateral wall, the anterior wall and the entire wall, respectively. In addition, it was noted that the dual exponentiality of the clearance curve is due to the recirculation effect and that the characteristic of the curve is essentially mono-exponential. Conclusion: $^{11}C$-Acetate is a radiotracer worthwhile to assess $MVO_2$. Re-circulated $^{11}C$ can influence TAC of $^{11}C$ in myocadia and so the recirculation correction must be considered when measuring $MVO_2$.