• The Korean Journal of Financial Management
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• v.26 no.4
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• pp.191-234
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• 2009

This study examined on the volatility feedback hypothesis through the use of threshold GARCH-in-Mean (GJR-GARCH-M) model developed by Glosten, Jaganathan, and Runkle (1993) in the stock markets of 14 emerging countries during the period of January, 1996 to May, 2009. On this study, I found successful evidences which can support the volatility feedback hypothesis through the following three estimation procedures. First, I found relatively strong positive relationship between the expected market risk premiums and their conditional standard deviations from the GARCH-M model in the basis of daily return on each representative stock market index, which is appropriate to investors' risk-averse preferences. Second, I can also identify the significant asymmetric time-varying volatility originated from the investors' differentiated reactions toward the unexpected market shocks by applying the GJR-GARCH-M model and further find the lasting positive risk aversion coefficient estimators. Third, I derived the negative signs of the regression coefficient of unpredicted volatility on the stock market return by re-applying the GJR-GARCH-M model after I controlled the positive effect of predicted volatility through including the conditional standard deviations from the previous GARCH-M model estimation as an independent explanatory variable in the re-applied new GJR-GARCH-M model. With these consecutive results, the volatility feedback effect was successfully tested to be effective also in the various emerging stock markets, although the leverage hypothesis turned out to be insufficient to be applied to another source of explaining the negative relationship between the unexpected volatility and the ex-post stock market return in the emerging countries in general.

• Proceedings of the Korea Water Resources Association Conference
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• 2016.05a
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• pp.9-9
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• 2016

많은 연구들에서 단변량 수문 변량들에 대한 불확실성 분석이 이루어지고 있지만, 다변량에 대한 불확실성에 관한 연구는 아직까지 정확하게 이루어지고 있지 않은 실정이다. 이에 본 연구에서는 갈수기(12월~4월)의 강수, 온도와 남방진동(El Ni?o-Southern Oscillation, ENSO)과 같은 수문기상학적 변량들 사이의 시간에 따른 변동 구조를 조사하고, 식별된 패턴을 이용한 강우와 온도의 예측 향상 가능성을 살펴보았다. 수문기상학적 변수간의 시변성 구조를 이해하기 위해서 각각의 단변량 매개변수와 시간에 따라 변화하는 Copula 매개변수를 동시에 추정할 수 있는 Copula 함수 기반의 새로운 다변량 비정상성 모델을 개발하고자 한다. 강우와 온도의 비정상정 단변량 분포를 생성하기 위해 ENSO 지표 또는 시계열 예측인자와 함께 시변성 모델을 적용할 수 있다. 최종적으로, 확인된 시간 변동적인 구조와 연관된 종관 패턴을 나타내고 논의하고자 한다.

• The Journal of the Acoustical Society of Korea
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• v.32 no.2
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• pp.116-123
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• 2013

This paper represents generation of time-varying underwater acoustic channels by performing scattering simulation with time-varying ocean surface and Kirchhoff approximation. In order to estimate the time-varying ocean surface, 1D Pierson-Moskowitz ocean power spectrum and Gaussian correlation function were used. The computed scattering coefficients are applied to the amplitudes of each impulse of BELLHOP simulation result. The scattering coefficients are then compared with measured doppler spectral density of signal components which were scattered from ocean surface and the correlation time used in the Gaussian correlation function was estimated by the comparison. Finally, bit-error-rate and channel correlation simulations were performed with the generated time-varying channel based on passive time-reversal communication scenario.

• The Korean Journal of Applied Statistics
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• v.36 no.1
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• pp.85-100
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• 2023

The stochastic volatility (SV) model is one of the main methods of modeling time-varying volatility. In particular, SV model is actively used in estimation and prediction of financial market volatility and option pricing. This paper attempts to model the time-varying volatility of the bitcoin market price using SV model. Hidden Markov model (HMM) is combined with the SV model to capture characteristics of regime switching of the market. The HMM is useful for recognizing patterns of time series to divide the regime of market volatility. This study estimated the volatility of bitcoin by using data from Upbit, a cryptocurrency trading site, and analyzed it by dividing the volatility regime of the market to improve the performance of the SV model. The MCMC technique is used to estimate the parameters of the SV model, and the performance of the model is verified through evaluation criteria such as MAPE and MSE.

• Journal of the Korean Data and Information Science Society
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• v.22 no.3
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• pp.423-436
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• 2011

Many of the theoretical studies have considered herd behavior as a source of the volatility in financial markets, but there have been few empirical studies on the dynamic herding due to the technical difficulty of detecting herd behavior with time-series data. In this context, this paper proposes a new method for measuring time-varying herd behavior based on QR-GARCH model. Using daily data of KOSPI stocks, this paper provides some empirical evidence for strong and volatile herding among traders of stocks of medium firms, and shows that time-varying herd behavior in traders of some stocks has persistent autocorrelation.

• The Journal of the Acoustical Society of Korea
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• v.22 no.1
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• pp.69-77
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• 2003

Measurements of backscattered intensity were made over a shallow water using 300 ㎑and 1200 ㎑ bottom mounted ADCP (Acoustic Doppler Current Profiler) to determine the temporal variability of vertical distribution of high-frequency volume scattering strength (Sv). The variability of Sv in relatively deep water column(85 m and 113 m was due to the daily vertical migration, probably of larger zooplankton. However it was not found with 1200㎑ data at shallow water column. From the empirical orthogonal function (EOF) analysis using 1200㎑ data, the vertical distribution of the first mode eigenvectors of Sv is characterized by the presence of the maximum values near the bottom of the water.

• 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.

• Proceedings of the Acoustical Society of Korea Conference
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• autumn
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• pp.335-338
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• 2001

잔향음은 시변동성이 존재하는 유동성 경계면 잔향음(해수면, 체적)과 시변동성이 존재하지 않는 고정 경계면 잔향음(해저면)으로 분류된다. 그러나 고정 경계면 잔향음으로 알려진 해저면 잔향음에서도 단주기적 시변동성이 존재하고 있음이 여러 실측자료에서 관측되고 있다. 본 연구는 시변동성의 원인을 파악하고자 실험실에서 부유성 퇴적물의 농토에 따른 후방산란 신호를 측정하였다. 또한 동해에서 측정된 시간에 따른 잔향음신호(80kHz)와 ADCP(4.2MHz) 자료를 비교하여 천해에서의 체적 산란체의 변동이 잔향음 신호에 영향을 미칠 수 있음을 확인하였다. 아울러 본 논문에서는 잔향음 신호의 단주기적 시변동성에 의한 잡음 성분을 제거하여 표준화된 잔향음 신호를 획득하기 위한 방법으로 Low Rank Approximation(LRA)을 제안하였다. 이 기법은 특이해 분해(Singular Value Decomposition, SVD)를 수행하여 실측 자료 행렬로부터 고유치(Eigenvalue)과 고유벡터(Eigenvector)를 추출한 후, 추출된 고유치를 제한적으로 사용하여 근사화 하는 기법으로 시변동성 신호를 제거하는데 효율적인 방법이다.

• Journal of Korea Water Resources Association
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• v.38 no.8 s.157
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• pp.617-629
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• 2005

In this paper, a hypothesis is tested that division of non-monotonic time series into monotonic parts will improve the estimation of trends through increased homogeneity in direction of time-variation using LOWESS smoothing and seasonal Kendall test. From the trend analysis of generated time series and water temperature, discharge, air temperature and solar radiation of Lake Daechung, it is shown that the hypothesis is supported by improved estimation of trends and slopes. Also, characteristics in homogeneity variation of seasonal changes seems to be more clearly manifested as homogeneity in direction of time-variation is increased. And this will help understand the effects of human intervention on natural processes and seems to warrant more in-depth study on this subject. The proposed method can be used for trend analysis to detect monotonic trends and it is expected to improve understanding of long-term changes in natural environment.

• Proceedings of the Acoustical Society of Korea Conference
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• spring
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• pp.433-438
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• 2002

연안역의 천해 해저면에 설치된 ADCP(Acoustic Doppler Current Profiler, 300kHz, 1200kHz)를 이용, 천해에서 체적 산란강도(volume scattering strength) 수직분포의 시간적인 변동 특성을 알아보았다. 수심 85m와 113m에서 ADCP로 측정한 산란강도의 일주기 변동성은 동물플랑크톤(zooplankton)으로 추측되는 산란체의 일주기 수직 이동(daily vertical migration)의 원인으로 추정되었다. 그러나 수심 20m의 천해에서 관측된 산란강도의 시변동성은 경험적 직교 함수(Empirical Orthogonal Function, EOF) 분석 결과 해저면 부근의 변화가 천해 체적 산란의 변동성에 큰 영향을 주는 것으로 나타났다.