• The Korean Journal of Financial Management
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• v.11 no.1
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• pp.233-262
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• 1994

본 연구는 주식시장(株式市場)의 이상현상(異狀現象)중의 하나인 요일효과(曜日效果)(day of the week effect)를 전통적인 회귀분석(回歸分析)이 아닌 ARCH 또는 GARCH 모형을 사용하여 조건부(條件附) 평균수익률(기대수익률)(平均收益率(期待收益率)) 뿐만아니라 조건부(條件附) 분산(分散)에도 나타나는지에 대하여 분석하였으며, 규모별(規模別)에 따라 요일효과(曜日效果)에 어떠한 차이가 나타나는지를 분석하였다. 본 연구의 추정결과를 요약하면, 조건부(條件附) 평균수익률(기대수익률)(平均收益率(期待收益率)) 및 조건부(條件附) 분산(分散) 모두에 있어 요일효과(曜日效果)가 뚜렷하게 존재하는 것으로 나타났다. 즉, 조건부(條件附) 평균수익률(平均收益率)에 대해서는 월요일(月曜日)은 부(負)의 효과, 토요일(土曜日)은 정(正)의 효과가 나타났으며, 조건부(條件附) 분산(分散)에 대해서는 월요일(月曜日)은 정(正)의 효과가, 토요일(土曜日)은 부(負)의 효과가 발견되었다. 그러나 한국(韓國)의 주식시장의 본격적인 성장기이면서 주식가격의 등락이 심했던 $86\sim92$년(年)간의 표본기간 동안에는 조건부(條件附) 분산(分散)에 대한 요일효과(曜日效果)는 존재하였으나, 조건부(條件附) 평균수익률(平均收益率)에 대한 요일효과(曜日效果)는 존재하지 않는 것으로 나타났다. 그리고 소형지수(小型指數)가 중(中) 대형지수(大型指數)와는 다른 주가행태를 보이는 것으로 나타났으며, 다음과 같은 몇 가지의 규모별(規模別) 차이(差異)를 보였다. 첫째, 조건부(條件附) 평균수익률(平均收益率)에 대한 분석에서 중(中) 대형지수수익률(大型指數收益率)을 사용하였을 경우에는 요일효과(曜日效果)가 나타난 반면에, 소형(小型) 지수수익률(指數收益率)의 경우에는 화요효과(火曜效果)가 존재하는 것으로 나타났다. 둘째, 조건부(條件附) 분산(分散)에 대한 분석에서 정(正)의 공휴일효과(公休日效果)가 다른 규모별 지수수익률(指數收益率)의 경우에는 나타나지 많았지만 소형(小型) 지수수익률(指數收益率)의 경우에는 존재하는 것으로 나타났다. 세째, 소형(小型) 지수수익률(指數收益率)의 경우 모형 추정후의 정규잔차(定規殘差)(normalized residuals) 및 정규자승잔차(定規自乘殘差)(normalized squared residuals)에 대한 시계열상관(時系列相關) 검정결과 모형의 부적합성(不適合性)이 나타났다. 본 연구는 기존의 기대수익률(期待收益率) 위주의 요일효과(曜日效果) 분석에서 주식수익률(株式收益率)의 분산(分散) 즉, 변동성(變動性)에 촛점을 두어 분석하였으며, 이는 투자자의 정확한 위험측정(危險測定)수단의 제공이라는 면에서 의의(意義)가 있을 것으로 생각된다.

• Journal of the Korean Data and Information Science Society
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• v.27 no.4
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• pp.959-967
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• 2016

Distributional assumptions on equity returns play a key role in valuation theories for derivative securities. Elberlein and Keller (1995) investigated the distributional form of compound returns and found that some of standard assumptions can not be justified. Instead, Generalized Hyperbolic (GH) distribution fit the empirical returns with high accuracy. Hu and Kercheval (2007) also show that the normal distribution leads to VaR (Value at Risk) estimate that significantly underestimate the realized empirical values, while the GH distributions do not. We consider saddlepoint approximations to estimate the VaR and the ES (Expected Shortfall) which frequently encountered in finance and insurance as measures of risk management. We supposed GH distributions instead of normal ones, as underlying distribution of linear portfolios. Simulation results show the saddlepoint approximations are very accurate than normal ones.

• Korean journal of applied entomology
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• v.20 no.4 s.49
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• pp.207-211
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• 1981

It has been documented that the resistance to planthoppers is attributed to the feeding preference of the insects. This might be related to difference in the amount of feeding plant sap between resistant and susceptible hosts. In this aspect, this study was conducted to verify it and to develop an effective screening method for resistance to planthoppers by tracer technique. An effective P-32 labelling of rice seedlings at $2\~3$ leaf stage was dipping the roots in concentration of $0.1{\mu}Ci/ml$ solution for 48 hours. Radioactivity was significantly higher in planthopers fed on susceptible variety for 48 hours as compared to those fed on resistant variety. Radioactivity of adults was higher than that of nymphs and also higher in female than male. The results were highly correlated to that indicated by the feeding preference of the insects and therefore, considered to be valid for a screening technique.

• Journal of Practical Engineering Education
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• v.13 no.3
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• pp.507-514
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• 2021

K University of engineering college awarded degrees to workers for major of electrical and electronics in the degree-linked work-study parallel system for the first time in February 2020. In this study, the progressed process to the stage of producing group graduation works for graduates and completing the results in an engineering thesis system were presented. The questionnaire consisting of 39 questions was conducted with the subjects, and the results of the responses were compared and analyzed with the results of full-time students in the same major who graduated in the same year. Statistical analysis was attempted by dividing the five representative response questions by group, but the number of people in each group was less than 30, so the normality test of response results and statistical analysis by parametric methods were limited. However, it was judged that a one-sample t-test was possible. Focusing on this method, it was confirmed that there was a difference of 0.8 points or more between the groups on an average 5-point scale in response items related to the number of changes in the subject of the work, the satisfaction among the members, and the effort to guide the work. And the measures to deal with these differences were suggested.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.40 no.4
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• pp.325-332
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• 2022

Determination of VLBI IVP (Very Long Baseline Interferometry Invariant Point) position with high accuracy is required to compute local tie vectors between the space geodetic techniques. In general, reflective targets are attached on VLBI antenna and slant distances, horizontal and vertical angles are measured from the pillars. Then, adjustment computation is performed by using the mathematical model which connects measurements and unknown parameters. This indicates that the accuracy of the estimated solutions is affected by the accuracy of the measurements. One of issues in local tie surveying, however, is that the reflective targets are not in favorable condition, that is, the reflective sheet target cannot be perfectly aligned to the instrument perpendicularly. Deviation from the line of sight of an instrument may cause different type of measurement errors. This inherent limitation may lead to incorrect stochastic modeling for the measurements in adjustment computation procedures. In this study, error characteristics by measurement types and pillars are analyzed, respectively. The analysis on the studentized residuals is performed after adjustment computation. The normality of the residuals is tested and then equal variance test between the measurement types are performed. The results show that there are differences in variance according to the measurement types. Differences in variance between distances and angle measurements are observed when F-test is performed for the measurements from each pillar. Therefore, more detailed stochastic modeling is required for optimal solutions, especially in local tie survey.

• Journal of the Korean Data and Information Science Society
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• v.28 no.2
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• pp.339-348
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• 2017

One of the major issues of statistical process control for variables data is monitoring both the mean and the standard deviation. The traditional approach to monitor these parameters is to simultaneously use two seperate control charts. However there have been some works on developing a single chart using a single plotting statistic for joint monitoring, and it is claimed that they are simpler and may be more appealing than the traditonal one from a practical point of view. When using these control charts for variables data, estimating in-control parameters and checking the normality assumption are the very important step. Nonparametric Shewhart-Lepage chart, proposed by Mukherjee and Chakraborti (2012), is an attractive option, because this chart uses only a single control statistic, and does not require the in-control parameters and the underlying continuous distribution. In this paper, we introduce the Shewhart-Lepage chart, and propose the design procedure to find the optimal diagnosis limits when the location and the scale parameters change simultaneously. We also compare the efficiency of the proposed method with that of Mukherjee and Chakraborti (2012).

• The Korean Journal of Applied Statistics
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• v.29 no.2
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• pp.301-308
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• 2016

The process capability index is used to determine whether a production process is capable of producing items within a specified tolerance. Some process capability indices $C_p$, $C_{pk}$ and $C_{pm}$ have been of particular interest as useful management tools for tracking process performance. Most evaluations on process capability indices focus on statistical estimation and test of hypothesis. It is necessary to investigate their asymptotic correlationship among basic estimators ${\hat{C}}_p$, ${\hat{C}}_{pk}$ and ${\hat{C}}_{pm}$ of process capability indices $C_p$, $C_{pk}$ and $C_{pm}$. In this paper, we study their asymptotic correlationship for three process capability indices ${\hat{C}}_p$, ${\hat{C}}_{pk}$ and ${\hat{C}}_{pm}$ under bivariate normal distribution BN(${\mu}_x,{\mu}_y,{\sigma}^2_x,{\sigma}^2_y,{\rho}$). With some nonnormal processes, the asymptotic correlation coefficient of any two respective process capability index estimators could be established.

• The Journal of Korean Association of Computer Education
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• v.16 no.6
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• pp.11-19
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• 2013

Recently, the discussion of domain-generality vs. domain-specificity of creativity has been continued. At this point in time, we need to research computer programming activities related to creativity again. While most of existing relative researches have performed TTCT figural tests for evaluating learners' creativity of learning education programming language, our perspective is that verbal creativity is needed on learning education programming language more. In this research, we have developed scratch programming learning based on CPS with the contents using fundamental concepts of computer science from the viewpoint of that programming is a kind of learning required verbal thinking style. This learning program was applied to 17 students of 4th and 5th grade for each 4 classes in 5 days, total 20 classes, this group passed normality test has the result of t-test has found that three subscales (fluency, flexibility and originality) and creativity index (mean of three standard scores) of verbal creativity were improved significantly using the mean of standard scores (100) of TTCT verbal tests as the test value.

• Journal of the Korean Data and Information Science Society
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• v.27 no.6
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• pp.1465-1475
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• 2016

In order to secure safe meals, the hazards of microorganisms associated with food poisoning accident should be monitored and controlled in real situations. It is necessary to determined the correlation between existing common bacteria number (aerobic plate count; APC) and RLU (relative light unit) in cookware. In this paper, we investigate the correlation between ATP (RUL) and APC (CFU) by using three types of transform (inverse, square root, log transforms) of raw data in two steps. Among these transforms, the log transform at the first step has been found to be optimal for the data of cutting board, knife, soup bowl (stainless), and tray (carbon). The square root-inverse and the square root-square root transform at the second step have been shown to be optimal respectively for the cup and for the soup bowl (carbon) data.

• Journal of Korean Society of Transportation
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• v.21 no.3
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• pp.15-22
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• 2003

In general, the linear regression model has been used to estimate trip generation in the travel demand forecasting procedure. However, the model suffers from several methodological limitations. First, trips as a dependent variable with non-negative integer show discrete distribution but the model assumes that the dependent variable is continuously distributed between -$\infty$ and +$\infty$. Second, the model may produce negative estimates. Third, even if estimated trips are within the valid range, the model offers only forecasted trips without discrete probability distribution of them. To overcome these limitations, a poisson model with a assumption of equidispersion has frequently been used to analyze count data such as trip frequencies. However, if the variance of data is greater than the mean. the poisson model tends to underestimate errors, resulting in unreliable estimates. Using overdispersion test, this study proved that the poisson model is not appropriate and by using Vuong test, zero inflated negative binomial model is optimal. Model reliability was checked by likelihood test and the accuracy of model by Theil inequality coefficient as well. Finally, marginal effect of the change of socio-demographic characteristics of households on trips was analyzed.