• Ocean and Polar Research
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• v.37 no.4
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• pp.357-368
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• 2015

This study analyzed structural changes and asymmetry of price volatility during the period before and after a point of structural change in price volatility, using the Korean fresh common squid daily retail price data from January 1, 2004 to September 30, 2015. This study utilized the following analytical methods: the unit-root test was applied to ensure the stability of the data, the Quandt-Andrews breakpoint test was applied to find the point of structural change, and the Glosten-Jagannathan-Runkle GARCH and EGARCH models were applied to investigate the asymmetry of price volatility. The empirical results of this study are as follows. First, ADF, PP, KPSS and Zivot-Andrews tests showed that the daily retail price change rate of the Korean fresh common squid differentiated by logarithm was stable. Secondly, the ARIMA (2,1,2) model was selected by information criteria such as AIC, SC, and HQ. Thirdly, the Quandt-Andrews breakpoint test found that a single structural change in price volatility occurred on June 11, 2009. Fourthly, the Glosten-Jagannathan-Runkle GARCH and EGARCH models showed that estimates of coefficients within the models were statistically significant before and after structural change and also that asymmetry as a leverage effect existed before and after structural change.

• Journal of the Korean Mathematical Society
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• v.55 no.5
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• pp.1063-1073
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• 2018

We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.

• Journal of the Korean Graphic Arts Communication Society
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• v.6 no.1
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• pp.75-86
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• 1988

This is a experiment about change of highlight point by HBU and HLM of auxiliary function of gradation in color scanner. The result of change - over by HBU and HLM are summerized as follows. Therefore, the determination for the effective point and the amount of HBU and HLM are decided by the Table 1 and Table 2.

• Journal of Korean Society for Quality Management
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• v.16 no.2
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• pp.68-81
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• 1988

Testing procedures for a detection of change point in the regression model with correlated errors are discussed. A Bayesian approach is adopted and applied to a regression model with errors following an AR(1) model.

• Journal of applied mathematics & informatics
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• v.8 no.3
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• pp.731-742
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• 2001

A Gaussian smoothing algorithm obtained from a cascade of convolutions with a seven-point kernel is described. We prove that the change of local sums after applying our algorithm to sinusoidal signals is reduced to about two thirds of the change by the binomial coefficients. Hence, our seven point kernel is better than the binomial coefficients when trend curves are needed to be generated. We also prove that if our Gaussian convolution is applied to sinusoidal functions, the amplitude of higher frequencies reduces faster than the lower frequencies and hence that it is a low pass filter.

• Journal of the Korean Data and Information Science Society
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• v.21 no.6
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• pp.1305-1310
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• 2010

In this paper, we consider a change point test for stochastic volatility models. By considering the relation between moments of the logarithms of squared returns and the parameters, we construct the cusum test to detect changes of the parameters. We also carry out a simulation study and verify that the proposed test is more powerful than the cusum test proposed by Kokoszka and Leipus (2000).

• International Commerce and Information Review
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• v.9 no.3
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• pp.151-160
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• 2007

The purpose of this study is to estimate the risk premium hedge ratio in foreign exchange risk of the foreign exchange rate insurance. The applicants of exchange rate insurance and Korea Export Insurance Corporation will be facing the risk in change of currency and guaranteed currency’s swap point upon contract being made. Also upon making decision of hedging exchange rate insurance, the company will need to be aware of the risk causing due to change in swap point.

• Journal of the Korean housing association
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• v.12 no.4
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• pp.105-113
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• 2001

This research indicates to controversial point that store equipments were not applying correct development factor in the each apartment house by that change rate by scale and uniformity of form and inefficiency, effect of discount store is increasing in apartment house and progressed research. The result are as follows; First, interior main point of store of that influence greatly to change rate number of store be. Second, being lot area in jar in outside factor of store. Third, discount store separation appeared by leading person who influence greatly to change rate in middle who is contiguity market singleness residential quarter and contiguity existence of commercial district and nonexistence and discount store separation of only outside right near at hand. Construction of commerce equipment may have to consist in practical apartment house after examine various kinds factor such as store indoor, store outside and only outside while plan practical use of systematic and efficient commerce equipment focusing more in efficient utilization of commerce institution that consist after plan that is not planed commerce equipment focusing in development in plan of commerce equipment in apartment house hereafter accordingly.

• Communications for Statistical Applications and Methods
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• v.11 no.1
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• pp.79-91
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• 2004

In this thesis, Bayesian parameter estimation procedure is discussed for the mean change model of multivariate normal random variates under the assumption of noninformative priors for all the parameters. Parameters are estimated by Gibbs sampling method. In Gibbs sampler, the change point parameter is generated by Metropolis-Hastings algorithm. We apply our methodology to numerical data to examine it.

• Communications for Statistical Applications and Methods
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• v.16 no.4
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• pp.587-594
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• 2009

In this paper the change point problem of the error terms in linear regression models is considered. Since fixed or stochastic independent variables and weakly dependent errors are assumed, usual multiple regression models and time series models including ARMA are covered. We use the estimates of probability density function based on residuals in order to test the distribution change of the unobserved errors. Under some mild conditions, the test using the residuals is proved to have the same limiting distribution as the test based on true errors.