• Proceedings of the Korean Institute of Navigation and Port Research Conference
• /
• 2022.06a
• /
• pp.209-210
• /
• 2022

For the growth of the marine leisure industry, it is necessary to estimate economic value to review appropriate profitability in advance for the opening of new routes for marine leisure ships. This study aims to analyze the willingness to pay for new marine leisure ships for users of Gyeonggi sea and estimate the economic value. To this end, the amount of willingness to pay was estimated using the conditional value measurement method, and significant factors affecting the payment of usage fees were analyzed. As a result of the study, the average willingness to pay was estimated at KRW 25,510, and it was found that the factors such as "island visit experience" and "satisfaction with means of transportation" had a significant effect on the willingness to pay.

• Journal of Korean Society of Industrial and Systems Engineering
• /
• v.22 no.51
• /
• pp.199-210
• /
• 1999

The number of car accident is Recently on the increase in Korea because of the explosive increase of cars, the poor road condition, the lack of safety facility, and others. The insurant with a accident has to decide whether receiving a insurance or not. In this paper, we represent a reasonable decision support material by calculating the approximate insurance fee based on the discount rate and premium additive rate, which is changed by the accident type and the accident expenditure. Practically, there is difference in the standard insurance rate and premium additive rate according to the accident type and the accident expenditure in Korea. The premium additive rate is assessed considering the number of accident, the pattern of accident, and the reason of accident for 3 years. In this paper, we represent a decision making method considering not only the first-time car accident but also the future car accident. For considering the repeated accident, we analyzed the real data accumulated until the year of 1996 from S Insurance Company, and estimated the probability density function between the first and the second-time accident, and executed the goodness of fit test using ARENA and STATISTICA software. Using this conditional PDF, we can calculate the insurance fee next 3 years and compare the insurance fee with the equivalent present value of cash flows. The program performing this analysis is represented, and written in VISUAL BASIC Language. We tried to suggest an accurate guideline for the insurant to decide the insurance coverage rationally, and tried to correct a wrong idea of dependence on the car insurance only by the amount of the accident expenditure. And we expect this study can generally be applied to many different accident types under the uncertain circumstances in our daily life.

• Journal of the Korea Society of Computer and Information
• /
• v.15 no.5
• /
• pp.57-65
• /
• 2010

In this paper, we propose a new real-time algorithm detecting the flame and smoke in digital CCTV images. Because the forest fire causes the enormous human life and damage of property, the early management according to the early sensing is very important. The proposed algorithm for monitoring forest fire is classified into the flame sensing and detection of smoke. The flame sensing algorithm detects a flame through the conditional test at YCbCr color model from the single frame. For the detection of smoke, firstly the background range is set by using differences between current picture and the average picture among the adjacent frames in the weighted value, and the pixels which get out of this range and have a gray-scale are detected in the smoke area. Because the proposed flame sensing algorithm is stronger than the existing algorithms in the change of the illuminance according to the quantity of sunshine, and the smoke detection algorithm senses the pixel of a gray-scale with the smoke considering the amount of change for unit time, the effective early forest fire detection is possible. The experimental results indicate that the proposed algorithm provides better performance than existing algorithms.

• Journal of the Korean Data and Information Science Society
• /
• v.25 no.6
• /
• pp.1449-1466
• /
• 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
• /
• v.36 no.4
• /
• pp.295-307
• /
• 2023

The heterogeneous autoregressive (HAR) model is a simple linear model that is commonly used to explain long memory in the realized volatility. However, as realized volatility has more complicated features such as conditional heteroscedasticity, leverage effect, and volatility clustering, it is necessary to extend the simple HAR model. Therefore, to better incorporate the stylized facts, we propose a threshold HAR model with GARCH errors, namely the THAR-GARCH model. That is, the THAR-GARCH model is a nonlinear model whose coefficients vary according to a threshold value, and the conditional heteroscedasticity is explained through the GARCH errors. Model parameters are estimated using an iterative weighted least squares estimation method. Our simulation study supports the consistency of the iterative estimation method. In addition, we show that the proposed THAR-GARCH model has better forecasting power by applying to the realized volatility of major 21 stock indices around the world.

• Journal of the Korea Institute of Information and Communication Engineering
• /
• v.26 no.12
• /
• pp.1919-1925
• /
• 2022

In this paper, we propose an image-to-image translation approach based on the conditional generative adversarial network for semantic segmentation. Semantic segmentation is the task of clustering parts of an image together which belong to the same object class. Unlike the traditional pixel-wise classification approach, the proposed method parses an input RGB image to its corresponding semantic segmentation mask using a pixel regression approach. The proposed method is based on the Pix2Pix image synthesis method. We employ residual connections-based convolutional neural network architectures for both the generator and discriminator architectures, as the residual connections speed up the training process and generate more accurate results. The proposed method has been trained and tested on the NYU-depthV2 dataset and could achieve a good mIOU value (49.5%). We also compare the proposed approach to the current methods in semantic segmentation showing that the proposed method outperforms most of those methods.

• 전자공학회논문지 IE
• /
• v.47 no.2
• /
• pp.32-37
• /
• 2010

In this study, to develop union type SMD inductor core needs to have the desire of super miniaturization and high reliability, it analyzed temperature properties due to electric power value. As the temperature of electronic parts rise, it bring to technical obstacles that parts can not normal operation, it reduce the span of life to raise the fault ratio. Also, it impact to the parts by heat change power and expansive power, it can not behave exactly, and it have an effect on reliability. It measured the difference value between conditional temperature and parts temperature to union type SMD inductor core. As the results of simulation using D.C. current and resistor($R_dc$), it obtained the excellent regular current values at rising temperature of 40[$^{\circ}C$].

• Communications for Statistical Applications and Methods
• /
• v.15 no.6
• /
• pp.825-835
• /
• 2008

Multivariate GARCH(MGARCH) has been useful in financial studies and econometrics for modeling volatilities and correlations between components of multivariate time series. An obvious drawback lies in that the number of parameters increases rapidly with the number of variables involved. This thesis tries to resolve the problem by using dimension reduction technique. We briefly review both factor models for dimension reduction and the MGARCH models including EWMA (Exponentially weighted moving-average model), DVEC(Diagonal VEC model), BEKK and CCC(Constant conditional correlation model). We create meaningful portfolios obtained after reducing dimension through statistical factor models and fundamental factor models and in turn these portfolios are applied to MGARCH. In addition, we compare portfolios by assessing MSE, MAD(Mean absolute deviation) and VaR(Value at Risk). Various financial time series are analyzed for illustration.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.8
• /
• pp.161-173
• /
• 2020

This study examines the nonlinear relationship between financial development and economic growth in Pakistan using the threshold regression model for the period 1980-2017. We also employed quantile regression with 0.25, 0.50, and 0.75 quantiles of conditional distribution. The quantile regression is based on minimizing of sum of squared residuals. The result indicates that economic growth responds positively to financial development when the level of financial development surpasses the threshold value of 0.151. However, when financial development lies below the threshold value (that is, 0.151), its impact on economic growth is negative. Thus, when financial development of Pakistan surpasses the threshold level, it contributes more towards economic growth since greater level of financial development contributes more to boosts economic growth. This finding reveals that economic growth reacts differently to financial development, and the relationship between financial development and economic growth is U-shaped in Pakistan. Among the other variables, physical capital, labor force, and government expenditure exert a positive effect on economic growth. Furthermore, inflation rate and trade openness have an insignificant impact on economic growth. The results of quantile regression also confirm the non-linear relationship between financial development and economic growth in Pakistan. The finding of this study suggests revamping of financial sector policies in Pakistan.

• Communications for Statistical Applications and Methods
• /
• v.30 no.2
• /
• pp.163-178
• /
• 2023

GARCH-X(1, 1) model specifies that conditional variance follows an AR(1) process and includes a past exogenous variable. This study proposes a new class from that model by allowing a more general (non-linear) variance function to follow an AR(1) process. The functions applied to the variance equation include exponential, Tukey's ladder, and Yeo-Johnson transformations. In the framework of normal and student-t distributions for return errors, the empirical analysis focuses on two stock indices data in developed countries (FTSE100 and SP500) over the daily period from January 2000 to December 2020. This study uses 10-minute realized volatility as the exogenous component. The parameters of considered models are estimated using the adaptive random walk metropolis method in the Monte Carlo Markov chain algorithm and implemented in the Matlab program. The 95% highest posterior density intervals show that the three transformations are significant for the GARCHX(1, 1) model. In general, based on the Akaike information criterion, the GARCH-X(1, 1) model that has return errors with student-t distribution and variance transformed by Tukey's ladder function provides the best data fit. In forecasting value-at-risk with the 95% confidence level, the Christoffersen's independence test suggest that non-linear models is the most suitable for modeling return data, especially model with the Tukey's ladder transformation.