• The Journal of Asian Finance, Economics and Business
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• v.8 no.9
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• pp.143-154
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• 2021

This study aims to explore the dynamic conditional correlation (DCC) between ten Asian stock indexes, the US stock index, and Bitcoin by using the dynamic conditional correlation model. The time span of the daily data is between January 2015 to May 2021, the total observation is 1,116. DCC(1,1)-EGARCH(1,1) with multivariate t and normal distributions for the DCC and EGARCH models, respectively, outperforms other models by the goodness of fit values. Except for Bitcoin, we discovered that the majority of the securities' volatilities have a very high volatility persistence. Furthermore, the negative shocks/news have more impact on the volatilities than positive shocks/news in most of the cases, except the stock index of China and Bitcoin. Most of the correlation pairs exhibit higher correlation during the COVID-19 pandemic compared to the pre-COVID-19, except Hong Kong-The US and Malaysia-Indonesia. Moreover, the correlation between Asian stock indexes during the COVID-19 pandemic is statistically higher than the pre-COVID-19 pandemic. However, there are a few instances where the Hong Kong stock index and a few countries are identical. The result of correlation size shows the connectedness between Asian stock markets, which are well-connected within the region, especially with South Korea, Singapore, and Hong Kong.

• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.4
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• pp.35-52
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• 2013

Markowitz's portfolio selection model is used to construct an optimal portfolio which has minimum variance, while satisfying a minimum required expected return. The model uses estimators based on analysis of historical data to estimate the returns, standard deviations, and correlation coefficients of individual stocks being considered for investment. However, due to the inaccuracies involved in estimations, the true optimality of a portfolio constructed using the model is questionable. To investigate the effect of estimation inaccuracy on actual portfolio performance, we study the changes in a portfolio's realized return and standard deviation as the accuracy of the estimations for each stock's return, standard deviation, and correlation coefficient is increased. Furthermore, we empirically analyze the portfolio's performance by comparing it with the performance of active mutual funds that are being traded in the Korean stock market and the KOSPI benchmark index, in terms of portfolio returns, standard deviations of returns, and Sharpe ratios. Our results suggest that, among the three input parameters, the accuracy of the estimated returns of individual stocks has the largest effect on performance, while the accuracy of the estimates of the standard deviation of each stock's returns and the correlation coefficient between different stocks have smaller effects. In addition, it is shown that even a small increase in the accuracy of the estimated return of individual stocks improves the portfolio's performance substantially, suggesting that Markowitz's model can be more effectively applied in real-life investments with just an incremental effort to increase estimation accuracy.

• Journal of The Korean Society of Agricultural Engineers
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• v.59 no.2
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• pp.69-79
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• 2017

In this study, we developed real-time urban stream discharge forecasting model using short-term rainfall forecasts data simulated by a regional climate model (RCM). The National Centers for Environmental Prediction (NCEP) Climate Forecasting System (CFS) data was used as a boundary condition for the RCM, namely the Global/Regional Integrated Model System(GRIMs)-Regional Model Program (RMP). In addition, we make ensemble (ESB) forecast with different lead time from 1-day to 3-day and its accuracy was validated through temporal correlation coefficient (TCC). The simulated rainfall is compared to observed data, which are automatic weather stations (AWS) data and Tropical Rainfall Measuring Mission (TRMM) Multisatellite Precipitation Analysis (TMPA 3B43; 3 hourly rainfall with $0.25^{\circ}{\times}0.25^{\circ}$ resolution) data over midland of Korea in July 26-29, 2011. Moreover, we evaluated urban rainfall-runoff relationship using Storm Water Management Model (SWMM). Several statistical measures (e.g., percent error of peak, precent error of volume, and time of peak) are used to validate the rainfall-runoff model's performance. The correlation coefficient (CC) and the Nash-Sutcliffe efficiency (NSE) are evaluated. The result shows that the high correlation was lead time (LT) 33-hour, LT 27-hour, and ESB forecasts, and the NSE shows positive values in LT 33-hour, and ESB forecasts. Through this study, it can be expected to utilizing the real-time urban flood alert using short-term weather forecast.

• Journal of the Korea Society for Simulation
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• v.23 no.3
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• pp.11-17
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• 2014

The central composite design (CCD) is often used to estimate the second-order linear model. This paper uses a correlation induction strategy of common random numbers (CRN) in simulation experiment and utilizes the induced correlations to obtain better estimates for the second-order linear model. This strategy assigns the CRN to all design points in the CCD. An appropriate selection of the axial points in CCD makes the weighted least squares (WLS) estimator be equivalent to ordinary least squares (OLS) estimator in estimating the linear model parameters of CCD. We analytically investigate the efficiency of this strategy in estimation of model parameters. Under certain conditions, this correlation induction strategy yields better results than independent random number strategy in estimating model parameters except intercept. The simulation experiment on a selected model supports such results. We expect a suggested random number assignment is useful in application of CCD in simulation experiments.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.19 no.5
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• pp.467-475
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• 2007

This study compared the sea surface wind pattern between model results from KMA operational model (RDAPS) and observational results from QuikSCAT in the 2005-2006 year. The mean spatial distributions of sea surface wind show the prominent seasonal patterns of summer and winter season adjacent to Korean Peninsular. The statistical analysis also shows well seasonal variation of sea surface wind patterns between model and observation results. The BIAS value represents less than -0.5 m/s and -1 m/s in summer and winter seasons, respectively. The spatially averaged correlation coefficient shows larger than 0.7 and 0.8 in summer and winter seasons, respectively. The correlation coefficient of winter season shows higher value than that of summer season in the comparison between model and observation. This results show that the RDAPS model simulate well strong sea surface wind in winter season rather than weak sea surface wind in summer season.

• Journal of the Society of Naval Architects of Korea
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• v.53 no.3
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• pp.171-179
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• 2016

In order to study correlation of the propeller cavitation performance between a full-scale ship and a model ship for the MR Tanker, the full-scale ship and the model tests were conducted. The full-scale ship test is composed of cavitation observation, pressure fluctuation and noise measurements, which are conducted using 2 observation windows and 8 pressure transducers installed inside the full-scale ship above the propeller. The model test in the Large Cavitation Tunnel(LCT) was conducted at the same conditions as that of the full-scale ship and its results are compared with those of the full-scale ship. Through the model-ship correlation analysis, it is considered that the experimental technique for the MR Tanker class ship was verified in LCT.

• Computers and Concrete
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• v.17 no.5
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• pp.613-628
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• 2016

In this study, the influence of coarse aggregate size and type on chloride penetration of concrete was investigated, and the grey correlation analysis was applied to find the key influencing factor. Furthermore, the proposed 6-10-1 artificial neural network (ANN) model was constructed, and performed under the MATLAB program. Training, testing and validation of the model stages were performed using 81 experiment data sets. The results show that the aggregate type has less effect on the concrete permeability, compared with the size effect. For concrete with a lower w/b, the coarse aggregate with a larger particle size should be chose, however, for concrete with a higher w/c, the aggregate with a grading of 5-20 mm is preferred, too large or too small aggregates are adverse to concrete chloride diffusivity. A new idea for the optimum selection of aggregate to prepare concrete with a low penetration is provided. Moreover, the ANN model predicted values are compared with actual test results, and the average relative error of prediction is found to be 5.62%. ANN procedure provides guidelines to select appropriate coarse aggregate for required chloride penetration of concrete and will reduce number of trial and error, save cost and time.

• Convergence Security Journal
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• v.19 no.4
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• pp.165-171
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• 2019

The domestic information security market is booming, For the development of the information security industry. I wanted to suggest a strategy for finding and developing a good business model. So the main products were classified by similar industries. And The sector was selected as the dependent variable. Expert interviews were conducted and classified according to technical maturity. Independent variables were sales, number of employees, and performance. Average analysis result, sales amounted to 8.798 billion won, 13.51 years in industry, and 64.3 employees. As a result of SPSS statistical analysis, the correlation between industry type and sales according to technical maturity (r = -.729) was within 5% of significance level. The regression results were significant. (p= .047<0.05) Therefore, industry classification and sales are related to technological maturity.

• Journal of Institute of Control, Robotics and Systems
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• v.20 no.7
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• pp.774-781
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• 2014

This paper presents a fingerprint database construction method for WLAN RSSI (Received Signal Strength Indicator)-based indoor positioning. When RSSI is used for indoor positioning, the fingerprint method can achieve more accurate positioning than trilateration and centroid methods. However, a FD (Fingerprint Database) must be constructed before positioning. This step is a very laborious process. To reduce the drawbacks of the fingerprint method, a radio propagation model-based FD construction method is presented. In this method, an FD can be constructed by a simulator. Experimental results show that the constructed FD-based positioning has a 3.17m (CEP) error. In this paper, a spatial correlation method is presented to estimate the NLOS(Non-Line of Sight) error included in the FD constructed by a simulator. As a result, the NLOS error of the FD is reduced and the performance of the error compensated FD-based positioning is improved. The experimental results show that the enhanced FD-based positioning has a 2.58m (CEP) error that is a reasonable performance for indoor LBS (Location Based Service).

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.507-517
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• 2020

The present research intends to examine the relationship between the Big Five personality traits and leadership initiations among the marketing executives in Delhi NCR (INDIA), and seeks to uncover the predictors of leadership initiations within personality traits. The data are collected through online survey method using different social media platforms. A sample of 233 (male =136 and female =97) marketing executive's responses were included. The data collected with the help of self-reported Big Five model inventory and leadership initiation test. The collected data were analyzed statistically by using descriptive statistics, correlation. and stepwise multiple regression analysis. The results revealed that the age of respondents inversely correlated with leadership initiation. Neuroticism revealed significant inverse correlation with leadership initiation, whereas significant positive correlations were found between extraversion, conscientiousness, agreeableness, and leadership initiations, while openness to experience revealed insignificant positive correlation with leadership initiation. Extraversion and conscientiousness appeared as the most dominant personality traits among marketing executives, irrespective of gender, that positively influenced leadership initiation and appeared as the predictor of leadership initiation. In male executives extraversion and age emerged as the predictors of leadership behavior, while in female executives extraversion and openness to experience personality traits appeared as the predictors of leadership initiation.