• 재무관리연구
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• 제24권3호
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• pp.63-89
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• 2007

본 연구는 금융시계열자료의 특징적 속성을 관찰하고자 하는 연구시도의 일환으로, 실제자료 뿐만 아니라 이론자료를 이용하여 장기기억속성의 존재와 장기기억속성의 정도에 영향을 미칠 수 있는 가능한 요인을 수익률 및 변동성차원에서 체계적으로 검증하는 것이 목적이다. 검증결과의 견고함을 위하여, 이론자료 뿐만 아니라 24개국 주식시장의 지수자료, KOSPI 시장지수를 구성하는 430개 개별주식자료를 함께 사용하였다. 관찰된 검증결과를 요약 정리하면 다음과 같다. 첫째, 이론자료와 실제자료를 이용하여 장기기억속성의 존재여부를 체계적으로 검증한 결과에 의하면, 분석자료에 관계없이 수익률차원에서는 장기기억속성의 존재를 확인할 수 있는 긍정적인 증거를 발견하지 못하였으나, 변동성차원에서는 강한 장기기억속성의 증거를 지지하는 증거를 발견할 수 있었다. 둘째, 관찰된 변동성의 장기기억속성 정도에 영향을 미칠 수 있는 가능한 요인으로는, 분석자료에 관계없이, 금융시계열자료에서 일반적으로 관찰되는 변동성 군집효과의 속성이 가능한 것으로 확인되었다.

• East Asian Economic Review
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• 제18권4호
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• pp.367-394
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• 2014

In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious long memory features, besides the Detrended Fluctuations Analysis (DFA), we also used Smith's (2005) modified GPH method. As for fractal dimension calculations, they were conducted via Box-Counting and Variation (p=1) tests. According to the results, while there is no long memory property in log returns of any index, we found evidence for long memory properties in the volatility of the HangSeng, the Shanghai Stock Exchange and the Straits Times Index. However, we could not find any sign of long memory in the volatility of Nikkei225 index using either the DFA or modified GPH test. Fractal dimension analysis also demonstrated that all raw index prices have fractal structure properties except for the Nikkei225 index. These findings showed that the Nikkei225 index has the most efficient market properties among these markets.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2000년도 추계학술발표회 논문집
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• pp.23-26
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• 2000

It is noted that many econometric time series have long-memory properties. A long-memory process, or strongly dependent process, is characterized by hyperbolic decaying autocorrelations and unbounded spectral density at the origin. Since the long-memory property can be observed by data obtained from rather a long period, there is some possibility of parameter change in the process. In this paper, we consider the estimation of change-point when there is a change in the variance of a long-memory process. The estimator is based on some reasonable statistic and the consistency is shown using Taqqu's strong reduction theorem

• 아태비즈니스연구
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• 제11권4호
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• pp.255-269
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• 2020

Purpose - This paper analyzes the market efficiency focusing on the long memory properties of the domestic futures market. By decomposing futures prices into yield and volatility and looking at the long memory properties of the time series, this study aims to understand the futures market pricing and change behavior and risks, specifically and in detail. Design/methodology/approach - This study analyzes KOSPI 200 futures, KOSDAQ 150 futures, 3 and 10-year government bond futures, US dollar futures, yen futures, and euro futures, which are among the most actively traded on the Korea Exchange. To analyze the long memory and market efficiency, we used the Variance Ratio, Rescaled-Range(R/S), Geweke and Porter-Hudak(GPH) tests as semi- parametric methods, and ARFIMA-FIGARCH model as the parametric method. Findings - It was found that all seven futures supported the efficiency market hypothesis because the property of long memory turned out not to exist in their yield curves. On the other hand, in futures volatility, all 7 futures showed long memory properties in the analysis, which means that if new information is generated in the domestic futures market and the market volatility once expanded due to the impact, it does not decrease or shrink for a long period of time, but continues to affect the volatility. Research implications or Originality - The results of this paper suggest that it can be useful information for predicting changes and risks of volatility in the domestic futures market. In particular, it was found that the long memory properties would be further strengthened in the currency futures and bond rate futures markets after the global financial crisis if the regime changes of the domestic financial market are taken into account in the analysis.

• 유통과학연구
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• 제14권1호
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• pp.93-102
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• 2016

Purpose - The purpose of paper is studying the static and dynamic side for long-term memory storage properties, and increase the explanatory power regarding the long-term memory process by looking at the long-term storage attributes, Korea Composite Stock Price Index. The reason for the use of GPH statistic is to derive the modified statistic Korea's stock market, and to research a process of long-term memory. Research design, data, and methodology - Level shifts were subjected to be an empirical analysis by applying the GPH method. It has been modified by taking into account the daily log return of the Korea Composite Stock Price Index a. The Data, used for the stock market to analyze whether deciding the action by the long-term memory process, yield daily stock price index of the Korea Composite Stock Price Index and the rate of return a log. The studies were proceeded with long-term memory and long-term semiparametric method in deriving the long-term memory estimators. Chapter 2 examines the leading research, and Chapter 3 describes the long-term memory processes and estimation methods. GPH statistics induced modifications of statistics and discussed Whittle statistic. Chapter 4 used Korea Composite Stock Price Index to estimate the long-term memory process parameters. Chapter 6 presents the conclusions and implications. Results - If the price of the time series is generated by the abnormal process, it may be located in long-term memory by a time series. However, test results by price fixed GPH method is not followed by long-term memory process or fractional differential process. In the case of the time-series level shift, the present test method for a long-term memory processes has a considerable amount of bias, and there exists a structural change in the stock distribution market. This structural change has implications in level shift. Stratum level shift assays are not considered as shifted strata. They exist distinctly in the stock secondary market as bias, and are presented in the test statistic of non-long-term memory process. It also generates an error as a long-term memory that could lead to false results. Conclusions - Changes in long-term memory characteristics associated with level shift present the following two suggestions. One, if any impact outside is flowed for a long period of time, we can know that the long-term memory processes have characteristic of the average return gradually. When the investor makes an investment, the same reasoning applies to him in the light of the characteristics of the long-term memory. It is suggested that when investors make decisions on investment, it is necessary to consider the characters of the long-term storage in reference with causing investors to increase the uncertainty and potential. The other one is the thing which must be considered variously according to time-series. The research for price-earnings ratio and investment risk should be composed of the long-term memory characters, and it would have more predictability.

• East Asian Economic Review
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• 제20권3호
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• pp.365-390
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• 2016

This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system. Even though the foreign exchange markets in the 1920s seem to be much less organized and developed than in the 2010s, this paper finds that both the long memory volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be upward biased and overstated because of the structural breaks in the exchange markets. Thus this paper applies the Adaptive-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the structural breaks in the exchange markets affect the long memory volatility property significantly in the two periods but the degree of the long memory volatility property in the 1920s is reduced more remarkably than in the 2010s after the structural breaks are accounted for; thus implying that the structural breaks in the foreign exchange markets in the 1920s seem to be more significant.

• Communications for Statistical Applications and Methods
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• 제16권4호
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• pp.639-645
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• 2009

Fractional Brwonian motion(fBm) has properties of behaving tails and exhibiting long memory while remaining Gaussian. In particular, it is well known that interest rates show some long memories and non-Markovian. We present no aribitrage condition for HJM model under the multi-factor fBm reflecting the long range dependence in the interest rate model.

• 한국전기전자재료학회:학술대회논문집
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• 한국전기전자재료학회 2007년도 하계학술대회 논문집 Vol.8
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• pp.156-157
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• 2007

For tens of years many advantages of Phase-Change Random Access Memory(PRAM) were introduced. Although the performance improved gradually, there are some portions which must be improved. So, we studied new constitution of $Ge_1Se_1Te_2$ chalcogenide material to improve phase transition characteristic. Actually, the performance properties have been improved surprisingly. However, crystallization time was as long as ever for amorphization time. We conducted this experiment in order to solve that problem by doping-Sb.

• Earthquakes and Structures
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• 제23권2호
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• pp.207-219
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• 2022

Seismic response control has always been a grave concern with the damage and collapse of many buildings during the past earthquakes. While there are several existing techniques like base isolation, viscous damper, moment-resisting beam-column connections, tuned mass damper, etc., many of these are succumbing to either of large displacement, near-fault, and long-period earthquakes. Keeping this viewpoint, extensive research on the application of smart materials for seismic response control of buildings was attempted during the last decade. Shape Memory Alloy (SMA) with its unique properties of superelasticity and shape memory effect is one of the smart materials used for seismic control of buildings. In this paper, an exhaustive review has been compiled on the seismic control applications of SMA in buildings. Unique properties of SMA are discussed in detail and different phases of SMA along with crystal characteristics are illustrated. Consequently, various seismic control applications of SMA are discussed in terms of performance and compared with prevalent base isolators, bracings, beam-column connections, and tuned mass damper systems.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2007년도 제38회 하계학술대회
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• pp.1329-1330
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• 2007

Phase-change random access memory(PRAM) has many advantages compare with the existing memory. For example, fast programming speed, low programming voltage, high sensing margin, low power consume and long cyclability of read/write. Though it has many advantages, there are some points which must be improved. So, we invented and studied new constitution of $Ge_{1}Se_{1}Te_{2}$ chalcogenide material. Actually, the performance properties have been improved surprisingly. However, crystallization time was as long as ever for amorphization time. In this paper, we studied in order to make set operation time and reset operation voltage reduced. In the present work, by alloying Sb in $Ge_{1}Se_{1}Te_{2}$. we could confirm that improved its set operation time and reset operation voltage. As a result, the method of Sb-alloyed $Ge_{1}Se_{1}Te_{2}$ can be solution to decrease the set operation time and reset operation voltage.