• Water for future
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• v.11 no.1
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• pp.59-68
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• 1978

According to the simplified Gringorten's method of extreme values from data samples, daily maximum precipitation and return period at several stations in the central part of Korea were estimated. And also, it was known that the distribution of daily maximum precipitation of Sogcho, Chuncheon, Kangreung, Seoul, Inchon, Suwon, Seosan, Cheongju and Daejeon area belong to an exponential type of distribution.

• Water for future
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• v.7 no.1
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• pp.65-70
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• 1974

According to the simplified Gringorten's method of extreme values from data samples, daily maximum precipitation and return period in Seoul was estimated. And also, it was known that the distribution of daily maximum precipitation of Seoul area belong th an exponential type of distribution.

• Atmosphere
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• v.33 no.1
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• pp.1-20
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• 2023

Holding the longest observation data from April 1904, Busan is one of the essential points to understand the climate variability of the Korean Peninsula without missing data since implementing the modern weather observation of the South Korea. Busan is featured by coastal areas and affected by various climate factors and fluctuations. This study aims to investigate climate variability and changes in climatic variables, extremes, and several weather indexes. The statistically significant change points in daily mean rainfall intensity and temperature were found in 1964 and 1965. Based on the change point detection, 117 years were divided into two periods for daily mean rainfall intensity and temperature, respectively. In the long-term temperature analysis of Busan, the increasing trend of the daily maximum temperature during the period of 1965~2021 was larger than the daily mean temperature and the daily minimum temperature. Applying Ensemble Empirical Mode Decomposition, daily maximum temperature is largely affected by the decadal variability compared to the daily mean and minimum temperature. In addition, the trend of daily precipitation intensity from 1964~2021 shows a value of about 0.50 mm day^-1, suggesting that the rainfall intensity has increased compared to the preceding period. The results in extremes analysis demonstrate that return values of both extreme temperatures and precipitation show higher values in the latter than in the former period, indicating that the intensity of the current extreme phenomenon increases. For Wet-Bulb Globe Temperature (effective humidity), increasing (decreasing) trend is significant in Busan with the second (third)-largest change among four stations.

• Journal of the Korean Data and Information Science Society
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• v.28 no.6
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• pp.1415-1425
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• 2017

Typhoons are accompanied by strong wind and heavy rains. It causes casualties and property damage on the Korean peninsula every year. The effect of typhoon to daily precipitation should be quantified to prevent the damage of typhoon. Daily precipitation, maximum wind speed and, mean wind speed data was collected from 60 weather stations between 1976 and 2016. The parameters of the generalized extreme value distribution were estimated through the maximum likelihood estimation and the L-moment estimation. The impact of a typhoon can be obtained through a comparison of return levels between the whole data and typhoon excluded data. We conclude that the eastern and southern coastline are exposed to the risk of heavy rainfall which is caused by typhoon.

• The Korean Journal of Applied Statistics
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• v.27 no.6
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• pp.947-958
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• 2014

Understanding extreme precipitation events is very important for flood planning purposes. Especially, the r-year return level is a common measure of extreme events. In this paper, we present a spatial analysis of precipitation return level using hierarchical Bayesian modeling. For intensity, we model annual maximum daily precipitations and daily precipitation above a high threshold at 62 stations in Korea with generalized extreme value(GEV) and generalized Pareto distribution(GPD), respectively. The spatial dependence among return levels is incorporated to the model through a latent Gaussian process of the GEV and GPD model parameters. We apply the proposed model to precipitation data collected at 62 stations in Korea from 1973 to 2011.

• The Journal of Asian Finance, Economics and Business
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• v.5 no.1
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• pp.11-16
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• 2018

This research examines the alternative ways of estimating the coefficient of non-diversifiable risk, namely beta coefficient, in Capital Asset Pricing Model (CAPM) introduced by Sharpe (1964) that is an essential element of assessing the value of diverse assets. The non-parametric methods used in this research are the robust Least Trimmed Square (LTS) and Maximum likelihood type of M-estimator (MM-estimator). The Jackknife, the resampling technique, is also employed to validate the results. According to finance literature and common practices, these coecients have often been estimated using Ordinary Least Square (LS) regression method and monthly return data set. The empirical results of this research pointed out that the robust Least Trimmed Square (LTS) and Maximum likelihood type of M-estimator (MM-estimator) performed much better than Ordinary Least Square (LS) in terms of eciency for large-cap stocks trading actively in the United States markets. Interestingly, the empirical results also showed that daily return data would give more accurate estimation than monthly return data in both Ordinary Least Square (LS) and robust Least Trimmed Square (LTS) and Maximum likelihood type of M-estimator (MM-estimator) regressions.

• Asia-Pacific Journal of Business
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• v.14 no.1
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• pp.113-129
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• 2023

Purpose - The purpose of this study is to examine whether trading volume amplifies the extent to which lottery-type stocks are overpriced, and whether economic sentiment index explains time-variation in the magnitude of the volume amplification effect. Design/methodology/approach - We examine monthly returns on 5x5 monthly bivariate portfolios formed by lottery characteristics (measured by maximum daily return) and trading volume. In addition, we perform time-series regression tests to examine how the volume amplification effect changes in high and low economic sentiment periods, after controlling for Fama-French three factors. Findings - Our bivariate portfolio analysis shows that the overpricing of lottery-type stocks are mostly pronounced among high trading volume stocks. In contrast, for low trading volume stocks, overpricing of lottery-type stocks appears to vanish. Furthermore, the amplification effect of trading volume on overpricing of lottery-type stock is concentrated in high economic sentiment periods. Research implications or Originality - This study is the first attempt to examine whether trading volume drives lottery-type stocks' overpricing in the Korean stock market. Furthermore, our analysis unveils the time-varying nature of volume amplification effect. The results suggest that trading volume might play a important hidden role in asset pricing, opening a new line of researches in the future.

• The Journal of Asian Finance, Economics and Business
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• v.5 no.3
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• pp.19-29
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• 2018

This research examined the alternatives of Jensen's alpha (α) estimation models in the Capital Asset Pricing Model, discussed by Treynor (1961), Sharpe (1964), and Lintner (1965), using the robust maximum likelihood type m-estimator (MM estimator) and Bayes estimator with conjugate prior. According to finance literature and practices, alpha has often been estimated using ordinary least square (OLS) regression method and monthly return data set. A sample of 50 securities is randomly selected from the list of the S&P 500 index. Their daily and monthly returns were collected over a period of the last five years. This research showed that the robust MM estimator performed well better than the OLS and Bayes estimators in terms of efficiency. The Bayes estimator did not perform better than the OLS estimator as expected. Interestingly, we also found that daily return data set would give more accurate alpha estimation than monthly return data set in all three MM, OLS, and Bayes estimators. We also proposed an alternative market efficiency test with the hypothesis testing Ho: α = 0 and was able to prove the S&P 500 index is efficient, but not perfect. More important, those findings above are checked with and validated by Jackknife resampling results.

• Journal of Korea Water Resources Association
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• v.54 no.10
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• pp.747-757
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• 2021

Quantification of extreme rainfall is very important in establishing a flood protection plan, and a general measure of extreme rainfall is expressed as an T-year return level. In this study, a method was proposed for quantifying spatial distribution and uncertainty of daily rainfall depths with various return periods using a hierarchical Bayesian model combined with climate and geographical information, and was applied to the Seoul-Incheon-Gyeonggi region. The annual maximum daily rainfall depth of six automated synoptic observing system weather stations of the Korea Meteorological Administration in the study area was fitted to the generalized extreme value distribution. The applicability and reliability of the proposed method were investigated by comparing daily rainfall quantiles for various return levels derived from the at-site frequency analysis and the regional frequency analysis based on the index flood method. The uncertainty of the regional frequency analysis based on the index flood method was found to be the greatest at all stations and all return levels, and it was confirmed that the reliability of the regional frequency analysis based on the hierarchical Bayesian model was the highest. The proposed method can be used to generate the rainfall quantile maps for various return levels in the Seoul-Incheon-Gyeonggi region and other regions with similar spatial sizes.

• Journal of Korean Society on Water Environment
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• v.22 no.5
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• pp.905-912
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• 2006

In this paper, simulation methods of the system dynamics model developed by Das et al. (1997) for activated-sludge wastewater treatment plants are illustrated in an attempt to determine the operating rules and the policies related to capacity expansion of an activated-sludge wastewater treatment plant. For existing conditions, the analyses were performed by varying activated-sludge return rate to observe changes in effluent water quality and treatment efficiency. The effluent water quality is also analyzed for various average daily inflow conditions and activated-sludge return rates. As a result, without expanding the aeration tank, maximum average daily inflow that can satisfy the effluent water quality standard of BOD $0.02kg/m^3$ was determined as $2,840m^3/hr$, subject to 100% of activated-sludge return rate while other factors remain constant. When the activated-sludge return rate is less than 100%, expansion of the aeration tank is necessary and minimum sizes of the aeration tank to satisfy the effluent water quality standard were determined for various activated-sludge return rates. In addition, the total operating and maintenance as well as unit treatment cost regression equations for activated-sludge wastewater treatment plants are suggested by using the cost data that are obtained from Water and Wastewater Division, Ministry of Environment. The regression analyses showed that the economies of scale phenomena exist in the operating and maintenance costs of activated-sludge wastewater treatment plants.