• Journal of the Korean Data and Information Science Society
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• v.25 no.3
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• pp.513-522
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• 2014

Using the assumption that the price of a stock follows a geometric Brownian motion with constant volatility, Black and Scholes (BS) derived a formula that gives the price of a European call option on the stock as a function of the stock price, the strike price, the time to maturity, the risk-free interest rate, the dividend rate paid by the stock, and the volatility of the stock's return. However, implied volatilities of BS method tend to depend on the stock prices and the time to maturity in practice. To address this shortcoming, we estimate the implied volatility function as a function of the strike priceand the time to maturity for data consisting of the daily prices for KOSPI200 call options from January 2007 to May 2009 using support vector regression (SVR), the multiple additive regression trees (MART) algorithm, and ordinary least squaress (OLS) regression. In conclusion, use of MART or SVR in the BS pricing model reduced both RMSE and MAE, compared to the OLS-based BS pricing model.

• Journal of Korean Academy of Nursing
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• v.53 no.4
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• pp.426-438
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• 2023

Purpose: Walking practice is a representative indicator of the level of physical activity of local residents. Although the world health organization addressed reduction in prevalence of insufficient physical activity as a global target, the rate of walking practice in Korea has not improved and there are large regional disparities. Therefore, this study aimed to explore the spatial variations of walking practice and its associated factors in Korea. Methods: A secondary analysis was conducted using Community Health Outcome and Health Determinants Database 1.3 from Korea Centers for Disease Control and Prevention. A total of 229 districts was included in the analysis. We compared the ordinary least squares (OLS) and the geographically weighted regression (GWR) to explore the associated factors of walking practice. MGWR 2.2.1 software was used to explore the spatial distribution of walking practice and modeling the GWR. Results: Walking practice had spatial variations across the country. The results showed that the GWR model had better accommodation of spatial autocorrelation than the OLS model. The GWR results indicated that different predictors of walking practice across regions of Korea. Conclusion: The findings of this study may provide insight to nursing researchers, health professionals, and policy makers in planning health programs to promote walking practices in their respective communities.

• The Journal of shipping and logistics
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• v.35 no.1
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• pp.21-50
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• 2019

The aim of this study is to analyse a characteristic analysis of coastal passenger vessels' voyage scheduling using the Panel Regression Analysis. The GLS and Fixed Effect Analysis show that the number of canceled flights and passenger transport performance have a positive impact on the voyage scheduling, and that the freight transport performance and freight income vary from model to model. Also, through the LSDV and OLS analysis, the trend of cluster formation by regional office was confirmed. This indicates that there are frequent changes in passenger ship companies and ships, and in-depth plans are needed in various respects rather than the expansion of unconditional ships. Subsequent studies need to generate more detailed and practical results by further analysis of detailed factors, dividing them by route and vessel type.

• Korean System Dynamics Review
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• v.8 no.2
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• pp.25-49
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• 2007

An important assumption of the classical linear regression model is that the disturbances appearing in the population regression function are homoskedastic; that is, they all have the same variance. If we persist in using the usual testing procedures despite heteroskedasticity, what ever conclusions we draw or inferences we make be very misleading. The contribution of this paper will be to the concrete procedure of the proper estimation when the heteroskedasticity does exist in the data, because the quality of dependent variable predictions, i.e., the estimated variance of the dependent variable, can be improved by giving consideration to the issues of regional homogeneity and/or heteroskedasticity across the research area. With respect to estimation, specific attention should be paid to the selection of the appropriate strategy in terms of the auxiliary regression model. The paper shows that by testing for heteroskedasticity, and by using robust methods in the presence of with and without heteroskedasticity, more efficient statistical inferences are provided.

• Korean Journal of Ecology and Environment
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• v.52 no.2
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• pp.94-104
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• 2019

In this study, we investigated the spatial variation in land use and topographic effects on water quality at the Geum river watershed in South Korea, using the ordinary least squares(OLS) and geographically weighted regression (GWR) models. Understanding the complex interactions between land use, slope, elevation, and water quality is essential for water pollution control and watershed management. We monitored four water quality indicators -total phosphorus, total nitrogen, biochemical oxygen demand, and dissolved oxygen levels - across three land use types (urban, agricultural, and forested) and two topographic features (elevation and mean slope). Results from GWR modeling revealed that land use and topography did not affect water quality consistently through space, but instead exhibited substantial spatial non-stationarity. The GWR model performed better than the OLS model as it produced a higher adjusted $R^2$ value. Spatial variation in interactions among variables could be visualized by mapping $R^2$ values from the GWR model at fine spatial resolution. Using the GWR model, we were able to identify local pollution sources, determine habitat status, and recommend appropriate land-use planning policies for watershed management.

• Korea Trade Review
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• v.47 no.2
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• pp.69-88
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• 2022

This paper aims to predict Busan's regional product and employment using the logistic regression models and machine learning models. The following are the main findings of the empirical analysis. First, the OLS regression model shows that the main industries such as electricity and electronics, machine and transport, and finance and insurance affect the Busan's income positively. Second, the binomial logistic regression models show that the Busan's strategic industries such as the future transport machinery, life-care, and smart marine industries contribute on the Busan's income in large order. Third, the multinomial logistic regression models show that the Korea's main industries such as the precise machinery, transport equipment, and machinery influence the Busan's economy positively. And Korea's exports and the depreciation can affect Busan's economy more positively at the higher employment level. Fourth, the voting ensemble model show the higher predictive power than artificial neural network model and support vector machine models. Furthermore, the gradient boosting model and the random forest show the higher predictive power than the voting model in large order.

• Journal of the Korean Statistical Society
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• v.8 no.2
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• pp.109-116
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• 1979

두 개의 변수의 대체효과(substitution effect)를 연구하기 위하여 수요 또는 공급의 모형을 만들었을 경우 이에 관련된 변수들의 이름이 중요시 된다. 실제 관측 자료를 사용하였을 경우 흔히 일어나는 다공선성(multicollinearity) 문제를 다루기 위한 대안으로써 선형회귀선을 예로 들어 능형회귀기법(ridge regression technique)과 요인분석기법(factor analytic technique)을 소개하였으며 이에서 얻어지는 계수(coefficient)를 OLS 추정치로 설명하기 위하여 원래의 자료를 변환하였다. 실지 수요와 공급의 모형이 비선형일 경우 일반적으로 능형회귀나 요인분석을 쓰지 못한다는 점을 감안, 이러한 방법을 자료의 변환방법으로 설명함으로써 비선형모형에서도 다공선성문제를 위하여 능형회귀분석법이나 요인분석기법을 사용할 수 있도록 하였다.

• Journal of Korean Society for Geospatial Information Science
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• v.23 no.3
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• pp.77-84
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• 2015

The key objective of this research is to review the effectiveness of spatial regression to identify the influencing factors of spatial distribution patterns of floating population. To this end, global and local spatial autocorrelation test were performed using seoul floating population survey(2014) data. The result of Moran's I and Getis-Ord $Gi^*$ as used in the analysis derived spatial heterogeneity and spatial similarities of floating population patterns in a statistically significant range. Accordingly, Geographically Weighted Regression was applied to identify the relationship between land use attributes and population floating. Urbanization area, green tract of land of micro land cover data were aggregated in to $400m{\times}400m$ grid boundary of Seoul. Additionally public transportation variables such as intersection density transit accessibility, road density and pedestrian passage density were adopted as transit environmental factors. As a result, the GWR model derived more improved results than Ordinary Least Square(OLS) regression model. Furthermore, the spatial variation of applied local effect of independent variables for the floating population distributions.

• Journal of Korea Port Economic Association
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• v.35 no.1
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• pp.57-76
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• 2019

This study deals with the determinants of employment productivity of transportation labor, who are the main agents of the transportation industry that has made significant contributions to our country's industrial development. The study selected the determinants of employment productivity using the Korea Labor and Income Panel Study data, and analyzed the effects of various factors using panel logistic regression, panel OLS model, and panel robust regression. The results were as follows. First, a more positive effect was shown when employees held a regular job, had a "high level of education", "joining the labor union" and "experiencing vocational training". Second, in the case of job security, having a "high level of education" and "joining the labor union" showed a more positive effect; further, job security was higher for employees who worked in a "big company" or were "married". Third, in the case of higher income productivity, higher values of "age", "academic ability" and "company size" had a more positive effect, whereas larger values of "education" and "health condition except job training" had a negative one. Fourth, in the case of job satisfaction, "female", "joining the labor union" and having a higher "income" or "job security" led to higher satisfaction and a better "health condition compared to an average person". Further, a higher "overall life satisfaction" and "economic level" led to lower job satisfaction. The analysis of the determinants of employment productivity of transportation business and seeking for improvement plan is expected to improve the employment productivity in the transportation business.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.6
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• pp.379-385
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• 2020

The effect of research and development (R&D) expenditure on firm output is an interesting topic, but hardly explored in developing countries due to the unavailability of data. This study investigates this topic in the context of Vietnam by utilizing a novel dataset of 343 firms listed on the Vietnam Stock Exchange in the 2010-2018 period. The effect of R&D expenditure is examined under the production function framework. In order to obtain the robustness of the quantitative results, we estimate the production function with two coherent techniques including the OLS and 2-SLS. An instrumental variable regression technique is adopted to avoid the endogeneity problem between R&D expenditure and other variables. In our empirical analysis, we find that R&D expenditure has a positive and significant impact on output growth. The finding is robust in both OLS and 2-SLS frameworks. Besides, the output elasticity to R&D expenditure of our result is much higher than the estimated elasticity of other countries. The results imply that a 1% increase in R&D expenditure in Vietnam will help to expand the output more than a 1% increase in R&D investment in other countries. The findings from our paper provide important implications for firm managers, investors, and policymakers in Vietnam.