• Journal of Korean Society of Transportation
• /
• v.25 no.5
• /
• pp.209-231
• /
• 2007

This paper suggested an approach to characterize travel choice behaviors using the implicit price instead of the indirect utility. The choice criterion to compare the implicit prices of available trip options was developed from the utility maximization problem of a trip maker which is supposed to choose the best option from the available ones differentiated by only by the quantitative attributes such as travel cost and time but also by qualitative attributes such as comfort and safety. The utility maximization problem is constructed under household production theory, and is incorporated with a special kind of joint homogeneous production functions. The implicit price of a certain trip option is the sum of the monetary price and the multiple of travel time and the value-of-travel-time, and the value-of-travel-time refers to the portion of wage, which can be assignable to the trip-making activity. This choice criterion is statistically identifiable, and behaviorally plausible. Moreover, this criterion has the expression simpler than the indirect utility, and therefore could be an effective target of the statistical estimation for travel choice behaviors.

• KDI Journal of Economic Policy
• /
• v.35 no.2
• /
• pp.107-131
• /
• 2013

In this paper, we test and estimate the stochastic non-fundamental trend in Korean stock market. For this, following Kim (2011), we exploit that the long-run equilibrium stock price may be decomposed into fundamental and stochastic non-fundamental trends (i.e., the sum of dividend innovations and a part that are orthogonal with the dividend innovations) by using the Beveridge-Nelson decomposition and projections. In this VAR construction, there is an error correction mechanism through which stock prices converge to their long-run equilibrium, which also contain the stated stochastic non-fundamental trend as well as fundamental trend. The estimation and test results using yearly data from the Korea (1976-2012) indicated that fluctuations in stock prices during that period can be explained mainly not by the stochastic non-fundamental trend but by the dividend trend. However, during some periods like after Seoul Olympic Games, we may observe the non-fundamental trend affected to the stock price variation.

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

• International Area Studies Review
• /
• v.13 no.2
• /
• pp.66-88
• /
• 2009

This paper studies optimal discretionary monetary policy in the presence of uncertainty in the housing sector. In particular, we allow two possible regimes regarding the evolution of housing price inflation and the effects of housing price inflation on the aggregate demand. Estimation results with the US data confirm the presence of two distinctive regimes, one 'normal' and the other more akin to the housing price 'bubble' state. The optimal policy is 'asymmetric' in that the optimal responses in the 'normal' regime require the central bank to lean against the wind to inflationary pressure from CPI and housing inflation, while the central bank is recommended to accommodate it in the other regime.

• Environmental and Resource Economics Review
• /
• v.30 no.4
• /
• pp.535-555
• /
• 2021

This study empirically analyzes the effects of international oil prices on domestic stock market volatility. The data used for the analysis are 10-minute high-frequency data of the KOSPI index and WTI futures price from January 2, 2015, to July 30, 2021. For using the high-frequency data, a heterogeneous autoregression (HAR) model is employed. The analysis model utilizes the advantages of high frequency data to observe the impact of international oil prices through realized volatility, realized skewness, and kurtosis as well as oil price return. In the estimation, the Box-Cox transformation is applied in consideration of the distribution of realized volatility with high skewness. As a result, it finds that the daily return fluctuation of the WTI price has a statistically significant positive (+) effect on the volatility of the KOSPI return. However, the volatility, skewness, and kurtosis of the WTI return do not appear to affect the volatility of the KOSPI return. This result is believed to be because the volatility of the KOSPI return reflects the daily change in the WTI return, but does not reflect the intraday trading behavior of investors.

• Korean Journal of Construction Engineering and Management
• /
• v.22 no.3
• /
• pp.21-30
• /
• 2021

This study proposes a 5-month rebar price prediction method using the recursive prediction method of deep learning. This approach predicts a long-term point in time by repeating the process of predicting all the characteristics of the input data and adding them to the original data and predicting the next point in time. The predicted average accuracy of the rebar prices for one to five months is approximately 97.24% in the manner presented in this study. Through the proposed method, it is expected that more accurate cost planning will be possible than the existing method by supplementing the systematicity of the price estimation method through human experience and judgment. In addition, it is expected that the method presented in this study can be utilized in studies that predict long-term prices using time series data including building materials other than rebar.

• ETRI Journal
• /
• v.8 no.2
• /
• pp.167-177
• /
• 1986

국설계가 수행된 후 이를 바탕으로 product ordering 을 하기 위해 물자 설계가 수행된다. TDX-1 시스팀의 물자 설계를 위한 TDX-1 dimensioning system 에서 수행되는 내용은 H/W device traffic dimensioning, cable dimensioning, parts calculation, system price estimation, power consumption calculation, spare parts calculation, system optimization 으로서 이들에 대한 구체적인 수행 방법과 절차를 제시하였다. 효율적인 물자산출을 위해 전산 패키지인 "DIMEX"를 개발하였다. DIMEX의 source program 은 C-language로 되어 있으며 UNIX operating system에서 수행된다. DBMS는 troll을 사용하고 있다. Memory size는 troll을 제외하고 약 10,000 block 정도이다. 현재에도 DIMEX 에 대한 기능 보완 및 추가가 VAX750(System5)에서 계속 진행 중에 있다.

• Journal of the Korean Data and Information Science Society
• /
• v.18 no.2
• /
• pp.289-300
• /
• 2007

The stock return is changed by factors of inside and outside or is changed by factor of market system. But most studies have not considered the changes of stock return distribution when estimate the VaR. Such study may lead us to wrong conclusion. In this paper we calculate the VaR of price-to-earnings ratios by the distribution that have considered the change point and used transformation to satisfy normal distribution.

• Communications for Statistical Applications and Methods
• /
• v.7 no.1
• /
• pp.257-268
• /
• 2000

As one of indirect ways to get an optimal answer for sensitive questions both lower and upper values are sometimes asked and collected. In this paper a statistical method is proposed to analyze this kind of data using graphics. This method could define each sample median and estimate an optimal value between lower and upper bounds. In particular we find that this method has similar explanations of an equilibrium price with demand and supply functions in Economics.

• Spatial Information Research
• /
• v.16 no.4
• /
• pp.489-497
• /
• 2008

Currently, GIS has been widely used in the hedonic analyses of urban apartment housing markets in Korea. In those analyses, the apartment complexes are typically represented as the points or the polygons on the GIS maps and the location variables of the analyses are measured based on the points or the polygons. In this study, the relative performance of the point based approach and the polygon based approach in a GIS based hedonic analysis was compared using the apartment housing market data from the north eastern part of the city of Seoul and Davidson and MacKinnon Test. The results from this study indicate two things. First, two approaches can produce substantially different results in a hedonic price model estimation. Second, the polygon based approach produces a hedonic price model which explains the price variations better than the point based approach. These findings suggest that Korean researchers who are interested in improving quality of hedonic price model estimations and use GIS to measure the location variables for hedonic price models should consider using the polygon based approach with the point based approach. This is because the polygon based approach can produce the location variables with the shortest straight line distances and can explain the housing price variations well.