• Communications for Statistical Applications and Methods
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• v.27 no.2
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• pp.163-175
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• 2020

We consider a wide class of general weakly-dependent processes, called ψ-weak dependence, which unify almost all weak dependence structures of interest found in statistics under natural conditions on process parameters, such as mixing, association, Bernoulli shifts, and Markovian sequences. For detecting the tail behavior of the weakly dependent processes, change point tests are developed by means of cumulative sum (CUSUM) statistics with the empirical distribution functions of sample extremes. The null limiting distribution is established as a Brownian bridge. Its proof is based on the ψ-weak dependence structure and the existence of the phantom distribution function of stationary weakly-dependent processes. A Monte-Carlo study is conducted to see the performance of sizes and powers of the CUSUM tests in GARCH(1, 1) models; in addition, real data applications are given with log-returns of financial data such as the Korean stock price index.

• Journal of the Korean Physical Society
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• v.73 no.10
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• pp.1431-1436
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• 2018

We study the scaling of the price fluctuation in the Korean housing market. From the numerical analysis, we show that the normalized return distribution of the housing price, P(r), has a fat-tail and is well approximated by a power-law, $P(r){\sim}r^{-({\alpha}+1)}$, with ${\alpha}{\simeq}3$ for the whole data set. However, if we divide the data into groups based on the trading patterns, then the value of ${\alpha}$ for positive tail and negative tail can be different depending on the trading patterns. We also find that the autocorrelation function of the housing price decays much slower than that of the stock exchange markets, which shows a unique feature of the housing market distinguished from the other financial systems.

• The Korean Journal of Applied Statistics
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• v.23 no.4
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• pp.651-668
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• 2010

Various estimators of two risk measures of a specific financial portfolio, Value-at-Risk and Expected Shortfall, are compared for each case of 1-day and 10-day horizons. We use the Korea Composite Stock Price Index data of 20-year period including the year 2008 of the global financial crisis. Indexes of five foreign stock markets are also used for the empirical comparison study. The estimator considering both the heavy tail of loss distribution and the conditional heteroscedasticity of time series is of main concern, while other standard and new estimators are considered too. We investigate which estimator is best for the Korean stock market and which one shows the best overall performance.

• The Korean Journal of Financial Management
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• v.22 no.1
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• pp.119-146
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• 2005

This study applies extreme value theory to get extreme value-VAR for Korean Stock market and showed the usefulness of the approach. Block maxima model and POT model were used as extreme value models and tested which model was more appropriate through back testing. It was shown that the block maxima model was unstable as the variation of the estimate was very large depending on the confidence level and the magnitude of the estimates depended largely on the block size. This shows that block maxima model was not appropriate for Korean Stock market. On the other hand POT model was relatively stable even though extreme value VAR depended on the selection of the critical value. Back test also showed VAR showed a better result than delta VAR above 97.5% confidence level. POT model performs better the higher the confidence level, which suggests that POT model is useful as a risk management tool especially for VAR estimates with a confidence level higher than 99%. This study picks up the right tail and left tail of the return distribution and estimates the EVT-VAR for each, which reflects the asymmetry of the return distribution of the Korean Stock market.

• Transactions of the Korean Society of Mechanical Engineers
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• v.7 no.1
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• pp.36-45
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• 1983

In order to characterize the machine tool feed-drive dynamics, thread cutting experiments are performed with cutting conditions and slide-way lubrication varied. During the experiments, the carriage, tool post and tail stock accelerations in the feed direction are measured, and analyzed by employing the spectral analysis method. It is found that the tool post vibration in the feed direction during thread cutting operation is mainly due to those of the carriage and the workpiece. Other structure-related vibrations show little effects on the tool post vibration. The characteristics of the carriage vibration is shown to be fairly consistent, except the vibration amplitude, regardless the variations in cutting condition and lubrication within the experimental range. The experimental results suggest that the feeddrive system can be modelled as a 2 DOF damped oscillatory system.

• Proceedings of the Korean Society of Machine Tool Engineers Conference
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• 2001.10a
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• pp.19-25
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• 2001

In metal cutting, chatter is an unstable cutting phenomenon which is due to the interaction of the dynamics of the chip removal process and the structural dynamics of machine tool. When chatter occurs, it reduces tool life and results in poor surface roughness and low productivity of the machining process. In this study, the experiments have been conducted to investigate phenomenon of the chatter in CNC lathe without cutting fluid. In the experiments, two accelerometers were attached at the tail stock and tool holder and the signals were caught. In order to observe the effect of chatter on the surface roughness profiles, surface roughness profiles were generated under the ideal condition and the occurrence of the chatter based on the surface simulation model using surface-shaping system. Finally, the result of experiment and simulation have been compared.

• Management Science and Financial Engineering
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• v.2 no.1
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• pp.103-122
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• 1996

This paper presents an easily used graphical procedure for simultaneous estimation of the index, skewness, scale, and location parameters of the stable laws. First, the index $\alpha$ and skewness $\beta$ are estimated through the joint use of a tail length statistic $\widetilde{K_t}$ and a skewness statistic $\widetilde{K_s}$, both of which are functions of order statistics. Next, the function of order statistics needed for estimation of scale $\sigma$ and location $\mu$ are determined from a nomogram indexed on the estimates of $\alpha$ and $\beta$. Some applications and examples are provided.

• Transactions of the Korean Society of Machine Tool Engineers
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• v.12 no.6
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• pp.84-91
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• 2003

In metal cutting operation, it is very important that predict cutting force and work surface. Vibration is an unstable cutting phenomenon which is due to the interaction of the dynamics of the chip removal process and the structural dynamics of machine tool. When vibration on, it reduces tool life, results in poor surface roughness and low productivity of the machining process. In this study, the experiments were conducted in machining center without cutting fluid to investigate the phenomenon of vibration. In the experiments, accelerometers were set up at the tail stock and tool holder and signals were picked up. Surface roughness profiles are generated under the ideal condition and the occurrence of vibration based on the surface shaping simulation model.

• Proceedings of the Korean Society of Machine Tool Engineers Conference
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• 2003.04a
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• pp.184-189
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• 2003

In metal cutting operation, it is very important that predict cutting force and work surface. Vibration is an unstable cutting phenomenon which is due to the interaction of the dynamics of the chip removal process and the structural dynamics of machine tool. when Vibration occurs, it reduces tool life, results in poor surface roughness and low productivity of the machining process. In this study, the experiments were conducted in machining center without cutting fluid to investigated phenomenon of the Vibration. In the experiments, accelerometers were set up at the tail stock and tool holder and the signals were picked up. In this paper, surface roughness profiles will be generated under the ideal condition and the occurrence of the vibration based on the surface shaping simulation model.

• Proceedings of the Korean Society of Machine Tool Engineers Conference
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• 2002.10a
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• pp.174-179
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• 2002

In metal cutting, Chatter is an unstable cutting phenomenon which is due to the interaction of the dynamics of the chip removal process and the structural dynamics of machine tool. when vibration and chatter occurs, it reduces tool life, results in poor surface roughness and low productivity of the machining process. In this study, the experiments were conducted in CNC lathe without cutting fluid to investigated phenomenon of the chatter, In the experiments, accelerometers were set up at the tail stock and tool holder and the signals were picked up. In order to observe the effect of chatter on the surface roughness profiles, in this paper, surface roughness profiles will be generated under the ideal condition and the occurrence of the chatter based on the surface simulation model.