• Communications for Statistical Applications and Methods
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• 제27권2호
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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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• 제73권10호
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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.

• 응용통계연구
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• 제23권4호
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• pp.651-668
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• 2010

금융 포트폴리오의 두 위험측도인 VaR와 ES에 대한 여러 추정방법을 1일 후와 10일 후의 경우로 나누어 각각 비교하였다. 2008년 미국발 세계 금융위기 기간을 포함한 KOSPI 자료와 해외 5개국의 종합주가지수 자료를 이용하여 실증적으로 비교하였다. 손실 분포의 두터운 꼬리와 조건부 이분산성을 동시에 고려하는 방법을 중심으로 여러 방법을 추가적으로 고려하였고, 국내 자료에 어떤 방법이 적절하며 종합적인 성능은 어떤가를 살펴보았다.

• 재무관리연구
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• 제22권1호
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• pp.119-146
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• 2005

본 연구는 극한치 이론을 적용하여 국내 주식시장에 대한 VAR값을 구하고 이의 유용성을 살펴보았다. 극한치모형으로는 블록최대값모형과 POT 모형을 이용하였고 백테스트를 통하여 이들 모형의 적정성을 알아보았다. 극한치모형 중 블록최대값 모형은 신뢰수준의 변화에 따라 VAR 추정치의 변동이 매우 큰 것으로 나타났으며, 블록의 크기를 어떻게 선택하는가에 따라 모수의 추정치가 크게 달라져 VAR값의 안정성이 떨어지는 것으로 나타났다. 이는 국내 주식시장에 대해 VAR 측정시 블록최대값 모형을 사용하는 것은 적절치 않음을 시사하는 것이다. 반면 POT모형은 임계치의 선택에 따라서 VAR 값이 달라지기는 하나 상대적으로 안정적인 모습을 보이며, 또한 백테스트 결과 97.5% 이상의 신뢰수준에서 VAR값이 델타 VAR에 비하여 우수한 성과를 보이는 것으로 나타났다. 특히 POT모형은 신뢰수준이 높아질수록 그 우월성이 높은 것으로 나타나, 주로 99% 이상의 높은 신뢰수준의 VAR값을 이용하는 경우에 위험의 관리수단으로 유용한 모형임을 시사하고 있다. 또한 극한치모형은 수익률의 왼쪽 꼬리와 오른쪽 꼬리를 분리하여 추정하고 이를 VAR의 계산에 이용하기 때문에, 수익률분포가 비대칭적 특징을 보이는 우리나라 주식시장의 VAR 측정시 적절한 방법임을 확인할 수 있었다.

• 대한기계학회논문집
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• 제7권1호
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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.

• 한국공작기계학회:학술대회논문집
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• 한국공작기계학회 2001년도 추계학술대회(한국공작기계학회)
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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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• 제2권1호
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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.

• 한국공작기계학회논문집
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• 제12권6호
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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.

• 한국공작기계학회:학술대회논문집
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• 한국공작기계학회 2003년도 춘계학술대회 논문집
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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.

• 한국공작기계학회:학술대회논문집
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• 한국공작기계학회 2002년도 추계학술대회 논문집
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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.