• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.93-104
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• 2022

In forecasting realized volatility of the major US stock price indexes (S&P 500, Russell 2000, DJIA, Nasdaq 100), internet search volume reflecting investor's interests and implied volatility are used to improve forecast via a deep learning method of the LSTM. The LSTM method combined with search volume index produces better forecasts than existing standard methods of the vector autoregressive (VAR) and the vector error correction (VEC) models. It also beats the recently proposed vector error correction heterogeneous autoregressive (VECHAR) model which takes advantage of the cointegration relation between realized volatility and implied volatility.

• Journal of the Korean Statistical Society
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• v.34 no.4
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• pp.345-366
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• 2005

This paper considers the cointegrating vector estimator in the error correction model with stationary covariates, which combines the stationary vector autoregressive model and the nonstationary error correction model. The cointegrating vector estimator is shown to follow the locally asymptotically mixed normal distribution. The variance of the estimator depends on the co­variate effect of stationary regressors, and the asymptotic efficiency improves as the magnitude of the covariate effect increases. An economic application of the money demand equation is provided.

• International journal of advanced smart convergence
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• v.12 no.4
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• pp.171-176
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• 2023

This study is about a speech recognition error correction system designed to detect and correct speech recognition errors before natural language processing to increase the success rate of intent analysis in natural language processing with optimal efficiency in various service domains. An encoder is constructed to embedded the correct speech token and one or more error speech tokens corresponding to the correct speech token so that they are all located in a dense vector space for each correct token with similar vector values. One or more utterance tokens within a preset Manhattan distance based on the correct utterance token in the dense vector space for each embedded correct utterance token are detected through an error detector, and the correct answer closest to the detected error utterance token is based on the Manhattan distance. Errors are corrected by extracting the utterance token as the correct answer.

• Journal of Korea Multimedia Society
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• v.25 no.3
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• pp.493-501
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• 2022

This paper is a study on context-sensitive spelling error correction and uses the Korean WordNet (KorLex)[1] that defines the relationship between words as a graph to improve the performance of the correction[2] based on the vector information of the word embedded in the correction technique. The Korean WordNet replaced WordNet[3] developed at Princeton University in the United States and was additionally constructed for Korean. In order to learn a semantic network in graph form or to use it for learned vector information, it is necessary to transform it into a vector form by embedding learning. For transformation, we list the nodes (limited number) in a line format like a sentence in a graph in the form of a network before the training input. One of the learning techniques that use this strategy is Deepwalk[4]. DeepWalk is used to learn graphs between words in the Korean WordNet. The graph embedding information is used in concatenation with the word vector information of the learned language model for correction, and the final correction word is determined by the cosine distance value between the vectors. In this paper, In order to test whether the information of graph embedding affects the improvement of the performance of context- sensitive spelling error correction, a confused word pair was constructed and tested from the perspective of Word Sense Disambiguation(WSD). In the experimental results, the average correction performance of all confused word pairs was improved by 2.24% compared to the baseline correction performance.

• Environmental and Resource Economics Review
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• v.27 no.3
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• pp.521-544
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• 2018

This paper investigates the impact of ethanol mandate on the price relationship between corn and beef using the monthly time-series data from January 2003 through December 2013. In addition, we examine the non-linearity in ethanol, corn, and beef markets. Based on the threshold cointegration test, we find the symmetric relationship in pairs with ethanol production-corn price and ethanol production-beef price whereas there is the asymmetric relationship between prices of corn and beef. Employing the threshold vector error correction and vector error correction models, we also find that the corn price in the U.S is caused by both ethanol production and beef price in a long-run when the beef price is relatively high. On the other hand, the corn price does not cause both ethanol production and beef price in the long run. Findings from this study imply that demanders for corn such as ethanol and beef producers have price leadership on corn producers.

• Journal of Korea Port Economic Association
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• v.39 no.2
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• pp.129-141
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• 2023

This study analyzes the dynamic characteristics of daily freight rates of dry bulk and tanker shipping markets and their forecasting accuracy by using the error correction models. In order to calculate the error terms from the co-integrated time series, this study uses the common stochastic trend model (CSTM model) and vector error correction model (VECM model). First, the error correction model using the error term from the CSTM model yields more appropriate results of adjustment speed coefficient than one using the error term from the VECM model. Furthermore, according to the adjusted determination coefficients (adjR²), the error correction model of CSTM-model error term shows more model fitness than that of VECM-model error term. Second, according to the criteria of mean absolute error (MAE) and mean absolute scaled error (MASE) which measure the forecasting accuracy, the results show that the error correction model with CSTM-model error term produces more accurate forecasts than that of VECM-model error term in the 12 cases among the total 15 cases. This study proposes the analysis and forecast tasks 1) using both of the CSTM-model and VECM-model error terms at the same time and 2) incorporating additional data of commodity and energy markets, and 3) differentiating the adjustment speed coefficients based the sign of the error term as the future research topics.

• Journal of the Korean Data and Information Science Society
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• v.27 no.6
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• pp.1573-1583
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• 2016

It is necessary to check mutual correlations between related variables because housing prices are influenced by a lot of variables of the economy both internally and externally. In this paper, employing the Granger causality test, we have validated interrelated relationship between the variables. In addition, there is cointegration associations in the results of the cointegration test between the variables. Therefore, an analysis using a vector error correction model including an error correction term has been attempted. As a result of the empirical comparative analysis of the forecasting performance with ARIMA and VAR models, it is confirmed that the forecasting performance by vector error correction model is superior to those of the former two models.

• Journal of the Korean Data and Information Science Society
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• v.22 no.3
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• pp.401-412
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• 2011

This study uses a vector error correction model to analyze the daily time series data of the spot price of EUA (European Union Allowance). As endogenous variables, five variables are considered for the analysis, including prices of crude oil, natural gas, electricity and coal in addition to carbon price. Data period is Phase 2 period (April 21, 2008 to March 31, 2010) to avoid Phase 1 period (2005-2007) where the EUA prices were distorted. Unit-root and cointegration test results reveal that all variables have a unit root and cointegration vectors exist, so a vector error correction model is adopted instead of a vector autoregressive model.

• Journal of the Korean Data and Information Science Society
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• v.18 no.1
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• pp.73-80
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• 2007

Cointegration(together with VARMA(vector ARMA)) has been proven to be useful for analyzing multivariate non-stationary data in the field of financial time series. It provides a linear combination (which turns out to be stationary series) of non-stationary component series. This linear combination equation is referred to as long term equilibrium between the component series. We consider two sets of Korean bivariate financial time series and then illustrate cointegration analysis. Specifically estimated VAR(vector AR) and VECM(vector error correction model) are obtained and CV(cointegrating vector) is found for each data sets.

• Journal of the Institute of Electronics Engineers of Korea SP
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• v.37 no.5
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• pp.76-83
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• 2000

This paper proposes a new color halftorning method using color correction by vector error diffusion to reduce color difference, necessarily appears on cross-media color reproduction In order to predict output colors on each device, a neural system IS applied and mean prediction errors in device characterization for monitor and printer are defined to calculate the thresholds for color correction Thus, color difference between monitor and printer is compared per each pixel If color difference is larger than the predetermined mean prediction errors, the halftoned dots to the current pixel are rearranged by vector error diffusion The proposed method can reduce the smear artifact by selective vector error diffusion and decrease color difference on cross- media color reproduction by color correction.