• 응용통계연구
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• 제24권1호
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• pp.61-69
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• 2011

다양한 GARCH류 모형들의 변동성 함수를 살펴보면 흥미롭게도 거의 대부분 모형에서 수익률의 일차항( rst or der term)이나 수익률과 변동성의 교차항(interaction term)이 나타나지 않는다. 일차항과 교차항은 변동성의 비대칭성을 설명하는 역할을 할 수 있으며 $h_t$의 회귀분석식의 형태로 볼 때 변동성 함수의 일반적인 이차형식(quadratic form)을 구성한다고 할 수 있다. 본 논문에서는 변동성과 수익률들 사이의 교차항 및 일차항을 포함한 이차형식(quadratic form) 변동성 모형들을 소개하고, 국내 금융시계열 자료에 적용한 후 비교 분석하고자 한다.

• 응용통계연구
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• 제24권1호
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• pp.103-114
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• 2011

시장 간 통합을 검정한 연구들은 시장변수들 자체의 연관성으로만 분석을 한정시키는 경향이 있어 경우에 따라 시장 변동체계의 전반적 현실을 파악하는데 한계가 있다. 주식시장의 경우 위기를 겪은 나라와 그렇지 않은 나라와는 일정 기간 주가변동 성향이 다르므로 이들의 동적 연관성에 대한 연구에 선행연구들과 같이 주가만 고려할 경우 주식시장에 영향을 미친 변수들을 제외함에 따른 통계적 편의가 존재하게 된다. 본 연구에서는 우리나라와 주요 투자국의 주식시장 간 통계적 통합의 검정모형에 각국의 주가 외에 국내 외환 및 금융시장을 동시에 포함시켜 보았다. 분석 결과 위기에 따른 변화의 영향이 계속되는 기간에는 이들이 주식시장의 통합에 유의한 영향을 미치는 것으로 추정되어 주식시장만 고려할 경우 모형의 설정오류 가능성이 존재함을 입증한다.

• 한국항해항만학회지
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• 제44권5호
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• pp.400-406
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• 2020

In this study, we first measured the malmquist productivity index by DEA among the Korean public firms. Second, there are 12 public corporations whose productivity (MPI) has decreased compared to 2014. This is mainly because of a decrease in productivity, as well as a decrease in the technical efficiency change index (TECI), impacted by the internal environment, and the increase in productivity because of an increase in the technology change index (TCI) impacted by the external environment. Finally, the analysis of the impact on the management assessment scores showed that the productivity (MPI), scale efficiency (CRS), size of sales, operating profitability, and total capital investment efficiency are significantly related (+), except for the asset turnover, which is a static financial ratio. Meanwhile, the management evaluation scores between the high-productivity public corporations and low-performing public corporations were significantly discriminating. Thus, it is confirmed that the nation's state-run companies must manage their MPIs in a time series to score high in management evaluation.

• 한국정보시스템학회지:정보시스템연구
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• 제29권3호
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• pp.119-144
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• 2020

Purpose Real estate usually takes charge of the highest proportion of physical properties which individual, organizations, and government hold and instability of real estate market affects the economic condition seriously for each economic subject. Consequently, practices for predicting the real estate market have attention for various reasons, such as financial investment, administrative convenience, and wealth management. Additionally, development of machine learning algorithms and computing hardware enhances the expectation for more precise and useful prediction models in real estate market. Design/methodology/approach In response to the demand, this paper aims to provide a framework for forecasting the real estate market with machine learning algorithms. The framework consists of demonstrating the prediction efficiency of each machine learning algorithm, interpreting the interior feature effects of prediction model with a state-of-art algorithm, LIME(Local Interpretable Model-agnostic Explanation), and comparing the results in different cities. Findings This research could not only enhance the academic base for information system and real estate fields, but also resolve information asymmetry on real estate market among economic subjects. This research revealed that macroeconomic indicators, real estate-related indicators, and Google Trends search indexes can predict real-estate prices quite well.

• Journal of the Korean Data and Information Science Society
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• 제21권3호
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• pp.419-425
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• 2010

커널기계 기법은 최근 대용량 또는 고차원 비선형 자료를 분석하는 방법으로 인기를 많이 얻고 있다. 본 논문에서는 주식시장 수익률의 조건부 변동성을 예측하기 위한 일반화 이분산자기회귀모형을 추정하기 위해 커널기계 기법을 사용한다. 일반화 이분산자기회귀모형은 자료가 정규분포를 따른다고 가정한 후 주로 최대우도법을 사용하여 추정된다. 본 논문에서는 꼬리가 두꺼운 분포를 갖는 금융시계열자료의 변동성을 추정할 때 커널기계 기법이 최대우도법과 서포트벡터기계 보다 더 정확한 예측능력을 가진다는 것을 보이고자 한다.

• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.251-261
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• 2020

The paper examines the role of some determinants of economics, politics and institutions on the budget deficit volatility in some countries of the Association of South East Asian Nations (ASEAN) such as Indonesia, Thailand and Vietnam. The paper uses the fixed effects model (FEM) and the random effects model (REM) to investigate panel data of these countries in the period of 1990-2018. Moreover, the study also explores ordinary least square (OLS) to analyze time-series data for each country in the same period to make comparison among them. The economic data is collected from international financial statistics and world development indicators. The data on political variables are collected from International Country Risk Data Guide (ICRG). The empirical results both confirm that corruption and political stability are important indicators of budget deficit. Besides, the paper suggests authorities should pay more attention on improving the institutional setup of the economy in order to avoid high and unstable deficit. The findings offer new insight on the budget deficit in essence and suggest that the most important thing need to be done ahead is to strongly implement anti-corruption actions. By doing so, the status of budget deficit would be remarkably improved immediately.

• Management Science and Financial Engineering
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• 제14권1호
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• pp.23-34
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• 2008

In this study, we consider stationary waiting times in a Poisson driven single-server m-node queues in series. We assume that service times at nodes are independent, and are either deterministic or non-overlapped. Each node excluding the first node has a finite waiting line and every node is operated under a FIFO service discipline and a communication blocking policy (blocking before service). By applying (max, +)-algebra to a corresponding stochastic event graph, a special case of timed Petri nets, we derive the explicit expressions for stationary waiting times at all areas, which are functions of finite buffer capacities. These expressions allow us to compute the performance measures of interest such as mean, higher moments, or tail probability of waiting time. Moreover, as applications of these results, we introduce optimization problems which determine either the biggest arrival rate or the smallest buffer capacities satisfying probabilistic constraints on waiting times. These results can be also applied to bounds of waiting times in more general systems. Numerical examples are also provided.

• Asian Journal of Business Environment
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• 제7권4호
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• pp.35-41
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• 2017

Purpose - This paper aims to examine several time series models to predict sales of department stores and discount store markets in South Korea, while other previous trial has performed sales of convenience stores and supermarkets. In addition, optimal predicted values on the underlying model can be got and be applied to distribution industry. Research design, data, and methodology - Two retailing types, under investigation, are homogeneous and comparable in size based on 86 realizations sampled from January 2010 to February in 2017. To accomplish the purpose of this research, both ARIMA model and exponential smoothing methods are, simultaneously, utilized. Furthermore, model-fit measures may be exploited as important tools of the optimal model-building. Results - By applying Holt-Winters' additive seasonality method to sales of two large-scale retailing types, persisting increasing trend and fluctuation around the constant level with seasonal pattern, respectively, will be predicted from May in 2017 to February in 2018. Conclusions - Considering 2017-2018 forecasts for sales of two large-scale retailing types, it is important to predict future sales magnitude and to produce the useful information for reforming financial conditions and related policies, so that the impacts of any marketing or management scheme can be compared against the do-nothing scenario.

• 한국산학기술학회논문지
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• 제15권8호
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• pp.5256-5262
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• 2014

최근 국가기관, 언론사, 금융권 등에 대하여 분산 서비스 거부(Distributed Denial of Service, DDoS) 공격, 악성코드 유포 등 무차별 사이버테러가 발생하고 있다. DDoS 공격은 네트워크 계층에서의 대역폭 소모를 주된 공격 방법으로 정상적인 사용자와 크게 다르지 않는 패킷을 이용하여 공격을 하기 때문에 탐지 및 대응이 어렵다. 이러한 인터넷 비정상적인 트래픽이 증가하여 네트워크의 안전성 및 신뢰성을 위협하고 있어 비정상 트래픽에 대한 발생 징후를 사전에 탐지하여 대응할 수 있는 방안의 필요성이 대두되고 있다. 본 연구에서는 비정상 트래픽 탐지 기법에 대한 현황 및 문제점을 분석하고, 예측방법인 추세 모형, 지수평활법, 웨이브렛 분석 방법 등을 비교 분석하여 인터넷 트래픽의 특성을 실시간으로 분석 및 예측이 가능한 가장 적합한 예측 모형을 이용한 탐지 방법을 제안하고자 한다.

• The Journal of Asian Finance, Economics and Business
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• 제1권4호
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• pp.5-13
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• 2014

This study contributes to addressing the problem of an aging population by providing important information that determines feasible monthly payments for the clients of Chinese reverse mortgage products and by promoting the implementation of reverse mortgages in China. The variables used in this study include mean values obtained from time series data, of the rate of increase of housing prices, and the probability value, interest rate, and mortality rate obtained through the geometric Brownian motion (GBM). For mortality rates, China Life Insurance female mortality rates (2000-2003) were used. This study aims to apply the main variables that affect reverse mortgage products in a monthly payment model based on Chinese financial market conditions, and determine loan values. In this study, Shanghai's reverse mortgage monthly payments, by age levels, were calculated through the loan-to-value (LTV) and payment (PMT) methods to evaluate the value of the reverse mortgages. Based on the optimal combination of the three factors of payment amount, loan interest rates, and the level of acceptance of prices, efforts must be made to extract the best value for the elderly. Only in this way can the interests of both lenders and borrowers be protected, by increasing the market share and economies of scale of the reverse mortgage industry and effectively improving the living standards of the elderly.