• Communications for Statistical Applications and Methods
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• 제10권1호
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• pp.101-113
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• 2003

Quasi likelihood estimators defined by Wedderburn are derived for several nonlinear time series models. And also, the least squared estimator and Quasi-likelihood estimator are compared in sense of asymptotic relative efficiency at those models. Finally, we apply these estimations to a real data on exchanging rate and stock market prices.

• Journal of Information Technology Applications and Management
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• 제26권6호
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• pp.47-63
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• 2019

The volatility of major crypto currencies was examined and they are diagnosed whether they have a systematic risk or not, by estimating market beta representing systematic risk using GARCH( Generalized Auto Regressive Conditional Heteroskedastieity) model. First, the empirical results showed that their prices are very volatile over time because of the existence of ARCH and GARCH effects. Second, in terms of efficiency, asymmetric GJR model was estimated to be the most appropriate model because the standard error of a market beta was less than that of the OLS model and GARCH model. Third, the estimated market beta of Bitcoin using GJR model was less than 1 at 0.8791, showing that there is no systematic risk. However, unlike OLS model, the market beta of Ethereum and Ripple was estimated at 1.0581 and 1.1222, showing that there is systematic risk. This result shows that bitcoin is less dangerous than Ripple and Ethereum, and ripple is the most dangerous of all three crypto currencies. Finally, the major cryptocurrency found that the negative impact caused greater variability than the positive impact, causing bad news to fluctuate more than good news, and therefore good news and bad news had a different effect on the variability.

• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.125-134
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• 2020

This study examines the nominal price anomaly in the Vietnamese stock market, that is, whether stocks with low nominal price outperform stocks with high nominal price. Using a sample of all 351 companies listed on the Ho Chi Minh Stock Exchange (HOSE) from June 2009 to March 2018, we confirm our hypothesis and document that cheaper stocks yield higher subsequent abnormal returns. The results are robust after controlling for various stock characteristics that have been documented to be value-relevant in prior literature, including firm size, book-to-market ratio, intermediate-term momentum, short-term reversal, skewness, market risk, idiosyncratic risk, illiquidity and extreme daily returns, using both the portfolio analysis and the Fama-MacBeth cross-sectional regression. The negative effect persists in the long term (i.e., after up to 12 months), implying a slow adjustment of stock prices to their intrinsic value. Further analysis show that the observed nominal price anomaly is mainly driven by mispricing but not a latent risk factor proxied by stock price, thus the observed anomaly reflects a mispricing but not a fundamental risk. The study highlights the irrational behaviour of investors and market inefficiency in the Vietnamese stock market and provides important implication for investors in the market.

• 한국항공운항학회지
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• 제30권3호
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• pp.19-27
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• 2022

Urban Air Mobility is expected to resolve some problems in urban transportation such as traffic congestion and air pollution. Various studies for a large-scale commercialization of UAM are being actively conducted. To that end, the UAM Traffic Management system aims at securing a safety and an efficiency of UAM operations. In this study, a risk assessment model is proposed to evaluate the risk of collision between a vehicle and surrounding obstacles. The proposed model is conceived from the past studies for determining a proper separation distance between parallel runways for their independent operations. The model calculates the risk that the surveillance system fails to meet a target level of safety for a given buffer zone size between a designed route and surrounding obstacles. The model is applied to one of the routes proposed in K-UAM roadmap to evaluate its performances.

• 한국의학물리학회지:의학물리
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• 제27권3호
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• pp.139-145
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• 2016

With the development in field of industry and medicine, new machines and techniques are being launched. Moreover, the complexity of the techniques is associated to an increasing risk of incident. Especially, a small error in radiotherapy can lead to a serious patient-related incident, risk management is necessary in radiotherapy in order to reduce the risk of incident. However, in field of radiotherapy, there are no legally binding clauses for risk management and there is an absence of risk management systems at an institutional level. Therefore, we analyzed institutional status of risk management, reporting & classification systems, and risk assessment & analysis in 31 countries. For risk management and reporting systems, 65% of countries investigated had legislation or regulations; however, only 35% of countries used classification systems. It was found that 43% more countries had legislation for risk management in healthcare than those for radiotherapy; 19% more countries had reporting systems for healthcare than those for radiotherapy. For classification systems, 60% more countries had legislation, recommendation, and guidelines in the field of radiotherapy than those for healthcare. Recently, international institutes have published several reports for risk management and patient safety in radiotherapy, owing to which, countries adopting risk management for radiotherapy will gradually increase. Before adopting risk management in Korea, we should precisely understand the procedures and functions of risk management, in order to increase efficiency of risk management because classification & reporting system and risk assessment & analysis are connected organically, and institutional management is needed for high quality of risk management in Korea.

• 한국자동차공학회논문집
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• 제18권1호
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• pp.8-13
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• 2010

Many vehicles have significantly under-inflated tires, primarily because drivers infrequently check their vehicles' tire pressure. When a tire is used while significantly under-inflated, its sidewalls flex more and the tire temperature increases, increasing stress and the risk of failure. In this study we evaluated tire safety and economical efficiency at various inflation pressure. For tire safety we performed FMVSS indoor durability test, measurement of rolling tire temperature, braking performance at dry/wet road condition, and rolling resistance test for economical efficiency. Results show that low pressure decreases tire durability of both speed-increase condition and load-increase condition. Heat temperature of rolling tire increases as pressure decreases and significantly under-inflated tires cause increase of vehicle's stopping distance at wet road condition. Also Under-inflation increases the rolling resistance of a tire and, correspondingly, decreases vehicle's fuel economy.

• STI Policy Review
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• 제2권3호
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• pp.35-44
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• 2011

Korea has rapidly increased R&D investment over the last few decades and the intensity of R&D investment is among the highest in the world; however, there are serious concerns about R&D performance and R&D efficiency. This study is to improve the economic assessment methodology regarding a feasibility study for national R&D programs that are thought to be one of the most prominent ways to enhance R&D efficiency. In order to improve the methodology of economic assessment, a few of important factors such as technical or market uncertainty, spillover effect, and R&D contribution ratio should be covered in the model. The focus of this article is technological and market uncertainty that has a close relation with strategic flexibility and utilization potential to increase the value of R&D programs. To improve the current linear and definitive R&D process, a new framework with strategic flexibility is suggested, in which the result of economic assessment that considers technological and market uncertainty is reflected in planning. That kind of feedback process is expected to enhance the value of the program/project as well as R&D efficiency.

• 대한안전경영과학회지
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• 제6권1호
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• pp.49-60
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• 2004

Industrial facilities are becoming more complex and various with rapidly developing technologies. A number of installations and equipments are increased to improve productivity, and they are operated under the condition of high temperature and pressure. They are continuously repaired, replaced or abolished because of the deterioration with time, but their repair and replacement are not easy for economical and environmental concerns. If possible, the deteriorating equipments should be inspected and repaired effectively considering the state of maintenance and preservation, economic efficiency, and safety. That's where RBI(Risk Based Inspection) fits in. Even if RBI technology has been known among specialists, there were no tools readily available and it was hard to practice and apply RBI in industrial inspection and safety management. In the development of the qualitative RBI, the overall algorithm adopted API-581 BRD. The qualitative RBI program was developed to search the appling process.

• 한국안전학회지
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• 제17권3호
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• pp.66-72
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• 2002

During the last ten years, effort has been made for reducing maintenance cost for aged equipments and ensuring safety, efficiency and profitability of petrochemical and refinery plants. Hence, it was required to develop advanced methods which meet this need. RBI(Risk Based Inspection) methodology is one of the most promising technology satisfying the requirements in the field of integrity management. In this study, a qualitative assessment algorithm for RBI based on the API 581 code was reconstructed for developing an RBI software. The user-friendly realRBI software is developed with a module for evaluating qualitative risk category using the potential consequence factor and the likelihood factor.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회 2007년도 추계학술대회 및 정기총회
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• pp.209-223
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• 2007

B2C, B2B와 같은 인터넷 상거래뿐만 아니라, 전자정부를 통한 G2C 등에서 보는 바와 같이, 공공 및 민간 IX(Internet exchange)를 통한 인터넷 상호연동 인프라는 명실상부한 사회 신경망으로 기능한다. 따라서 전통적인 사회간접자본인 도로, 항만, 전력 등에서와 마찬가지로, 그 구축 및 운영에서의 안정성과 신뢰성에 대한 요구가 점차 강화되고 있다 본 연구는 인터넷 상호연동망의 안정성과 신뢰성을 제고하기 위한 방안을 위험관리 관점에서 제안한다. 먼저, 인터넷 상호연동의 강건성(robustness)을 높이기 위한 방어기제와 더불어 상호연동 대안들을 개발한다. 이들 대안은 장애시에 작동하는 별도의 상호연동 비상망을 운영하는 방재형과, 지역적으로 분산된 상호연동 허브(IX)를 운영하여 장애에 따른 피해 확산을 방지하는 분산 허브형으로 구분된다. 본 논문에서는 또한 대안들의 위험효율성(risk efficiency)을 체계적으로 비교/평가하기 위하여 경영공학 방법론에 의한 위험평가 프레임워크를 개발하고, 이를 투자수준이 상이한 여러 대안들에 적용한다. 몬테카를로 시뮬레이션을 통한 ROI(Risk On Investment) 분석 결과, 방재형 대안이 비용 대비 위험효율성 측면에서 최선의 후보로 평가되었다.