• Title, Summary, Keyword: 적률법

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3차 적률(Moment)의 선형적 성질

  • 동경화
    • Journal for History of Mathematics
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    • v.9 no.2
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    • pp.15-21
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    • 1996
  • 적률법(method of moment)이란 변수 X의 멱승에대한 기대치를 이용하여 분포의 성질을 알아보는 방법이다. 여기서 적률법이 이용되어진 역사적 배경을 소개하고, 3차 적률들의 선형적 성질을 비교하였다. 먼저, Kagan이 입증한 표본평균에 관한 3차 표본적률의 선형적 성질과 Bayesian 경우에 3차 사후적률(posterior moment)과 사후평균(posterior)의 선형성을 소개하였다. 그리고, 자연지수족(natural exponential family)아래서도 표본평균에 관한 3차 표본적률의 선형성을 알아보기 위해 단순함수(simple function)의 형태로 유도하였으며, 정규분포인 경우에 적용시켜 보았다.

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Characteristics of Stochastic Volatility in Korean Stock Returns (우리나라 주식수익률의 확률변동성 특성에 관한 연구)

  • Chang, Kook-Hyun
    • The Korean Journal of Financial Management
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    • v.20 no.1
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    • pp.213-231
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    • 2003
  • This paper uses the Efficient Method of Moments(EMM) of Gallant and Tauchen to estimate continuous-time stochastic volatility diffusion model for the Korean Composite Stock Price Index, sampled daily over $1995\sim2002$. The estimates display non-normality of stock index return, leptokurtic distribution, and stochastic volatility. Funker, this study suggests that two factor stochastic volatility model will be more desirable than one factor stochastic volatility model to estimate daily Korean stock return and also suggests that the stochastic volatility diffusions should allow for Poisson jumps of time-varying intensity.

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Comparison Study on the Performances of NLL and GMM for Estimating Diffusion Processes (NLL과 GMM을 중심으로 한 확산모형 추정법 비교)

  • Kim, Dae-Gyun;Lee, Yoon-Dong
    • The Korean Journal of Applied Statistics
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    • v.24 no.6
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    • pp.1007-1020
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    • 2011
  • Since the research of Black and Scholes (1973), modeling methods using diffusion processes have performed principal roles in financial engineering. In modern financial theories, various types of diffusion processes were suggested and applied in real situations. An estimation of the model parameters is an indispensible step to analyze financial data using diffusion process models. Many estimation methods were suggested and their properties were investigated. This paper reviews the statistical properties of the, Euler approximation method, New Local Linearization(NLL) method, and Generalized Methods of Moment(GMM) that are known as the most practical methods. From the simulation study, we found the NLL and Euler methods performed better than GMM. GMM is frequently used to estimate the parameters because of its simplicity; however this paper shows the performance of GMM is poorer than the Euler approximation method or the NLL method that are even simpler than GMM. This paper shows the performance of the GMM is extremely poor especially when the parameters in diffusion coefficient are to be estimated.

Comparison Study of Parameter Estimation Methods for Some Extreme Value Distributions (Focused on the Regression Method) (극단치 분포의 모수 추정방법 비교 연구(회귀 분석법을 기준으로))

  • Woo, Ji-Yong;Kim, Myung-Suk
    • Communications for Statistical Applications and Methods
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    • v.16 no.3
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    • pp.463-477
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    • 2009
  • Parameter estimation methods such as maximum likelihood estimation method, probability weighted moments method, regression method have been popularly applied to various extreme value models in numerous literature. Among three methods above, the performance of regression method has not been rigorously investigated yet. In this paper the regression method is compared with the other methods via Monte Carlo simulation studies for estimation of parameters of the Generalized Extreme Value(GEV) distribution and the Generalized Pareto(GP) distribution. Our simulation results indicate that the regression method tends to outperform other methods under small samples by providing smaller biases and root mean square errors for estimation of location parameter of the GEV model. For the scale parameter estimation of the GP model under small samples, the regression method tends to report smaller biases than the other methods. The regression method tends to be superior to other methods for the shape parameter estimation of the GEV model and GP model when the shape parameter is -0.4 under small and moderately large samples.

동태적 요인구조 하에서의 차익거래가격결정이론의 실증적 검증

  • Jo, Dam
    • The Korean Journal of Financial Management
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    • v.15 no.1
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    • pp.329-350
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    • 1998
  • 이 논문에서는 자산의 수익률과 공통요인이 시간가변적 변동성을 갖는 경우의 APT를 검증하고자 시도하였다. 이를 위하여 1980년 1월부터 1995년 12월까지의 17개업종별 포트폴리오 수익률로부터 주성분분석에 의하여 4개의 공통요인을 추출하였다. (이중 첫 번째 요인은 동일가중 시장수익률과 거의 1에 가까운 상관성을 갖고 있으므로, 추출된 첫 번째 요인 대신에 시장수익률을 사용하였다.) 17개 업종별 포트폴리오에 대한 ARCH모형을 추정한 결과, 12개 포트폴리오의 수익률이 조건부 이분산성을 보이고 있다. 또 네 개의 공통요인 중 시장수익률을 포함한 3개의 요인은 뚜렷한 조건부 이분산성을 보이고 있다. 따라서 요인위험--즉, 공통요인에 대한 개별자산의 민감도$({\beta}_{ij})$--은, 개별자산과 공통요인의 상관계수가 일정하다고 가정하여, ARCH모형에 의해 측정된 자산 및 공통요인의 시간가변 표준편차로부터 계산되었다. 이와 같이 계산된 요인위험에 대하여 어느 정도의 위험프리미엄이 주어지고 있는가는 일반화 적률법(GMM)에 의하여 추정하였다. 그 결과, APT의 추정에 사용된 4개의 공통요인 중 시장수익률을 포함한 3개의 요인에 대하여 유의한 위험프리미엄이 추정되었다.

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Variance components in one-factor random model by projections (사영을 이용한 일원 분산성분)

  • Choi, Jae-Sung
    • Journal of the Korean Data and Information Science Society
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    • v.22 no.3
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    • pp.381-387
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    • 2011
  • This paper suggests a method for estimating components of variance in one-factor random model. Estimates of variance components are given by the method of moments. Sums of squares due to variance sources are obtained by projections. This paper also shows how to use eigenvalues for getting the coefficients of variance components in the expression of the expectations of the mean squares. The suggested method shows easier and faster than the method of Harley's synthesis.

Study on Basic Wind Speed Suiteable for Wind Power Development (풍력발전에 적합한 기본풍속 연구)

  • Kim, JungHwan;Jeong, HoSeong;Kim, HyeongJun;Han, JungHun;Park, SunKyu;Choi, JinWoong
    • 한국신재생에너지학회:학술대회논문집
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    • pp.189.1-189.1
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    • 2010
  • The wind farm where the wind velocity condition is excellent and economical can be established to produce power with the multiple wind power turbine. The wind velocity which is suitable to Wind Power Development must be evaluated for searching the economical wind farm on planning the wind farm. In this paper, based on wind speed data at 24 locations in Korea from 1971 through 2009, the basic wind velocity which can be applied to designing wind power development is estimated using the statiscal process. The wind velocity which is measured from observation stations is revised according to wind gauge's height and Circumferential environment. The wind speeds for 200 year's return period in 24 locations are determined using the Gumbel's distribution.

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Estimation of Crude Oil Price Dynamics and Option Valuation (원유가격의 동태성 추정과 옵션가치 산정)

  • Yun, Won-Cheol;Park, Hojeong
    • Environmental and Resource Economics Review
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    • v.14 no.4
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    • pp.943-964
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    • 2005
  • This study estimated a wide range of stochastic process models using the frameworks of CKLS (1992) and Nowman and Wang (2001). For empirical analysis, the GMM estimation procedure is adopted for the monthly Brent crude oil prices from January 1996 to January 2005. Using the simulated price series, European call option premiums were calculated and compared each other. The empirical results suggest that the crude oil price has a strong dependency of volatility on the price level. Contrary to the results of previous related studies, it shows a weak tendency of mean reversion. In addition, the models provide different implications for pricing derivatives on crude oil.

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Comparison of Methods for the Analysis Percentile of Seismic Hazards (지진재해도의 백분위수 분석 방법 비교)

  • Rhee, Hyun-Me;Seo, Jung-Moon;Kim, Min-Kyu;Choi, In-Kil
    • Journal of the Earthquake Engineering Society of Korea
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    • v.15 no.2
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    • pp.43-51
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    • 2011
  • Probabilistic seismic hazard analysis (PSHA), which can effectively apply inevitable uncertainties in seismic data, considers a number of seismotectonic models and attenuation equations. The calculated hazard by PSHA is generally a value dependent on peak ground acceleration (PGA) and expresses the value as an annual exceedance probability. To represent the uncertainty range of a hazard which has occurred using various seismic data, a hazard curve figure shows both a mean curve and percentile curves (15, 50, and 85). The percentile performs an important role in that it indicates the uncertainty range of the calculated hazard, could be calculated using various methods by the relation of the weight and hazard. This study using the weight accumulation method, the weighted hazard method, the maximum likelihood method, and the moment method, has calculated the percentile of the computed hazard by PSHA on the Shinuljin 1, 2 site. The calculated percentile using the weight accumulation method, the weighted hazard method, and the maximum likelihood method, have similar trends and represent the range of all computed hazards by PSHA. The calculated percentile using the moment method effectively showed the range of hazards at the source which includes a site. This study suggests the moment method as effective percentile calculation method considering the almost same mean hazard for the seismotectonic model and a source which includes a site.