• Journal of the Economic Geographical Society of Korea
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• v.12 no.4
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• pp.494-506
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• 2009

This paper tests whether or not manufacturing specialization, employment growth, establishment size, employment size, industrial mix in manufacturing, regional difference between the Capital region and the others and so on are empirically related to manufacturing employment volatility levels across 203 municipalities called shi-gun-gu during the period 1990~2006. Using the spatial econometric analysis of cross sectional data, the municipalities tending to be more volatile are more specialized; they have higher-than-average employment growth rates, smaller establishment and employment sizes, regardless of any industrial mix in manufacturing; and they tend to be located in the Capital region. Unlike existing foreign literature based upon the spatial econometric analysis of cross sectional data, this paper finds that volatility of growth in a municipality is negatively rather than positively influenced by volatility of growth in its neighboring municipalities.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.24 no.4
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• pp.383-389
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• 2011

In this paper, a statistical calibration method is proposed in order to identify the variability of complex modulus for a rubber material due to operational temperature and experimental/model errors. To describe temperature- and frequency-dependent material properties, a fractional derivative model and a shift factor relationship are used. A likelihood function is defined as a product of the probability density functions where experimental values lie on the model. The variation of the fractional derivative model parameters is obtained by maximizing the likelihood function. Using the proposed method, the variability of a synthetic rubber material is estimated and applied to a rubber mount problem. The dynamic characteristics of the rubber mount are calculated using a finite element model of which material properties are sampled from Monte Carlo simulation. The calculated dynamic stiffnesses show very large variation.

• The Korean Journal of Financial Management
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• v.14 no.2
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• pp.1-19
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• 1997

본 연구는 주가지수옵션의 도입이 주식시장의 주가변동성 및 정보적 시장효율성에 미치는 영향에 대해 실증적으로 분석하였다. 주가지수옵션의 도입이 주식시장의 변동성에 어떠한 영향을 미치는 가를 보기위해 각국별로 동일한 가중치를 둔(equally weighted) 국제 포트폴리오를 구성함으로써 주가지수옵션 도입이라는 요인외의 다른 요인들을 통제하였다. 이 포트폴리오를 이용한 분석결과에 의하면, 주가지수옵션의 거래는 단기간에 걸쳐서는 주식시장의 주가변동성에 별 영향을 주지 않았으나 다소 긴 기간인 1년 정도의 기간에서는 주가변동성을 증가시켰다. 또한 본 연구는 GARCH 형태의 모델을 이용하여 주가지수옵션시장의 개설이후로 주식시장의 시간에 따라 변하는 주가변동성(time-varying volatility)에 어떤 구조적 변화가 있었느냐를 분석함으로써, 주가지수옵션의 거래가 정보적 시장효율성(informational market efficiency)에 어떠한 영향을 미치는가를 알아보았다. 우리의 실증분석 결과는 지수옵션 도입 이후로 정보의 이산적 패킷(discrete packets)인 여러 변동성 충격(volatility shock)이 주식시장에 더욱 더 빨리 흡수된다는 것을 보여주었다. 이는 주가지수옵션의 도입은 주식시장의 효율성 증대에 도움을 준다는 것을 의미한다.

• The Korean Journal of Applied Statistics
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• v.28 no.3
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• pp.429-442
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• 2015

Volatility forecasting in financial markets is an important issue because it is directly related to the profit of return. The volatility is generally modeled as time-varying conditional heteroskedasticity. A generalized autoregressive conditional heteroskedastic (GARCH) model is often used for modeling; however, it is not suitable to reflect structural changes (such as a financial crisis or debt crisis) into the volatility. As a remedy, we introduce the Markov regime switching GARCH (MRS-GARCH) model. For the empirical example, we analyze and forecast the volatility of the daily Korea Composite Stock Price Index (KOSPI) data from January 4, 2000 to October 30, 2014. The result shows that the regime of low volatility persists with a leverage effect. We also observe that the performance of MRS-GARCH is superior to other GARCH models for in-sample fitting; in addition, it is also superior to other models for long-term forecasting in out-of-sample fitting. The MRS-GARCH model can be a good alternative to GARCH-type models because it can reflect financial market structural changes into modeling and volatility forecasting.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.27 no.6
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• pp.543-549
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• 2014

The deflection of reinforced concrete members can be highly variable, due to uncertainties in the characteristics of the concrete. However, current standards do not take this problem into account, instead recommending only the minimum thickness and maximum allowable deflections based on empirical data. This paper is aimed at evaluation deflection variabilities by applying a probabilistic analysis model to a finite element analysis model. To evaluate the variabilities of deflections, a Monte Carlo simulation, which incorporated the eight parameters related to concrete, reinforcement, member size, and tension stiffening. The results showed that lager spans were more sensitive to the deflection due to loads and that as the applied live loads were increases and the slab thickness were decreased, the deflection variability increased.

• Journal of the Korean Geotechnical Society
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• v.28 no.12
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• pp.65-76
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• 2012

In this study, probabilistic analysis of seepage through a two-layered soil foundation was performed. The hydraulic conductivity of soil shows significant spatial variations in different layers because of stratification; further, it varies on a smaller scale within each individual layer. Therefore, the deterministic seepage analysis method was extended to develop a probabilistic approach that accounts for the uncertainties and spatial variation of the hydraulic conductivity in a layered soil profile. Two-dimensional random fields were generated on the basis of the Karhunen-Lo$\grave{e}$ve expansion in a manner consistent with a specified marginal distribution function and an autocorrelation function for each layer. A Monte Carlo simulation was then used to determine the statistical response based on the random fields. A series of analyses were performed to verify the application potential of the proposed method and to study the effects of uncertainty due to the spatial heterogeneity on the seepage behavior of two-layered soil foundation beneath water retaining structure. The results showed that the probabilistic framework can be used to efficiently consider the various flow patterns caused by the spatial variability of the hydraulic conductivity in seepage assessment for a layered soil foundation.

• Proceedings of the Korea Water Resources Association Conference
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• 2010.05a
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• pp.1332-1336
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• 2010

우리나라는 여름철의 큰 호우로 인해 피해가 빈번하게 발생하며, 이러한 호우는 주로 태풍과 집중호우로 인해 발생한다. 그런데 기후변화에 따른 이상기후로 인하여 이러한 호우사상들의 규모가 점차 커지고 있으며 그 특성 또한 변화하고 있는 추세이다. 따라서 본 연구에서는 우리나라 기상청에서 관할하는 총 78개의 기상 관측소 중에서 17개의 기상관측소를 대상으로 연최대시간강우량을 추출하여 각각의 지속시간에 대한 평균과 표준편차에 대한 변동성과 경향성에 대한 분석을 수행하였다. 또 호우의 원인을 태풍과 집중호우로 구분하여 각각의 지속시간별 연최대시간강우량을 구분하여 추출하고 이를 비교 분석하였다. 분석결과에서 연최대시간 강우량은 변동성이 있지만 경향성은 나타나지 않는 것으로 분석되었고, 지역에 따라 호우원인별 강우특성이 다르게 나타났다. 본 연구 결과를 기후변화에 따른 강우패턴의 변화를 예측하는데 있어 기초자료로 활용할 수 있고, 또 수공구조물의 설계에 반영한다면 호우로 인한 피해를 감소시킬 수 있는 것으로 사료된다.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.34 no.3
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• pp.747-754
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• 2014

In spite of its usefulness for health monitoring of structures on steady external load, the statistical pattern recognition technology (SPRT), based on Mahalanobis distance theory (MDT), is not good enough for the health monitoring of structures on large variability external load like earthquake. Damage is usually determined by the difference between the average measured value of undamaged structure and the measure value of damaged one. So when external variability gets larger, the difference gets bigger along, which is thus easily mistaken for a damage. This paper aims to overcome the problem and develop an improved Mahalanobis distance theory (IMDT), that is, a SPRT with revised MDT in order to decrease external variability so that we will be able to continue to monitor the structure on uncertain external variability. This method is experimentally tested to see if it precisely evaluates the health of a cable-stayed bridge on each general random load and earthquake load. As a result, the IMDT is found to be valid in locating structural damage made by damaged cables by means of data from undamaged cables. So it is proved to be effectively applicable to the health monitoring of bridges on external load of variability.

• Journal of the Korean Association of Geographic Information Studies
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• v.12 no.2
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• pp.120-131
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• 2009

This study measured the centripetal force and effective scope of the population spread from urban center and subcenters in order to diagnose the urban spatial structure of the formation of a multicentric city structure in Busan. The study analyzed the variability of the determination coefficient value (R square) with a negative exponential function derived from the population density model by extending the circular region into 5-km units. The aim of this study was to measure changes in the effective scope of the population centripetal force of the urban center and subcenter in 5-year intervals from 1995 to 2005 using census data. The explanatory adequacy of the population density function was examined with the bias of the function to calculate the distance error between the real location of the urban center and the optimal location, according to the population density function. To summarize the results, the value for the area of Jungangdong showed a continuous reduction, whereas Seomyeon (Bujeondong) maintained explanatory adequacy without a large change. As a whole, Busan was in the process of continuous diversification, in spite of its reduced population. Therefore, it appears necessary to strengthen the function of the urban center and subcenter and to supply adequate dwelling zones close to downtown to form a more efficient urban spatial structure. The results of the present study will be utilized as basic data for the formulation of a political approach to the efficient reorganization of spatial structure by correlating concrete spatial information with the population variability of Busan's urban center and subcenter.

• The Korean Journal of Applied Statistics
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• v.27 no.5
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• pp.797-808
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• 2014

It is increasingly interested in investigating the relationships and the dynamic characteristics of variations among high class corporate values. This study formulates a statistical model of simultaneous equation system to examine the relationships among variations of stock returns for each class of corporate governance structure and to analyze the dynamic patterns of their long-run adjustment processes. Changes in stock returns for each class of corporate governance by an exogenous shock are found to have common structural features of slow adjustments to the long-run equilibriums.