• The Korean Journal of Financial Management
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• 제15권2호
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• pp.107-134
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• 1998

한국증권거래소는 1996년 5월 3일부터 KOSPI 200을 대상으로 하는 주가지수선물을 거래하고 있다. 주가지수선물거래가 한국주식시장의 정보효율성에 어떠한 영향을 미쳤을까? Cox(1976)의 주장대로 주식시장의 효율성이 제고되었을까? 이에 대한 대답을 구하기 위해 본 논문에서는 오차수정모형의 구성을 통한 불균형충격반응분석과 예측오차의 분산분해를 이용하여 선물거래가 현물시장의 효율성에 미치는 영향을 직접적으로 검증하였다. 본 논문의 연구결과는 한국주식시장에서 선물거래의 도입 이후에 해외요인과 국내요인으로 대표되는 영구적 효과를 가지는 교란과 일시적 효과를 가지는 고유요인의 교란에 시장가격이 보다 신속히 반응하고 있음을 보여준다. 또한 KOSPI 200은 Non-KOSPI 200에 비해 해외요인의 교란에 보다 민감함을 보여주며, Non-KOSPI 200은 KOSPI 200에 비해 국내요인의 변동에 보다 민감하게 반응함을 보여준다. 고유교란에 대한 KOSPI 200과 Non-KOSPI 200의 반응은 선물거래의 도입 이후에 교란에 대한 반응속도가 현저히 빨라졌음을 보인다. 그러나 KOSPI 200과 Non-KOSPI 200간의 차이는 선물거래 도입 이후에 차별적인 변화를 보이지 못하고 있다. 예측오차의 분산분해결과는 전체적으로 선물거래의 도입 이후에 해외요인의 설명력이 커지고, 선물거래가 시장의 정보확산에 긍정적인 역할을 함을 보여준다. 이러한 연구결과는 한국주식시장에서 KOSPI 200 선물거래가 도입된 이후에 현물시장의 정보효율성이 약하나마 향상되었음을 보여주는 것이나 추가적인 연구가 필요함을 말해준다.

• Journal of the Korean Data and Information Science Society
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• 제9권2호
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• pp.189-202
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• 1998

The goat of this paper is to study on variance estimation - Rice variance estimation, Gasser, Sroka and Jennen-Steinmetz's varince estimation - in smoothing goodness-of-fit tests. The comparisons of powers on test statistics are conducted by the change of variance, the number of oscillations, the amplitude of the alternative sample distribution.

• Journal of the Institute of Electronics Engineers of Korea TC
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• 제40권5호
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• pp.181-186
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• 2003

This paper presents a numerical dispersion relation for the two-dimensional finite-difference time-domain method based on the alternating-direction implicit time-marching scheme(2-D ADI-FDTD), which method has the potential to considerably reduce tile number of time iterations especially in case where the fine spatial lattice relative to the wavelength is used to resolve fine geometrical features. The proposed analytical relation for 2-D ADI-FDTD is compared with those relations in the Previous works. Through numerical tests, the dispersion equation of this work was shown as correct one for 2-D ADI-FDTD.

• Journal of Korea Water Resources Association
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• 제35권2호
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• pp.187-194
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• 2002

To improve the accuracy of the areal rainfall estimates over a river basin, the optimal design method of rainfall network was studied using the stochastic characteristics of measured rainfall data. The objective function was constructed with the estimation error of areal rainfall and observation cost of point rainfall and the observation sites with minimum objective function value were selected as the optimal network. As a stochastic variance estimator, kriging model was selected to minimize the error terms. The annual operation cost including the installation cost was considered as the cost terms and an accuracy equivalent parameter was used to combine the error and cost terms. The optimal design method of rainfall network was studied in the Yongdam dam basin whose raingauge numbers need to be enlarged for the optimal rainfall networks of the basin.

• Journal of Korea Port Economic Association
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• 제26권1호
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• pp.61-82
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• 2010

The purpose of this study is to examine the causuality among export and import trading volume of port of Busan, Kwangyang, Incheon and to induce policy implications. In order to test whether time series data is stationary and the model is fitness or not, we put in operation unit root test, cointegration test. And We apply Granger causality and impulse response and variance decomposition based on VECM. The results indicate that the trading volume of port of Busan is not largely influenced by that of port of Kawangyang and Incheon, but the trading volume of port of Kawangyang and Incheon is largely influenced by other ports including port of Busan. The result suggest that government has to focus on policy that the port of Kawangyang and Incheon can raise its own competitiveness in the world market.

• ICROS
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• 제14권3호
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• pp.64-69
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• 2008

• Communications for Statistical Applications and Methods
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• 제4권1호
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• pp.301-310
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• 1997

본 연구에서는 비(ratio)에 대한 2차잭나이프 추정량을 제안하고, 그것의 편의와 분산이 집단의 수에 대한 감소함수임을 보인다. 또한, 이 추정량의 우수성을 편의와 평균제곱오차의 측면에서 기존의 추정량과 비교 분석한다.

• Proceedings of the Korean Radioactive Waste Society Conference
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• 한국방사성폐기물학회 2011년도 춘계학술논문요약집
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• pp.411-412
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• 2011

• Spatial Information Research
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• 제21권2호
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• pp.45-54
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• 2013

Analytical and simulation error models have the ability to describe (or realize) error-corrupted versions of spatial data. But the different approaches for modeling positional errors require an internal validation that ascertains whether the analytical and simulation error models predict correct positional errors in a defined set of conditions. This paper presents stochastic simulation models of a point and a line segm ent to be validated w ith analytical error models, which are an error ellipse and an error band model, respectively. The simulation error models populate positional errors by the Monte Carlo simulation, according to an assumed error distribution prescribed by given parameters of a variance-covariance matrix. In the validation process, a set of positional errors by the simulation models is compared to a theoretical description by the analytical error models. Results show that the proposed simulation models realize positional uncertainties of the same spatial data according to a defined level of positional quality.

• The Journal of Korean Institute of Electromagnetic Engineering and Science
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• 제21권7호
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• pp.805-814
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• 2010

The Crank-Nicolson isotropic-dispersion finite difference time domain(CN ID-FDTD) scheme is proposed based on isotropic-dispersion finite difference(ID-FD) $equation^{[1],[2]}$. The dispersion relation of CN ID-FDTD is derived for lossy media by solving the eigenvalue problem of iteration matrix in spatial spectral domain, in addition, the weighting factors and scaling factors of the CN ID-FDTD scheme are presented for low dispersion error. The CN ID-FDTD scheme makes the dispersion error drastically reduced and shows accurate numerical results compared to the conventional Crank-Nicolson FDTD method.