• Journal of Korea Port Economic Association
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• v.39 no.4
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• pp.223-242
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• 2023

This study analyzes the spillover effects of returns and volatility between the commodity market and the maritime freight market across various frequency domains (short-term, medium-term, long-term). The key findings of the study can be summarized as follows. First, from the perspective of returns, a high linkage is observed in the short-term between the commodity and maritime freight markets, with the metal commodities market playing a particularly significant role in information transmission effect of return series. Second, in terms of volatility, the total connectedness increases from the short- to the long-term, with substantial long-term risk transmission effects observed especially in the BDI, BDTI, agricultural, and energy commodity markets. Notably, during major global events such as the U.S.-China trade war, COVID-19, and the Russia-Ukraine conflicts, a marked increase in the risk transmission effect in the energy commodities market was identified.

• 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 Korean earth science society
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• v.43 no.1
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• pp.30-40
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• 2022

Wildfires, which occur sporadically and irregularly worldwide, are distinct natural disturbances in combustible vegetation areas, important parts of the global carbon cycle, and natural disasters that cause severe public emergencies. While many previous studies have investigated the variability and changes in wildfires globally based on fire emissions, burned areas, and fire weather indices, studies on East Asia are still limited. Here, we explore the characteristics of variability and changes in wildfire danger over East Asia by analyzing the fire weather index for the 40 years-1981-2020. The first empirical orthogonal function (EOF) mode of fire weather index variability represents an increasing trend in wildfire danger over most parts of East Asia over the last 40 years, accounting for 29% of the total variance. The major contributor is an increase in the surface temperature in East Asia associated with global warming and multidecadal ocean variations. The effect of temperature was slightly offset by the increase in soil moisture. The second EOF mode exhibits considerable interannual variability associated with the El Nino-Southern Oscillation, accounting for 17% of the total variance. The increase (decrease) in precipitation in East Asia during El Nino (La Nina) increases (decreases) soil moisture, which in turn reduces (increases) wildfire danger. This dominant soil moisture effect was slightly offset by the temperature increase (decrease) during El Nino (La Nina). Improving the understanding of variability and changes in wildfire danger will have important implications for reducing social, economic, and ecological losses associated with wildfire occurrences.

• Proceedings of the Korea Water Resources Association Conference
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• 2009.05a
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• pp.683-687
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• 2009

하천의 하상은 장기간에 걸친 교란으로 변화를 겪으며 자연 평형상태에 이르게 된다. 하천에서의 교란은 자연적인 교란과 인위적인 교란으로 나눌 수 있다. 자연적인 교란은 홍수, 태풍, 지진, 해충, 질병, 사태, 극고 저온, 한발 등을 포함하며 생태계의 안정성, 저항성 및 복원성에 의하여 자연 복원되는 경우이며, 인위적인 교란은 댐건설, 하도정비, 골재채취 기타 다른 하천 구조물의 축조 등으로 인해 생태계의 구조와 기능에 막대한 변화가 초래되는 경우이다. 따라서 이러한 교란된 하천의 하상변동 경향을 분석하고 예측하여 이 치수 구조물 축조에 반영하고 하천 생태계 교란의 영향을 최소화 시키는 것이 하천 환경적 측면에서 매우 중요하다고 할 수 있다. 본 연구에서는 경상북도 안동시 임하면 임하리에 위치한 반변천의 임하 역조정지댐 직하류부터 낙동강 합류점까지 10.92km 지역을 연구대상지역으로 선정하여, 미공병단에서 개발된 하상변동 수치모형인 HEC-6를 이용하여 댐 건설전과 건설 후에 대하여 하상변동을 모의하였다. 그 결과 처음 5년간은 하상이 $0.5{\sim}1.0m$정도 저하되었으나 10년이 지났을 때, 댐 건설전의 경우에는 $-0.4{\sim}2.2m$, 댐 건설 후에는 $-0.2{\sim}1.3m$정도로 하상이 변화되었다. 이는 댐이 없을 경우에는 처음 5년간은 하상이 심하게 저하되었다가 10년이 지나면서 하상 저하율이 감소되면서 평형상태를 이루는데 댐이 있을 경우에는 하상이 저하되는 감소율이 더 적어지면서 댐이 있을 때보다 하상저하가 적게 이루어진 것 때문으로 사료된다.

• Proceedings of the Korea Water Resources Association Conference
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• 2016.05a
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• pp.147-147
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• 2016

최근 기후변화로 인한 기상이변이 빈번히 발생하면서 그로 인한 피해도 점점 증가하고 있다. 이를 최소화하기 위해서는 기후변화가 강수에 미치는 영향에 대한 연구가 필요하며, 특히 강수의 기후변화를 고려한 장기적인 변동에 대한 예측이 매우 중요하다. 그 중, 기후변화로 인한 강수현상의 변화를 분석하기 위한 방법 중 하나로 강수 현상이 주변 기후 요소의 분포에 영향을 받는다는 가정 하에 기상인자를 통하여 강수를 예측하는 방법이 있다. 우리나라에 영향을 미치는 주변 기상인자들과 강수 간의 상관관계를 분석하여 상관관계가 높게 나타나는 기상인자를 통해 우리나라 강수량을 예측하면 장기적인 관점에서 강수 예측의 정확도를 높일 수 있다. 하지만 상관관계 분석에 있어서 강수 원 자료 와 기상인자간의 상관관계를 비교할 경우 원 자료가 가지는 큰 변동성으로 인해 정확한 상관관계 분석이 이루어지지 않을 가능성이 크다. 따라서 강수자료를 분해하여 분해된 요소별로 상관관계를 분석하여 분석의 정확도를 높일 필요가 있다. 다양한 자료 분해 방법중 경험적 모드분해법(Empirical Mode Decomposition, EMD)을 사용할 경우 자료의 분해에 있어서 주기성, 경향성에 따라 분해가 가능하며, 비정상성을 가지고 있는 시계열에 대해 효과적으로 분해가 가능한 장점이 있다. 본 연구에서는 30년 이상의 자료기간을 가지는 지점의 강수량 자료를 바탕으로 경험적 모드분해법을 이용하여 강수자료를 분해하고, 이를 다양한 기상인자와의 상관관계를 분석함으로써, 우리나라 강수량 변동과 연관이 있는 기상인자들을 선별하였다. 선별된 기상인지를 바탕으로 다중회귀분석을 수행하여 기상인자를 독립변수로 하는 강수 예측식을 구축하여 우리나라 강수의 예측 가능성을 살펴보고자 한다.

• Journal of the Korean Society of Marine Environment & Safety
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• v.15 no.4
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• pp.297-313
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• 2009

Long-term trends and distribution patterns of water quality were investigated in the Gunsan coastal areas of Yellow Sea, Korea from 1972 to 2006. Water samples were collected at 6 stations and physicochemical parameters were analyzed including water temperature, salinity, suspended solids(SS), chemical oxygen demand(COD), dissolved oxygen(DO) and nutrients. Spatial distribution patterns of temperature, DO and SS were not clear among stations but the seasonal variations were distinct except COD and SS. The trend analysis by principal component analysis(PCA) during 24 years revealed the significant variations in water quality in the study area. Spatial water qualities were clearly classified into 3 clusters by PCA; station cluster 1, 2~4, and 5~6. Annual water qualities were clearly classified into 4 surface water clusters and 5 bottom water clusters by PCA. By this multi-variate analysis. The annual trends were summarized as follows; Salinity, pH and DO tended to increase since late 1970's, COD to increase since 1987, and SS to decrease and nutrients to increase in Gunsan coastal waters due to the input of fresh water from land same as in Kyoungin coastal area, Asan coastal area and Choensoo bay.

• The Journal of the Korea Contents Association
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• v.13 no.7
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• pp.432-439
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• 2013

In this study, we evaluate the volatility of housing prices by using literature review and empirical analysis and furthermore we suggest how to improve. In order to diagnose housing market, the KB Bank's House Price Index, Real estate 114;s materials were compared. In addition, to examine the volatility, GARCH (Generalized Autoregressive Conditional Heteroskedasticity) and EGARCH (Exponential GARCH) model are used. By analysis of this research, we found the volatility of housing price also was reduced in the medium and the large houses since 1998, while the volatility of small housing price relatively was large. We proved that the price change rate of small housing was higher than the medium's. On the order hand, the supply of small apartments fell down sharply. The short-term oriented policy should be avoided, and the efficiency and credibility of policy should be increased. Furthermore, the long-term policy system should be established. and rental market's improvement is necessary for stabilization of housing market.

• Journal of the Korean Society of Hazard Mitigation
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• v.9 no.4
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• pp.115-127
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• 2009

Recently, Natural disasters are increasing the damage according to the influence of the abnormal climate and climate change. This study analyzed change characteristic of Design Rainfall according to the different data periods. First, 14 observatories were selected at Meteorological Administration. Second, frequency analysis carried out 5 cases by different data periods. At the results of the frequency analysis, the design rainfall could confirm the increase in most areas of Korea. Also, the change and trend analysis carried out for characteristic analysis by design rainfall and observed rainfall. The change and trend analysis of observed annual maximum rainfall did not appeared, but the change and trend analysis of design rainfall significantly appeared using statistic methods. The result of the change and trend analysis, design rainfall increased in most areas of Korea. Although, it could be the necessity for reestimating defense ability of flood, existing river systems, and new establishment of structure about the change characteristic.

• Information Systems Review
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• v.19 no.4
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• pp.171-182
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• 2017

Although economic growth has been retarded since the global economic crisis over recent decades, a large number of firms consider mergers and acquisitions (M and A) as a strategy to survive in a highly competitive market. In particular, an increasing number of firms pursue M and A with IT firms in recent years. In this study, we analyze the post-merger risks measured as ROA volatility for acquiring firms when they seek to acquire an IT firm. Our analysis suggests that a firm with prior experience in M and A acquires IT firms aggressively. Moreover, a substantial number of IT firms are relatively small and unlisted when they are acquired. We also show that an acquiring firm's post-merger risk (i.e., ROA volatility) increases after its acquisition of IT firms. However, an increase in post-merger risk is alleviated when relatedness exists between an acquiring firm and target.

• Proceedings of the Korea Water Resources Association Conference
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• 2006.05a
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• pp.1501-1505
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• 2006

본 연구에서는 국내외적으로 이슈화되고 있는 기후변화가 국내 유역에 미치는 영향을 평가하고자 하였다. 이를 위해 기상연구소에서 구축한 고해상도의 A2 기후변화 시나리오를 이용하여 국내 5대강 수계에 대해 유출시나리오를 생산하고 결과를 분석하였다. 국내 유역을 139개의 단위유역으로 구분하고 LARS-WG 모형을 적용하여 유역별 기후변화 시나리오를 생산하였다. 지역화방법을 적용하여 유역별 장기유출분석 체계를 구축하였으며, PRMS 모형을 이용하여 총 120년에 대해 유출시나리오를 생산하고 과거 30년(1971-2000년) 동안에 대해 미래 세 기간(2001-2030년, 2031-2060년, 2061-2090년)에 대한 수자원의 변동성을 분석하였다. 각 유역에서의 기준기간에 대한 유출량의 변화율은 2015s 기간에서는 $-12%\sim14%$, 2045s 기간에서는 $-23%{\sim}16%$, 2075s 기간에서는 $-14%{\sim}20%$인 것으로 나타났다. 한강권역에서는 평균적으로 5%(2015s), 0.1%(2045s), 6%(2075s)로 다소 증가될 것으로 분석되었고, 낙동강권역에서는 0.1%(2015s), -10%(2045s), -3%(2075s)로 감소하는 것으로 나타났다. 섬영과 금강도 예측기간에 대해 감소하는 것으로 나타났다.