• Journal of Korea Port Economic Association
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• v.35 no.4
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• pp.107-120
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• 2019

Crude oil is a resource that is being used as a raw material in major industries, representing the price of the raw material market. It is also an important element that affects the shipping market in terms of fuel costs for freight vessels. As a result, crude oil and freight rates are closely related. Therefore, from January 2009 to June 2019, this study analyzed the dependency structure between oil price (WTI) and freight rates (BDI, BCI, BPI, BSI, and BHI) using daily data. The main results are summarized as follows. First, according to the copula results, survival Gumbel copula in WTI-BDI, Clayton copula in WTI-BCI, Survival Joe copula in WTI-BPI, Joe copula in WTI-BSI, and survival Gumbel copula in WTI-BHI were selected as the best-fitted model. Second, looking at Kendall's tau correlation, there is a positive correlation between BDI and oil price. Furthermore, freight rate index (BCI, BPI, BSI) and oil price show positive dependencies. In particular, the strongest dependence was found in BCI and oil price returns. However, BHI and oil price show a negative dependency. Third, looking at the tail-dependency structure, a pair between oil price and BDI, BCI showed a lower tail-dependency. The pair between oil price and BSI showed the upper tail-dependency.

• Proceedings of the Korea Water Resources Association Conference
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• 2010.05a
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• pp.571-575
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• 2010

Drought is a natural hazard with different properties that are usually dependent to each other. Therefore, a multivariate model is often used for drought frequency analysis. The Copula based bivariate drought severity and duration frequency analysis is applied in the current study in order to show the effect of tail behavior of drought severity and duration on the selection of a copula function for drought bivariate frequency analysis. Four copula functions, namely Clayton, Gumbel, Frank and Gaussian, were fitted to drought data of four stations in Iran and Canada in different climate regions. The drought data are calculated based on standardized precipitation index time series. The performance of different copula functions is evaluated by estimating drought bivariate return periods in two cases, [$D{\geq}d$ and $S{\geq}s$] and [$D{\geq}d$ or $S{\geq}s$]. The bivariate return period analysis indicates the behavior of the tail of the copula functions on the selection of the best bivariate model for drought analysis.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.55-67
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• 2021

This study aims to measure the lower tail dependence as risk contagion from the U.S. economy to 18 developing countries affecting FDI inflows using time-series data from 2005 to 2019. Firstly, we utilize four dynamic copula models, namely, Student-t, Clayton, rotated survival Gumbel, and rotated survival Joe, to measure the tail dependence structure between the U.S. and each developing country's real GDP growth. Secondly, we use the regression model to explore the contagion effects on FDI inflows. The results show that there is evidence of the tail dependence between the U.S and developing economies, indicating the presence of the contagion effects. Primarily, we observe that the degree of contagion effects of the global financial crisis varies across countries; a strong impact is observed in Chinese, South African, Russian, Colombian, and Mexican economic growth. Furthermore, we found significant contagion risk affecting FDI inflows positively in China, Indonesia, Columbia, Morocco, and negatively in the Philippines, Bulgaria, and South Africa. This study demonstrates the usefulness of the copulas model in terms of examining contagion. Our findings shed light on the influence of sound policies and regulations to cope with both positive and negative consequences of the contagion on the capital movement.

• Restorative Dentistry and Endodontics
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• v.46 no.4
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• pp.47.1-47.9
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• 2021

Objectives: This study aimed to use a laboratory model to evaluate the efficacy of an experimental bleaching agent. Materials and Methods: The model used human extracted molars that were treated and measured for bleaching efficacy. Teeth (n = 50) were distributed into 5 groups: Negative control (NC): immersion in water for 8 hours; Nanofibers (NFs): Experimental titanium dioxide nanofibers with stirring and light activation for 8 hours; Whitestrips (WS): Crest 3D White Glamorous White Whitestrips, 2 applications daily for 30 minutes, 14 days; 1% hydrogen peroxide (HP) standard: 1% hydrogen peroxide for 8 hours; and 30% HP standard: 30% hydrogen peroxide for 8 hours. Instrumental measurements were performed using a spectrophotometer. Results were recorded at baseline, 1-day post-bleaching, and 1-week post-bleaching. Kruskal-Wallis procedure was used to determine differences in color change. Pearson correlation was used to evaluate the relationship between visual and instrumental measurements. Tests of hypotheses were 2-sided with alpha = 0.05. Results: There was no significant difference in color parameters (L1, a1, b1, and shade guide units [SGU]) at baseline (p > 0.05). There was a significant difference among the groups for overall color change (ΔE^*ab) and change in shade guide units (ΔSGU) at 1-day and 1-week post-bleaching (p < 0.05). The higher the HP concentration, the higher the color change as expressed in ΔSGU and ΔE^*ab. The negative control exceeded the perceptibility threshold of ΔE^* = 1.2 regardless of time point. NFs showed a decrease in chroma, but were not statistically different compared to the negative control. Conclusions: The laboratory model was successful in screening an experimental bleaching agent.

• Journal of Korea Port Economic Association
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• v.36 no.4
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• pp.93-106
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• 2020

Trade is an important economic activity. In particular, since the establishment of the World Trade Organization (WTO), the scope of trade has been expanding due to events such as the entry of China into the WTO in 2001, the establishment of a multilateral trading system, mitigation and integration of trade barriers, and the establishment of the free trade agreement (FTA). Despite the expansion of the trade market, however, extreme events such as the 2008 global financial crisis, the 2016 Brexit, and the 2018 US-China trade war have had a direct negative impact on the trade market. Therefore, the present this study analyzed the dependence structure between the international shipping freight rate index, a variable representing trade activities, and the trade uncertainty between the US and China. The following is a summary of the analysis results. First, the US-Chinese trade policy uncertainty and international shipping freight rate index presented a Frank copula and rotated Clayton copula 270° distribution, respectively, showing the same distribution structure for each country. Second, the Kendall's tau correlation revealed a negative dependence between the international shipping freight rate index and US-Chinese trade policy uncertainty. The degree of dependence was greater in the combination of uncertainty in China's trade policy and international shipping freight rates. In other words, the dependence of global demand and trade policy uncertainty confirmed that China was stronger than the US. Finally, the tail dependence results revealed that the US-Chinese trade policy uncertainty and international shipping freight rates were independent of each other. This means that extreme events related to the trade policy uncertainty or international shipping rate index were not affected by each other.

• Genomics & Informatics
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• v.4 no.4
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• pp.161-166
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• 2006

The establishment of DNA microarray technology has enabled high-throughput analysis and molecular profiling of various types of cancers. By using the gene expression data from microarray analysis we are able to investigate diagnostic applications at the molecular level. The most important step in the application of microarray technology to cancer diagnostics is the selection of specific markers from gene expression profiles. In order to select markers of Immortalization and transformation we used c-myc and $H-ras^{V12}$ oncogene-transfected NIH3T3 cells as our model system. We have identified 8751 differentially expressed genes in the immortalization/transformation model by multivariate permutation F-test (95% confidence, FDR<0.01). Using the support vector machine algorithm, we selected 13 discriminative genes which could be used to predict immortalization and transformation with perfect accuracy. We assayed $H-ras^{V12}$-transfected 'transformed' cells to validate our immortalization/transformation dassification system. The selected molecular markers generated valuable additional information for tumor diagnosis, prognosis and therapy development.

• The Korean Journal of Applied Statistics
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• v.29 no.4
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• pp.753-771
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• 2016

Value at Risk (VaR) is widely used as an important tool for risk management of financial institutions. In this paper we discuss estimation and back testing for VaR of the portfolio composed of KOSPI, Dow Jones, Shanghai, Nikkei indexes. The copula functions are adopted to construct the multivariate distributions of portfolio components from marginal distributions that combine extreme value theory and GARCH models. Volatility models with t distribution of the error terms using Gaussian, t, Clayton and Frank copula functions are shown to be more appropriate than the other models, in particular the model using the Frank copula is shown to be the best.

• Communications for Statistical Applications and Methods
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• v.28 no.1
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• pp.59-79
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• 2021

Value at Risk (VaR) is one of the most common risk management tools in finance. Since a portfolio of several assets, rather than one asset portfolio, is advantageous in the risk diversification for investment, VaR for a portfolio of two or more assets is often used. In such cases, multivariate distributions of asset returns are considered to calculate VaR of the corresponding portfolio. Copulas are one way of generating a multivariate distribution by identifying the dependence structure of asset returns while allowing many different marginal distributions. However, they are used mainly for bivariate distributions and are not widely used in modeling joint distributions for many variables in finance. In this study, we would like to examine the performance of various copulas for high dimensional data and several different dependence structures. This paper compares copulas such as elliptical, vine, and hierarchical copulas in computing the VaR of portfolios to find appropriate copula functions in various dependence structures among asset return distributions. In the simulation studies under various dependence structures and real data analysis, the hierarchical Clayton copula shows the best performance in the VaR calculation using four assets. For marginal distributions of single asset returns, normal inverse Gaussian distribution was used to model asset return distributions, which are generally high-peaked and heavy-tailed.

• Journal of Fashion Business
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• v.18 no.4
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• pp.80-96
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• 2014

The purpose of this study is to consider the expression of costume through the review of cinema costumes and to provide the model of cooperation between fashion and movie industry by analysis of collaboration with fashion brands in the movie . The subjects are the 1974 film directed by Jack Clayton and the 2013 version by Baz Luhrmann. Cinema Fashion was studied by analyzing the costumes of the two main characters, Gatsby and Daisy, in each scene. Gatsby's costume appeared as a model of traditional American classic suit, sensitive G-G look that symbolizes social success and traditional casual style that reflects upper-class life style. Daisy's costume expressed pastel toned luxury flapper look, oriental art deco style, and prestigious jewelry representing high class. The collaborations with fashion brands were carried out with Ralph Lauren and Cartier in 1974 film, and Brooks Brothers, Prada, and Tiffany in 2013. The value of prestige brands that matched the images of the movie was utilized, but marketing strategies for the promotion of fashion goods were not enough in 1974 version. On the other hand, in 2013 film, the effects of collaboration of the movie and fashion brands were forecasted sufficiently and marketing campaigns for promotion were performed in a various ways. The characteristics of collaborations were as follows: (1) the usage of prestige brands value, (2) collections planning and promotion using the stories of a movie, (3) the usage of multidirectional digital media, and (4) multi-dimensional promotion using entertainment factors. In collaborations with the movie, fashion brands could make cooperative relationship to produce the positive effects for promotion and prestige image strategies and draw attention of the people to the movie and fashion.

• Proceedings of the Korea Water Resources Association Conference
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• 2022.05a
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• pp.305-305
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• 2022

A better approach for assessing meteorological drought occurrences is increasingly important in mitigating and adapting to the impacts of climate change, as well as strategies for developing early warning systems. The present study defines meteorological droughts as a period with an abnormal precipitation deficit based on monthly precipitation data of 18 gauging stations for the Han River watershed in the past (1974-2015). This study utilizes a Bayesian parameter estimation approach to analyze the effects of climate change on future drought (2025-2065) in the Han River Basin using the Coupled Model Intercomparison Project Phase 6 (CMIP6) with four bias-corrected general circulation models (GCMs) under the Shared Socioeconomic Pathway (SSP)2-4.5 scenario. Given that drought is defined by several dependent variables, the evaluation of this phenomenon should be based on multivariate analysis. Two main characteristics of drought (severity and duration) were extracted from precipitation anomalies in the past and near-future periods using the copula function. Three parameters of the Archimedean family copulas, Frank, Clayton, and Gumbel copula, were selected to fit with drought severity and duration. The results reveal that the lower parts and middle of the Han River basin have faced severe drought conditions in the near future. Also, the bivariate analysis using copula showed that, according to both indicators, the study area would experience droughts with greater severity and duration in the future as compared with the historical period.