• Journal of Korean Society of Disaster and Security
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• v.13 no.1
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• pp.1-11
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• 2020

One of the important problem in statistical hydrology is to estimate the appropriated probability distribution for a given sample data. For the problem, a goodness-of-fit test is conducted based on the similarity between estimated probability distribution and assumed theoretical probability distribution. Probability plot correlation coefficient test (PPCC) is one of the goodness-of-fit test method. PPCC has high rejection power and its application is simple. In this study, test statistics of PPCC were derived for generalized extreme value distribution (GEV) models based on L-moments and these statistics were suggested by the multiple and nonlinear regression equations for its usability. To review the rejection power of the newly proposed method in this study, Monte Carlo simulation was performed with other goodness-of-fit tests including the existing PPCC test. The results showed that PPCC-A test which is proposed in this study demonstrated better rejection power than other methods, including the existing PPCC test. It is expected that the new method will be helpful to estimate the appropriate probability distribution model.

• Korean Business Review
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• v.12
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• pp.119-138
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• 1999

In this study, we empirically investigate the relations between trading volumes and our proxies for information flows and differences of opnion. Econometric methods to analyze the relations in the equity and KOSPI 200 futures markets include Generalized Method of Moment(GMM) and Generalized Autoregressive Conditional Heteroscedasticity(GARCH) models. Major findings from our empirical analyses are summarized as follows; (i) Trading volume in both the equity and KOSPI 200 futures markets varies positively with proxies for information flows. We find that trading volumes in both markets are closely related to firm-specific information rather than market-wide information. (ii) Trading volumes in the equity and KOSPI 200 futures market have positive relations with our proxies for differences of opinion. (iii) Day-of-the-week effect is clear in both markets. Trading volumes in both the equity and KOSPI 200 futures markets tend to be relatively low early and late in the week. (IV) Futures contract life-cycle effect is clear. In other words, futures trading volume increses in the period around contract expiration. (V) In addition, ARCH effect on trading volumes is reported significant enough to take into account. The disturbance of trading volumes in both markets seem to be conditional heteroscedastic.

• Management & Information Systems Review
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• v.33 no.3
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• pp.21-33
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• 2014

This study investigated the effect of protection of property right on foreign direct investment. With the US. multinational corporations over the periods from 2000 to 2008, this study used the FEM and system GMM, and found that the change of protection of property right level positively affects attracting foreign direct investment while protection of property right level itself does not. In the analyses on high income and low income countries(by income level), only the change of protection of property right level positively affects attracting foreign direct investment in low income countries. In considering the problem of heteroscedasticity on the error term, this study used FGLS and PCSE estimation methods. It is reported that the change of protection of property right level positively affects attracting foreign direct investment while protection of property right level itself does not. And only the change of protection of property right level positively affects attracting foreign direct investment in low income countries. This result means the change of protection of property right level is a key determinant to attract foreign direct investment.