• Title/Summary/Keyword: Out of distribution

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Comparing Among GARCH-VaR Models and Distributions from Korean Stock Market (KOSPI) :Focusing on Long and Short Positions (한국 KOSPI시장의 GARCH-VaR 측정모형 및 분포간 성과평가에 관한 연구:롱 및 숏 포지션 전략을 중심으로)

  • Son, Pan-Do
    • The Korean Journal of Financial Management
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    • v.25 no.4
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    • pp.79-116
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    • 2008
  • This paper examines and estimates GARCH-VaR models (RiskMetrics, GARCH, IGARCH, GJR and APARCH) with three different distributions such as Gaussian normal, Student-t, Skewness Student-t Distribution using the daily price data from Korean Stock Market during Jan. 1, 1980-Sept. 30, 2004. It also compares them. In-sample test, this finds that for all confidence level as $90%{\sim}99.9%$, the performance and accuracy of IGARCH with ${\lambda}=0.87$ and skewness Student-t distribution are superior to other models and distributions in long position, but GARCH and GJR with Skewness Student-t distribution in short position. For above 99% confidence level, the performance and accuracy of IGARCH with ${\lambda}=0.87$ in both long and short positions are superior to other models and distributions, but Skewness Student-t distribution for long position and Student-t distribution for short position are more accuracy and superior to other distributions. In-out-of sample test, these results also confirm the evidences that the above findings are consistent as well.

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A study on the improvement of distribution system by overseas agricultural investment (해외농업투자에 따른 유통체계 개선방안에 관한 연구)

  • Sun, Il-Suck;Lee, Dong-Ok
    • Journal of Distribution Science
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    • v.8 no.3
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    • pp.17-26
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    • 2010
  • Recently concerns have been raised due to the unbalanced supply of crops: the price of crops has been unstable and at one point the price went up so high that the word Agflation(agriculture+ inflation) was coined. Korea, in particular, is a small-sized country and needs to secure the stable supply of crops by investing in the produce importation at a national level. Investment in foreign produce importation is becoming more important as a measure for sufficient supply of crops, limited supply of domestic crops, weakened farming conditions worldwide, as well as recent changes in the use of crops due to the development of bio-fuels, influence of carbon emission on crops, the price increase in crops, and influx of foreign hot money. However, there are many problems with investing in foreign produce importation: lack of support from the government; lack of farming information and technology; difficulty in securing the capital; no immediate pay-off from the investment and insufficient management. Although foreign produce is originally more price-competitive than domestic produce, it loses its competiveness in the process of importation (due to high tariffs) and poor distribution system, which makes it difficult to sell in Korea. Therefore, investment in foreign produce importation is being questioned for feasibility; to make it possible, foreign produce must maintain the price-competitiveness. Especially, harvest of agricultural products depends on natural and geographical conditions of each country and those products have indigenous properties, so distribution system according to import and export of agricultural products should be treated more carefully than that of other industries. Distribution costs are differentiated into each item and include cost of sorting and wrapping, cost of wrapping materials, cost of domestic transport, cost of international transport and cost of clearing customs for import and export. So transporting and storing agricultural products generates considerable costs compared with other products. Also, due to upgrade of dietary life, needs for stability, taste and visible quality toward food including agricultural products are being raised and wrong way of storage causes decomposition of food and loss of freshness, making the storage more difficult than that in room temperature, so storage and transport in distribution of agricultural products needs specialty. In addition, because lack of specialty in distribution and circulation such as storage and wrapping does not solve limit factors in distance, the distribution and circulation has been limited to a form of import and export within short-distant region. Therefore, need for distribution out-sourcing which can satisfy specialty in managing distribution and circulation and it is needed to establish more effective distribution system. However, existing distribution system of agricultural products is exposed to various problems including problems in distribution channel, making distribution and strategy for distribution and those problems are as follows. First, in case of investment in overseas agricultural industry, stable supply of the products is difficult because areas of production are dispersed widely and influenced by outer factors due to including overseas distribution channels. Also, at the aspect of quality, standardization of products is difficult, distribution system is quite complicated and unreasonable due to long distribution channels according to international trade and financial and institutional support is not enough. Especially, there are quite a lot of ineffective factors including multi level distribution process, dramatic gap between production cost and customer's cost, lack of physical distribution facilities and difficulties in storage and transport due to lack of wrapping containers. Besides, because import and export of agricultural products has been manages under the company's own distribution according to transaction contract between manufacturers and exporting company, efficiency is low due to excessive investment in fixed costs and lack of specialty in dealing with agricultural products causes fall of value of products, showing the limit to lose price-competitiveness. Especially, because lack of specialty in distribution and circulation such as storage and wrapping does not solve limit factors in distance, the distribution and circulation has been limited to a form of import and export within short-distant region. Therefore, need for distribution out-sourcing which can satisfy specialty in managing distribution and circulation and it is needed to establish more effective distribution system. Second, among tangible and intangible services which promote the efficiency of the whole distribution, a function building distribution environment which includes distribution information, system for standard and inspection, distribution finance, system for diversification of risks, education and training, distribution administration and tax system is wanted. In general, such a function building distribution environment is difficult to be changed and supplement innovatively because its effect compared with investment does not appear immediately despite of its necessity. Especially, in case of distribution of agricultural products, as a function of collecting and distributing is performed individually through various channels, the importance of distribution information and standardization is getting more focus due to the problem of repetition of work and lack of specialty. Also, efficient management of distribution is quite difficult due to lack of professionals in distribution, so support to professional education is needed. Third, though effort to keep self-sufficiency ratio of staple food, rice is regarded as important at the government level, level of dependency on overseas of others crops is high. Therefore, plan for stable securing food resources aside from staple food is also necessary. Especially, governmental organizations of agricultural products distribution in Korea are production-centered and have unreasonable structure whose function at the aspect of distribution and consumption is quite insufficient. And development of new distribution channels which can deal with changes in distribution environment and they do not achieve actual results of strategy for distribution due to non-positive strategy for price distribution. That is, it implies the possibility that base for supply will become vulnerable because it does not mediate appropriate interests on total distribution channels such as manufacturers, wholesale dealers and vendors by emphasizing consumer protection excessively in the distribution of agricultural products. Therefore, this study examined fundamental concept and actual situation for our investment to overseas agriculture, drew necessities, considerations, problems, etc. of overseas agricultural investment and suggested improvements at the level of distribution for price competitiveness of agricultural products cultivated in overseas under five aspects; government's indirect support, distribution's modernization and distribution information function's strengthening, government's political support for distribution facility, transportation route, load and unloading works' improvement, price competitiveness' securing, professional manpower's cultivation by education and training, etc. Here are some suggestions for foreign produce importation. First, the government should conduct a survey on the current distribution channels and analyze the situation to establish a measure for long-term development plans. By providing each agricultural area with a guideline for planning appropriate production of crops, the government can help farmers be ready for importation, and prevent them from producing same crops all at the same time. Government can sign an MOU with the foreign government and promote the importation so that the development of agricultural resources can be stable and steady. Second, the government can establish a strategy for an effective distribution system by providing farmers and agriculture-related workers with the distribution information such as price, production, demand, market structure and location, feature of each crop, and etc. In order for such distribution system to become feasible, the government needs to reconstruct the current distribution system, designate a public organization for providing distribution information and set the criteria for level of produce quality, trade units, and package units. Third, the government should provide financial support and a policy to seek an efficient distribution channel for foreign produce to be delivered fresh: the government should expand distribution facilities (for selecting, packaging, storing, and processing) and transportation vehicles while modernizing old facilities. There should be another policy to improve the efficiency of unloading, and to lower the cost of distribution. Fourth, it is necessary to enact a new law covering exceptional cases for importing produce in order to maintain the price competitiveness; currently the high tariffs is keeping the imported produce from being distributed domestically. However, the new adjustment should be made carefully within the WTO regulations since it can create a problem from giving preferential tariffs. The government can also simplify the distribution channels in order to reduce the cost in the distribution process. Fifth, the government should educate distributors to raise the efficiency and to modernize the distribution system. It is necessary to develop human resources by educating people regarding the foreign agricultural environment, the produce quality, management skills, and by introducing some successful cases in advanced countries.

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The Study on the Compaction Characteristics of Underground Structural Backfill with Reclaimed Soil (준설토를 이용한 지하구조물 뒷채움 다짐특성에 관한 연구)

  • 김영웅;박기순;손형호;김종국
    • Proceedings of the Korean Geotechical Society Conference
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    • 1999.03a
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    • pp.357-364
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    • 1999
  • The purpose of this study is to analysis the grain distribution and compaction characteristics of structural backfill with reclaimed soil. Five(5) reclaimed soil samples which passed #200 sieve have been used in the test. The study showed that the maximum dry density and the bearing value rate turned out to be becoming smaller when the more the quantity passed #200 sieve, the smaller the soil grain. The maximum dry density value calculated from the compaction md relative density test showed wet method > compaction method > dry method. The correlation coefficient between Rc and Dr based on the grain distribution and the compaction characteristics showed that the maximum dry density value by the wet method is little higher than the compaction method and dry method.

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Noninformative priors for the log-logistic distribution

  • Kang, Sang Gil;Kim, Dal Ho;Lee, Woo Dong
    • Journal of the Korean Data and Information Science Society
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    • v.25 no.1
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    • pp.227-235
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    • 2014
  • In this paper, we develop the noninformative priors for the scale parameter and the shape parameter in the log-logistic distribution. We developed the first and second order matching priors. It turns out that the second order matching prior matches the alternative coverage probabilities, and is a highest posterior density matching prior. Also we revealed that the derived reference prior is the second order matching prior for both parameters, but Jerffrey's prior is not a second order matching prior. We showed that the proposed reference prior matches the target coverage probabilities in a frequentist sense through simulation study, and an example based on real data is given.

Budget Distribution for Computer System Performance Enhancement Using Critical Sets (임계집합을 이용한 컴퓨터 시스템 성능향상 투자배분)

  • 박기현
    • Journal of the Korea Society for Simulation
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    • v.3 no.2
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    • pp.49-56
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    • 1994
  • Performance measurement and analysis for computer systems has been studied for a long time. However, little attention has been focused on how to distribute a given budget to each part of a computer system for enhancing system performance maximally. In traditional approaches, performance enhancement is achieved by identifying a dominant system bottleneck and enhancing the bottleneck's performance. These approaches, however, often bring problems since the removal of a bottleneck may result in other bottlenecks. This paper proposes an approximated method for such budget distribution problem. For budget distribution, a critical set is defined. The set contains the servers of which performance changes affect the overall system performance significantly. Then, the given budget is distributed properly to every server in the critical set. To verify the proposed method, two benchmark experiments are carried out I SLAM environments. The experimental results show that the proposed method provides better results than the traditional method does in many cases.

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A Survey for the Air Treatment System according to the Position of HVAC and the Feature of Air Duct Structure in the Train (철도 차량의 HVAC 위치에 따른 공기조화 시스템 및 Air Duct 구조의 특성에 관한 고찰)

  • Jung, Hwa-Sic;Park, Jae-Hong;Yeom, Gyu-Hak
    • Proceedings of the KSR Conference
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    • 2007.05a
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    • pp.1330-1335
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    • 2007
  • The HVAC and the air duct is to make optimal indoor environment. By the HVAC position, method and the air duct construction, the important elements can affect on cooling performance, passengers' convenience, and energy efficiency. According to this, there are features, such as the indoor temperature distribution, cooling performance, velocity distribution from diffuser, tend to be come out variously. Also, comparing and analysing temperature distribution, cooling performance, air velocity, noise based on the real practical vehicle tests, it shows features in detail. Besides, it can lead to make design the system of HVAC & air duct effectively.

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Research of Optical Design Method for Prism Luminaire (조명기구용 프리즘의 광학 설계법에 관한 연구)

  • Seok, Dae-Il;Lee, Chang-Mo;Kim, Hoon
    • Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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    • v.21 no.6
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    • pp.19-25
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    • 2007
  • We studied prism design method for actual light source that have bulk in order to accomplish particular intensity distribution. When we know incidence angle and try to send ray to given direction, numerical formula that yields prism vertical angle, and then vertical angles were calculated sequentially. After analyzing problem that supposing to point light source, supplemented this and derived applicable prism design method on bulk light source. The intensity distribution and efficiency that came out by each design results were compared and analyzed, we got improved results through supplemented design method.

Irradiance Distribution Analysis of Inclined-cut Multi-mode Optical Fiber for Optical Microphone Design (광 마이크로폰 설계를 위한 경사 절단된 멀티모드 광섬유의 조도분포 해석)

  • Kim, Kyong-Woo;Che, Woo-Seong;Kwon, Hyu-Sang
    • Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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    • 2008.11a
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    • pp.693-698
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    • 2008
  • For designing intensity modulation type optical microphone, the irradiance distribution which can be applied to inclined-cut geometrical configuration is suggested. The model is important in analysis of response characteristics f3r intensity modulation type optical microphone. To overcome low sensitivity problem in intensity modulation type optical microphone, inclined-cut optical fiber is considered here. Based on optical geometry, the inclined-cut optical fiber sensor is designed and fabricated. The experiments are carried out to evaluate sensor performance.

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Multi-Stage Supply Chain Network Design Using a Cooperative Coevolutionary Algorithm Based on a Permutation Representation (순열 표현 기반의 협력적 공진화 알고리즘을 사용한 다단계 공급사슬 네트워크의 설계)

  • Han, Yong-Ho
    • Korean Management Science Review
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    • v.29 no.2
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    • pp.21-34
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    • 2012
  • This paper addresses a network design problem in a supply chain system that involves locating both plants and distribution centers, and determining the best strategy for distributing products from the suppliers to the plants, from the plants to the distribution centers and from the distribution centers to the customers. This paper suggests a cooperative coevolutionary algorithm (CCEA) approach to solve the model. First, the problem is decomposed into three subproblems for each of which the chromosome population is created correspondingly. Each chromosome in each population is represented as a permutation denoting the priority. Then an algorithm generating a solution from the combined set of chromosomes from each population is suggested. Also an algorithm evaluating the performance of a solution is suggested. An experimental study is carried out. The results show that our CCEA tends to generate better solutions than the previous CCEA as the problem size gets larger and that the permutation representation for chromosome used here is better than other representation.

Irradiance Distribution Analysis of Inclined-cut Multi-mode Optical Fiber for Optical Microphone Design (광 마이크로폰 설계를 위한 경사 절단된 멀티모드 광섬유의 조도분포 해석)

  • Kim, Kyong-Woo;Che, Woo-Seong;Kwon, Hyu-Sang
    • Transactions of the Korean Society for Noise and Vibration Engineering
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    • v.18 no.12
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    • pp.1270-1277
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    • 2008
  • For designing intensity modulation type optical microphone, the irradiance distribution which can be applied to inclined-cut geometrical configuration is suggested. The model is important in analysis of response characteristics for intensity modulation type optical microphone. To overcome low sensitivity problem in intensity modulation type optical microphone, inclined-cut optical fiber is considered here. Based on optical geometry, the inclined-cut optical fiber sensor is designed and fabricated. The experiments are carried out to evaluate sensor performance.