• Journal of the Institute of Electronics and Information Engineers
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• v.51 no.3
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• pp.105-111
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• 2014

Image resolution enhancement is a technique to generate high-resolution image through improving resolution of low-resolution obtained image. It is important to estimate correctly missing pixel value in low-resolution obtained image for image resolution enhancement. In this paper, multiple shortfall estimation method for image resolution enhancement is proposed. The proposed method estimate separate multiple shortfall by predictive degradation-restoration processing in sub-images of obtained image, and generate result image combining the estimated shortfall and interpolated obtained-image. Lastly, final reconstruction image is generated by deblurring of the result image. The experimental results demonstrate that the proposed method has the best results of all compared methods in objective image quality index: PSNR, SSIM, and FSIM. The quality of reconstructed image is superior to all compared methods, and the proposed method has better lower computational complexity than compared methods. The proposed method can be useful for image resolution enhancement.

• Journal of the Korean Data and Information Science Society
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• v.24 no.3
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• pp.625-636
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• 2013

In this paper we study four kernel machines for estimating expected shortfall, which are constructed through combinations of support vector quantile regression (SVQR), restricted SVQR (RSVQR), least squares support vector machine (LS-SVM) and support vector expectile regression (SVER). These kernel machines have obvious advantages such that they achieve nonlinear model but they do not require the explicit form of nonlinear mapping function. Moreover they need no assumption about the underlying probability distribution of errors. Through numerical studies on two artificial an two real data sets we show their effectiveness on the estimation performance at various confidence levels.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.171-180
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• 2016

Basel committee suggests using Value-at-Risk (VaR) and expected shortfall (ES) as a measurement for market risk. Various estimation methods of VaR and ES have been studied in the literature. This paper compares semi-parametric methods, such as conditional autoregressive value at risk (CAViaR) and conditional autoregressive expectile (CARE) methods, and a Gaussian quasi-maximum likelihood estimator (QMLE)-based method through back-testing methods. We use unconditional coverage (UC) and conditional coverage (CC) tests for VaR, and a bootstrap test for ES to check the adequacy. A real data analysis is conducted for S&P 500 index and Hyundai Motor Co. stock price index data sets.

• The Korean Journal of Applied Statistics
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• v.23 no.4
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• pp.651-668
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• 2010

Various estimators of two risk measures of a specific financial portfolio, Value-at-Risk and Expected Shortfall, are compared for each case of 1-day and 10-day horizons. We use the Korea Composite Stock Price Index data of 20-year period including the year 2008 of the global financial crisis. Indexes of five foreign stock markets are also used for the empirical comparison study. The estimator considering both the heavy tail of loss distribution and the conditional heteroscedasticity of time series is of main concern, while other standard and new estimators are considered too. We investigate which estimator is best for the Korean stock market and which one shows the best overall performance.

• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.153-186
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• 2007

It is well known that the distributional properties of financial asset returns exhibit fatter-tails and skewer-mean than the assumption of normal distribution. The correct assumption of return distribution might improve the estimated performance of the Value-at-Risk(VaR) models in financial markets. In this paper, we estimate and compare the VaR performance using the RiskMetrics, GARCH and FIGARCH models based on the normal and skewed-Student-t distributions in two daily returns of the Korean Composite Stock Index(KOSPI) and Korean Won-US Dollar(KRW-USD) exchange rate. We also perform the expected shortfall to assess the size of expected loss in terms of the estimation of the empirical failure rate. From the results of empirical VaR analysis, it is found that the presence of long memory in the volatility of sample returns is not an important in estimating an accurate VaR performance. However, it is more important to consider a model with skewed-Student-t distribution innovation in determining better VaR. In short, the appropriate assumption of return distribution provides more accurate VaR models for the portfolio managers and investors.

• The Korean Journal of Financial Management
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• v.23 no.2
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• pp.189-208
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• 2006

In this paper we are concerned with estimation of tail related risk measures for heteroscedastic financial time series and VaR limits that VaR tells us nothing about the potential size of the loss given. So we use GARCH-EVT model describing the tail of the conditional distribution for heteroscedastic financial series and adopt Expected Shortfall to overcome VaR limits. The main results can be summarized as follows. First, the distribution of stock return series is not normal but fat tail and heteroscedastic. When we calculate VaR under normal distribution we can ignore the heavy tails of the innovations or the stochastic nature of the volatility. Second, GARCH-EVT model is vindicated by the very satisfying overall performance in various backtesting experiments. Third, we founded the expected shortfall as an alternative risk measures.

• Korean Journal of Soil Science and Fertilizer
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• v.47 no.2
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• pp.92-99
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• 2014

The crop growing conditions make accurate predictions of yield ahead of harvest time difficult. Such predictions are needed by the government to estimate, ahead of time, the amount of crop required to be imported to meet the expected domestic shortfall. Corn and soybean especially are widely cultivated throughout the world and a staple food in many regions of the world. On the other hand, the CASA (Carnegie-Ames-Stanford Approach) model is a process-based model to estimate the land plant NPP (Net Primary Productivity) based on the plant growing mechanism. In this paper, therefore, a methodology for the estimation of corn/soybean yield ahead of harvest time is developed specifically for the growing conditions particular to Iowa and Illinois. The method is based on CASA model using MODIS data, and uses Net Primary Productivity (NPP) to predict corn/soybean yield. As a result, NPP at DOY 217 (in Illinois) and DOY 241 (in Iowa) tend to have high correlation with corn/soybean yields. The corn/soybean yields of Iowa in 2013 was estimated to be 11.24/3.55 ton/ha and Illinois was estimated to be 10.09/3.06 ton/ha. Errors were 6.06/17.58% and -10.64/-7.07%, respectively, compared with the yield forecast of the USDA. Crop yield distributions in 2013 were presented to show spatial variability in the state. This leads to the conclusion that NPP changes in the crop field were well reflected crop yield in this study.

• The Korean Journal of Applied Statistics
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• v.19 no.3
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• pp.481-504
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• 2006

VaR, a tail-related risk measure is now widely used as a tool for a measurement and a management of financial risks. For more accurate measurement of VaR, recently we are particularly concerned about the approach based on extreme value theory rather than the traditional method based on the assumption of normal distribution. However, many studies about the approaches using extreme value theory was done only for the univariate case. In this paper, we discuss portfolio risk measurements with modelling multivariate extreme value distributions by combining copulas and extreme value theory. We also discuss the estimation of ES together with VaR as portfolio risk measures. Finally, we investigate the relative superiority of EVT-copula approach than variance-covariance method through the back-testing of an empirical data.