• Journal of Korea Port Economic Association
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• v.39 no.2
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• pp.129-141
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• 2023

This study analyzes the dynamic characteristics of daily freight rates of dry bulk and tanker shipping markets and their forecasting accuracy by using the error correction models. In order to calculate the error terms from the co-integrated time series, this study uses the common stochastic trend model (CSTM model) and vector error correction model (VECM model). First, the error correction model using the error term from the CSTM model yields more appropriate results of adjustment speed coefficient than one using the error term from the VECM model. Furthermore, according to the adjusted determination coefficients (adjR²), the error correction model of CSTM-model error term shows more model fitness than that of VECM-model error term. Second, according to the criteria of mean absolute error (MAE) and mean absolute scaled error (MASE) which measure the forecasting accuracy, the results show that the error correction model with CSTM-model error term produces more accurate forecasts than that of VECM-model error term in the 12 cases among the total 15 cases. This study proposes the analysis and forecast tasks 1) using both of the CSTM-model and VECM-model error terms at the same time and 2) incorporating additional data of commodity and energy markets, and 3) differentiating the adjustment speed coefficients based the sign of the error term as the future research topics.

• Journal of Korea Water Resources Association
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• v.30 no.3
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• pp.269-278
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• 1997

Operating rules, the basic principle of reservoir operation, are mostly developed from maximum or minimum, mean inflow series so that those rules cannot be used in practical operating situations to estimate the expected benefits or provide the operating policies for uncertainty conditions. Many operating rules based on the deterministic method that considers all operation variables including inflows as known variables can not reflect to uncertainties of inflow variations. Explicit operating rules can be developed for improving the weakness. In this method, stochastic trend of inflow series, one of the reservoir operation variables, can be directly method, the stochastic technique was applied to develop reservoir operating rule. In this study, stochastic dynamic programming using the concepts was applied to develop optimal operating rule for the Chungju reservoir system. The developed operating rules are regarded as a practical usage because the operating policy is following up the basic concept of Lag-1 Markov except for flood season. This method can provide reservoir operating rule using the previous stage's inflow and the current stage's beginning storage when the current stage's inflow cannot be predicted properly.

• Atmosphere
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• v.18 no.3
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• pp.199-206
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• 2008

This study employs a structural time series method in order to model and estimate stochastic trend of surface temperatures of the globe, Northern Hemisphere, and Northeast Asia ($20^{\circ}N{\sim}60^{\circ}N$, $100^{\circ}E{\sim}150^{\circ}E$). For this study the reanalysis data CRUTEM3 (CRU/Hadley Centre gridded land-surface air temperature Version 3) is used. The results show that in these three regions range from $0.268^{\circ}C$ to $0.336^{\circ}C$ in 1997, whereas these vary from $0.423^{\circ}C$ to $0.583^{\circ}C$ in 2007. The annual mean temperature over Northeast Asia has increased by $0.031^{\circ}C$ in 2007 compared to 1997. The climate change in surface temperatures over Northeast Asia is slightly higher than that over the Northern Hemisphere.

• Water for future
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• v.28 no.1
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• pp.81-90
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• 1995

This study attempts to develop a stochastic system model for extension and prediction of monthly runoff series in river basins where the observed runoff data are insufficient although there are long-term hydrometeorological records. For this purpose, univariate models of a seasonal ARIMA type are derived from the time series analysis of monthly runoff, monthly precipitation and monthly evaporation data with trend and periodicity. Also, a causual model of multiple input-single output relationship that take monthly precipitation and monthly evaporation as input variables-monthly runoff as output variable is built by the cross-correlation analysis of each series. The performance of the univariate model and the multiple input-output model were examined through comparisons between the historical and the generated monthly runoff series. The results reveals that the multiple input-output model leads to the improved accuracy and wide range of applicability when extension and prediction of monthly runoff series is required.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.583-591
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• 2020

Employability has recently become the first target of the national higher education. Its model has been updated to catch the new trend of Industry 4.0. This paper aims at analyzing and ranking the determinants of undergraduate employability, focusing on business and economics majors in Ho Chi Minh City, Vietnam. In-depth interviews with content analysis have been primarily conducted to reach an agreement on a key group of factors: human capital, social capital, and identity. The Stochastic Fractal Search Algorithm (SFSA) is then applied to rank the sub-factors. Human capital is composed of three major elements: attitude, skill, and knowledge. Social capital is approached at both structural and cognitive aspects with three typical types: bonding, bridging, and linking. The analysis has confirmed the change of priority in employability determinants. Human capital is still a driver but the priority of attitude has been confirmed in the contemporary context. Then, social capital with the important order of linking, bridging, and bonding is emphasized. Skill, knowledge, and identity share the least weight in the model. It is noted that identity is newly proposed in the model but a certain role has been found. The findings are crucial for education strategies to enhance university graduate employability.

• The Korean Journal of Applied Statistics
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• v.28 no.3
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• pp.393-406
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• 2015

We examine how to model mortality risk using the adaptation of the mean-reverting processes for the two factor model proposed by Cairns et al. (2006b). Mortality improvements have been recently observed in some countries such as United Kingdom; therefore, we assume long-run mortality converges towards a trend at some unknown time and the mean-reverting processes could therefore be an appropriate stochastic model. We estimate the parameters of the two-factor model incorporated with mean-reverting processes by a Metropolis-Hastings algorithm to fit United Kingdom mortality data from 1991 to 2015. We forecast the evolution of the mortality from 2014 to 2040 based on the estimation results in order to evaluate the issue price of a longevity bond of 25 years maturity. As an application, we propose a method to quantify the speed of mortality improvement by the average mean reverting times of the processes.

• Journal of Korea Water Resources Association
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• v.31 no.4
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• pp.363-373
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• 1998

In this study, random flow field in a nonstationary porous formation is characterized through cross covariances of the velocity with the log conductivity and the head. The hydraulic head and the velocity in saturated aquifers are found through stochastic analysis of a steady, two-dimensional flow field without recharge. Expression for these cross covariances are obtained in quasi-analytic forms all in terms of the parameters which characterize the nonstationary conductivity field and the average head gradient. The cross covariances with a Gaussian correlation function for the log conductivity are presented for two particular cases where the trend is either parallel or perpendicular to the mean head gradient and for separation distances along and across the mean flow direction. The results may be of particular importance in transport predictions and conditioning on field measurements when the log conductivity field is suspected to be nonstationary and also serve as a benchmark for testing nonstationary numerical codes. Keywords : cross covariance, nonstationary conductivity field, saturated aquifer, stochastic analysis.

• Environmental and Resource Economics Review
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• v.30 no.3
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• pp.471-501
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• 2021

We measure Environmental Efficiency (EE) based on CO₂ in four income groups from 1998 to 2018, using the Meta Stochastic Frontier Analysis method by Input Distance Function. Our results showed that economic growth and energy consumption would increase carbon dioxide emissions, and increasing labor and capital input will reduce it. Moreover, we compared Group Environmental Efficiency (GEE), Meta Environmental Efficiency (MEE), and Environmental Gap Ratio (EGR). The results showed that GEEs were be overestimated. Furthermore, the MEE showed a downward trend during this period. The lower-middle-income group had the highest EGR performance. High-income and upper-middle-income groups showed less efficiency in MEE and EGR. To improve environmental efficiency, we must reduce fossil fuels and find more scientific and technological ways to solve existing environmental problems as soon as possible.

• Journal of Korea Trade
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• v.26 no.1
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• pp.20-32
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• 2022

Purpose - This paper intends to make theoretical analysis and empirical test on the factors influencing China's export to South Korea, and draw conclusions about China's export efficiency and trade potential. Based on the conclusions, the reasons for China's trade deficit with South Korea are found, and a solution is put forward for solving the problem of China's trade deficit with South Korea. Design/methodology - Based on the data of 2004-2017 years in China, this paper uses the stochastic frontier gravity model to analyze the influencing factors of China's export to South Korea, as well as the export efficiency of each province and the export potential that can be explored. Findings - First, in terms of the factors affecting China's export trade to South Korea, the GDP of the provinces and cities in China, the FDI of South Korea to the provinces and cities in China, the GDP of South Korea, the population and education level of provinces and cities in China can significantly promote the export scale of Chinese provinces and cities to South Korea. The distance between Chinese provincial capitals and the South Korean capital significantly hinders Chinese exports to South Korea; Second, in terms of export trade efficiency, the trade exchange rate of the economically developed cities along the eastern coast of China and several provinces that are close to South Korea is higher than that of the cities in the central and western regions; Third, economic globalization makes trade more convenient, the average export trade efficiency of China's exports to South Korea showed an upward trend. However, under the influence of the 2008 global financial crisis, the export trade efficiency declined from 2008 to 2009, indicating that the impact of the financial crisis on the trade efficiency cannot be ignored. Originality/value - This paper finds out the influencing factors of China's export to South Korea, analyzes the export efficiency of different provinces and cities, excavates the export potential, and puts forward some suggestions for the balanced development of China and South Korea trade in the next step.

• Water for future
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• v.29 no.5
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• pp.215-222
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• 1996

An expression for the cross covariance of the logconductivity and the head in nonstationary porous formation is obtained. This cross covariance plays a key role in the inverse problem, i.e., in inferring the statistical characteristics of the conductivity field from head data. The nonstationary logconductivity is modeled as superposition of definite linear trend and stationary fluctuation and the hydraulic head in saturated aquifers is found through stochastic analysis of a steady, two-dimensional flow. The cross covariance with a Gaussian correlation function is investigated for two particular cases where the trend is either parallel or normal to the head gradient. The results show that cross covariances are stationary except along separation distances parallel to the mean flow direction for the case where the trend is parallel to head gradient. Also, unlike the stationary model, the cross covariance along distances normal to flow direction is non-zero. From these observations we conclude that when a trend in the conductivity field is suspected, this information must be incorporated in the analysis of groundwater flow and solute transjport.