• Communications for Statistical Applications and Methods
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• v.21 no.5
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• pp.445-459
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• 2014

This paper investigates the dependence structure of Korean financial markets (stock, foreign exchange (FX) rates and bond) using copula-GARCH and dynamic conditional correlation (DCC) models. We examine GJR-GARCH with skewed elliptical distributions and four copulas (Gaussian, Student's t, Clayton and Gumbel) to model dependence among returns, and then employ DCC model to describe system-wide correlation dynamics. We analyze the daily returns of KOSPI, FX (WON/USD) and KRX bond index (Gross Price Index) from $2^{nd}$ May 2006 to $30^{th}$ June 2014 with 2,063 observations. Empirical result shows that there is significant asymmetry and fat-tail of individual return, and strong tail-dependence among returns, especially between KOSPI and FX returns, during the 2008 Global Financial Crisis period. Focused only on recent 30 months, we find that the correlation between stock and bond markets shows dramatic increase, and system-wide correlation wanders around zero, which possibly indicates market tranquility from a systemic perspective.

• Journal of Korean Institute of Industrial Engineers
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• v.33 no.4
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• pp.410-418
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• 2007

This article suggests the methods to investigate adverse movement across global stock markets arising from insolvency of subprime mortgage in U.S. Our application deals with asymptotic tail dependence of daily stock index returns (KOSPI, DJIA, Shanghai Composite) of three countries; Korea, U.S., and China, over specific period via extreme value theory and copula functions. Daily stock index returns among three countries show higher extremal dependence during the period exposed to systematic shock. We confirm that extreme value theory and copula functions have potential to well describe the extreme dependence between three countries' daily stock index returns.

• Communications for Statistical Applications and Methods
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• v.27 no.2
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• pp.163-175
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• 2020

We consider a wide class of general weakly-dependent processes, called ψ-weak dependence, which unify almost all weak dependence structures of interest found in statistics under natural conditions on process parameters, such as mixing, association, Bernoulli shifts, and Markovian sequences. For detecting the tail behavior of the weakly dependent processes, change point tests are developed by means of cumulative sum (CUSUM) statistics with the empirical distribution functions of sample extremes. The null limiting distribution is established as a Brownian bridge. Its proof is based on the ψ-weak dependence structure and the existence of the phantom distribution function of stationary weakly-dependent processes. A Monte-Carlo study is conducted to see the performance of sizes and powers of the CUSUM tests in GARCH(1, 1) models; in addition, real data applications are given with log-returns of financial data such as the Korean stock price index.

• Proceedings of the Korean Society of Applied Pharmacology
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• 1993.04a
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• pp.77-77
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• 1993

약물 내성 (tolerance) 및 의존성 (dependence)은 그 약물이 지니고 있는 여러 가지 약리작용과 관련되어 형성된다. 약물의 반복투여 후, 나타나는 작용이 처음의 반응 (response) 보다 감소되어 나타나는 현상 즉, 내성과, 이와는 반대로 약물반복 투여 후 나타나는 작용이 처음의 반응보다 점점 증가하는 역내성 (reverse tolerance 또는 sensitization) 측정에 있어서 약물에 따라 적절한 검색 방법을 설명한다. 의존성에 있어서 약물 섭취 결과 mood가 변하거나 도취감 또는 만족감을 일으키게 되면 그 감각을 재 경험하고 싶다는 욕구가 일어나게 되는 정신적 의존성(psychic dependence)과, 약물을 반복 투여하다가 갑자기 투여를 중단 했을때 여러가지 생리학적인 또는 행동적인 변화가 급격히 증가하여 금단증상을 나타내는 신체적 의존성 (physical dependence) 측정 방법을 제시한다. 내성과 의존성은 근본적으로 다르지만 대부분의 경우 내성이 형성되면 의존성이 형성된다. 여기서는 주로 morphine과 psychostimulants를 투여한 후 나타나는 약리작용에 대한 내성과 opioids (마약성 진통제)의 의존성 평가 방법에 대한 model을 설명하고자 한다 진통성 내성(analgesic tolerance)에 있어서 진통제의 진통력은 진통력 측정 방법(tail pinch, paw-withdrawal, tail flick, tail-withdrawal, hot plate, writhing, etc)에 따라 차이가 있기 때문에 각각의 진통제의 정합한 내성 측정 방법을 결정할 필요가 있다. 역내성 (roversetolerance)은 cocaine, amphetamine, opioids둥의 만성투여에서 일어난다. 이들 역내성을 측정하는 한 방법으로 자발운동을 측정하는데 locomotor activity cage나 tilting cage를 이용한다. 정신적 의존성(psychic dependence)은 약물 섭취 욕구를 이용한 CPP (conditioned place preference)법을 소개한다. 신체적 의존성 (physical dependence)은 opioids를 만성적으로 투여한 후 naloxone으로 precipitation하여 나타난 여러 가지 금단증상을 측정하고 몇몇 평가 model을 제시한다.

• Environmental and Resource Economics Review
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• v.29 no.2
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• pp.145-170
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• 2020

This study analyzes the dependence structure between energy (crude oil, natural gas, coal) prices and economic (real and financial) uncertainty. Summary of the results of the dependence structure between energy prices and economic uncertainty analysis is as follows. First, the results of model selection show that the BB7 copula model for the pair of crude oil price and economic uncertainty, the Joe copula model for the pair of natural gas price and economic uncertainty, and the Clayton copula model for the pair of coal price and economic uncertainty were chosen. Second, looking at the dependency structure, it showed that the pair of energy (crude oil, natural gas, coal) prices and real market uncertainty show positive dependence. Whereas, the only pair of financial market uncertainty-crude oil price shows positive dependency. In particular, crude oil price was found to have the greatest dependence on economic uncertainty. Third, looking at the results of tail dependency, the pair of real market uncertainty-crude oil price and pair of real market uncertainty-natural gas price have an asymmetric relationship with the upper tail dependency. It can be seen that the only pair of financial market uncertainty-crude oil represents asymmetric relationships with the upper tail dependencies. In other words, combinations with asymmetric relationships have shown strong dependence when negative extreme events occur. On the other hand, tail dependence between economic uncertainty and coal price be not found.

• Communications for Statistical Applications and Methods
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• v.30 no.5
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• pp.467-483
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• 2023

In this research, a conversion function and a distortion associated with the conversion function are defined and used to derive a unit power Gompertz distortion. A new family of copulas is built using the global distorted function. Four base copulas, namely Clayton, Gumbel, Frank, and Gaussian, are distorted into the family. Some properties including tail dependence coefficients and tail order are examined. Kendall's tau formula is derived for new copulas when the base copula is Clayton, Gumbel, or Frank. The maximum pseudo-likelihood estimation method is employed, and a simulation study was performed. The log-likelihood and AIC are reported to compare the performance of the fitted copulas. According to the applied data, the results indicate that new distorted copulas with additional parameters improve the fit.

• Communications for Statistical Applications and Methods
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• v.15 no.2
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• pp.193-204
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• 2008

In this paper we study some positive dependence concepts, introduced by Caperaa and Genest (1990) and Shaked (1977b), for bivariate lomax distribution. In particular, we obtain some measures of association for this distribution and derive the tail-dependence coefficients by using copula function. We also compare Spearman's $\rho_s$ with Kendall's $\tau$ for bivariate lomax distribution.

• Communications of the Korean Mathematical Society
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• v.12 no.3
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• pp.755-768
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• 1997

In this paper we introduce a new concept of negative dependence of multivariate random variables. This concept is weaker than the negative orthant dependence(NOD) but it enjoys some properties and preservation results of NOD.

• Journal of Ginseng Research
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• v.23 no.4
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• pp.239-246
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• 1999

The analgesic effect of ginsenosides or morphine was determined following intrathecal (i.t.) administration in rat tail-flick test. The effects of intrathecal co-administration of ginsenosides with morphine on the development of opioid tolerance and dependence were also examined using rat tail-flick test and naloxone-pre-cipitated withdrawal, respectively. Administration of ginsenosides (i.t.) produced a weak antinociception in a dose-dependent manner. Administration of morphine (i.t.) also produced antinociception in a dose-dependent manner. The $ED_50$ was $1.20\;{\mu}g\;(1.14\~1.29\;{\mu}g)$. However, the acute co-administration of $200{\mu}g$ ginsenosides with 0.1-1.0${\mu}g$ morphine did not show additive effect on morphine induced analgesia in rat tail-flick test. I.t. co-administration of 200 ${\mu}g$ ginsenosides with 10 ${\mu}g$ morphine for 7 days inhibited development of tolerance induced by 10 ${\mu}g$ morphine in rat tail-flick test, although i.t. co-administration of 50 or 100 ${\mu}g$ ginsenosides with morphine was without effect. I.t. co-administration of 200 ${\mu}g$ ginsenosides for 7 days also partially attenuated the development of morphine dependence as assessed by naloxone-precipitated withdrawal. In conclusion, these results suggest that i.t. administered ginsenosides produce a weak antinociception in rat tail-flick test and also prevent opioid tolerance and attenuate opioid dependence in chronic treatment with morphine at the spinal sites.

• 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.