• 대한기계학회논문집A
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• 제36권2호
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• pp.165-171
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• 2012

본 연구는 3 축 공작기계에 있어 기하학적 오차가 체적 오차에 미치는 영향을 해석적 방법으로 분석하는데 목적이 있다. 먼저 기하학적 오차가 공작기계의 체적 오차에 미치는 영향을 제시하는 수학적 모델인 오차합성모델에 대해 분석한다. 민감도 분석은 분산 기반의 방법(Variance based method)을 사용하였으며 해석적 방법으로 분석하기 위해 평균 및 분산에 대해 목적 함수의 유형별로 그 해를 제시한다. 마지막으로 3 축 공작기계의 예를 들어 민감도 분석을 하였다.

• 한국음향학회지
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• 제21권1호
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• pp.62-68
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• 2002

MVDR (Minimum Variance Distortionless Response) 빔형성 기법은 간섭신호의 영향을 최소화하는 기법으로서 방위각 분해능은 우수하나, 높은 주파수 분해능을 얻기 위해서는 오랜 시간 동안 관측한 많은 양의 데이터가 필요하다. 짧은 빔출력 시간에 높은 주파수 분해능을 얻기 위해 기존의 SW (Steered Minimum Variance) 기법에서는 조향 공분산행렬 (steered covariance matrix)을 이용하여 전체 주파수 대역에 대하여 동일한 적응 가중벡터 (adaptive weighting vector)를 사용한다. 본 논문에서는 각 주파수별로 보다 정확한 적응 가중벡터를 얻기 위해 전체 대역을 여러 개의 부대역 (subband)으로 나누고, 각 부대역에 대한 적응 가중벡터를 얻는 SSMV(Subband Steered Minimum Variance) 기법을 제안한다. 연산량과 부대역의 크기를 줄이기 위해 전체배열을 여러 개의 부대열 (subarray)로 나누고, 각 부대역별로 적응 가중벡터를 구한다. 제안한 SSMW 기법의 성능을 확인하기 위해 실제 해상실험 데이터를 이용하여 신호처리를 하였으며, 그 결과 제안한 기법의 우수한 성능을 확인하였다.

• Journal of the Korean Statistical Society
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• 제35권2호
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• pp.115-142
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• 2006

This paper studies the problem of option hedging when the underlying asset price process is a compound Poisson process. By adopting an asymptotic approach to let the security price converge to a continuous process, we find a closed-form hedging strategy that improves the classical Black-Scholes hedging strategy in a quadratic sense. We first show that the scaled Black-scholes hedging error has a limit in law, and that limit is decomposed into a part that can be traded away and a part that is purely unreplicable. The Black-Scholes hedging strategy is then modified by adding the replicable part of its hedging error and by adding the mean-variance hedging strategy to the nonreplicable part. Some results of simulation experiment s are also provided.

• 통상정보연구
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• 제12권1호
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• pp.153-175
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• 2010

This study conducts an analysis to verify an existence of co-movement among the exchange rates of Yuan-Dollar, Yen-Dollar and Won-Dollar by using time series data. An analysis period is divided into two periods. Therefore the first analysis period is from Dec. 17, 1997 to Jul. 21th. 20, 2005 and the second analysis period is from Jul. 25th, 2005 to Nov. 20th. 2009. This paper uses VAR model and daily data of exchange rates during the period. According to the result of an empirical analysis, yuan-dollar exchange rate has affected by th other variables ; yen-dollar exchange rate. It can be proved by result of an impulse response test and variance decomposition test in the second period. Therefore the won-dollar, yen-dollar, and Yen-dollar exchange rate has been influenced each other and the relationship will be maintained.

• East Asian Economic Review
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• 제22권3호
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• pp.371-400
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• 2018

Although asset price is an important factor in determining changes in external balances, no studies have investigated it from the Chinese perspective. In this study, I empirically examine the underlying driving forces of China's trade balances, particularly the role of asset price and the real exchange rate. To this end, I estimate a sign-restricted structural vector autoregressive model with quarterly time series data for China, using the Bayesian method. The results show that changes in asset price affect China's trade balances through private consumption and investment. Also, an appreciation of the real exchange rate tends to deteriorate trade balances in China. Furthermore, forecast error variance decomposition results indicate that changes in asset price (stock price and housing price) explain about 20% variability of trade balances, while changes in the real exchange rate can explain about 10%.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회 2007년도 추계학술대회 및 정기총회
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• pp.477-481
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• 2007

The purpose of this study is to provide the ideal forecasting model of cadastral survey work load through the Economeatric Analysis of Time Series, Granger Causality and VAR Model Analysis, it suggested the forecasting reference materials for the total amount of cadastral survey general work load. The main result is that the derive of the environment variables which affect cadastral survey general work load and the outcome of VAR(vector auto regression) analysis materials(impulse response function and forecast error variance decomposition analysis materials), which explain the change of general work load depending on altering the environment variables. And also, For confirming the stability of time series data, we took a unit root test, ADF(Augmented Dickey-Fuller) analysis and the time series model analysis derives the best cadastral forecasting model regarding on general cadastral survey work load. And also, it showed up the various standards that are applied the statistical method of econometric analysis so it enhanced the prior aggregate system of cadastral survey work load forecasting.

• The Journal of Asian Finance, Economics and Business
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• 제1권1호
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• pp.5-14
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• 2014

This paper empirically examines the short-run and long-run causal relationship between stock market prices and exchange rates in Chinese stock markets using monthly data from January 2002 to December 2012 retrieved from the National Bureau of Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity Wald tests, impulse responses, variance decomposition techniques and structural break tests are employed. This study found 1) long-run causality from exchange rates to stock prices in Chinese stock markets and 2) short-run causality from Japanese yen and Korean won exchange rates to stock prices in the Shanghai Stock Exchange strongly prevails while in the Shenzhen Stock Exchange weakly prevails. The impact of the global financial crisis from 2007 to 2009 on Chinese stock markets was insignificant.

• Communications for Statistical Applications and Methods
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• 제9권1호
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• pp.141-154
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• 2002

Foreign investors'shares and their influences on the Korean stock market have never been larger and greater before since the market was completely open to foreign investors in 1992 Quantitatively and qualitatively as well, as a result, changes in the patterns of foreign investments have caused enormous effects on the interactions of major macroeconomic indices of the Korean economy. This paper is intended to investigate the causal relations of the four variables, foreigners'buy-sell ratios, stock returns, ￦/＄ exchange rates and $\yen$/＄ exchange rates, over the two time periods of the pre-IMF (1996.1.1-1997.8.15) and the post-IMF (1997.8.16-2000.6.15) based on the daily data of the variables. Granger Causality Test, Forecast Error Variance Decomposition(FEVD) using VAR model and Impulse Response Function were implemented for the empirical analysis.

• Communications for Statistical Applications and Methods
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• 제23권2호
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• pp.163-177
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• 2016

We consider a jump diffusion process for high-frequency financial asset data. We apply the stationary bootstrapping to construct a bootstrap test for jumps. First-order asymptotic validity is established for the stationary bootstrapping of the jump ratio test under the null hypothesis of no jump. Consistency of the stationary bootstrap test is proved under the alternative of jumps. A Monte-Carlo experiment shows the advantage of a stationary bootstrapping test over the test based on the normal asymptotic theory. The proposed bootstrap test is applied to construct continuous-jump decomposition of the daily realized variance of the KOSPI for the year 2008 of the world-wide financial crisis.

• East Asian Economic Review
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• 제19권4호
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• pp.357-379
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• 2015

We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian sovereign CDS markets; that such co-movements tend to be larger between developing countries than between developed and developing countries; and that in the co-movements intra-regional nature is stronger than inter-regional nature. With the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six countries are affected more by cross-market spillovers than by their own-market spillovers. Furthermore, a rolling-sample analysis reveals that contagion in the Asian sovereign CDS markets expands during episodes of extreme economic and financial distress, such as the Lehman Brothers bankruptcy, the European financial crisis, and the US-credit downgrade.