• Proceedings of the Korea Water Resources Association Conference
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• 2022.05a
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• pp.141-141
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• 2022

Drought is a global phenomenon that affects almost all landscapes and causes major damages. Due to non-linear nature of contributing factors, drought occurrence and its severity is characterized as stochastic in nature. Early warning of impending drought can aid in the development of drought mitigation strategies and measures. Thus, drought forecasting is crucial in the planning and management of water resource systems. The primary objective of this study is to make improvement is existing drought forecasting techniques. Therefore, we proposed an improved version of Seasonal Autoregressive Integrated Moving Average (SARIMA) model (MD-SARIMA) for reliable drought forecasting with three years lead time. In this study, we selected four watersheds of Han River basin in South Korea to validate the performance of MD-SARIMA model. The meteorological data from 8 rain gauge stations were collected for the period 1973-2016 and converted into watershed scale using Thiessen's polygon method. The Standardized Precipitation Index (SPI) was employed to represent the meteorological drought at seasonal (3-month) time scale. The performance of MD-SARIMA model was compared with existing models such as Seasonal Naive Bayes (SNB) model, Exponential Smoothing (ES) model, Trigonometric seasonality, Box-Cox transformation, ARMA errors, Trend and Seasonal components (TBATS) model, and SARIMA model. The results showed that all the models were able to forecast drought, but the performance of MD-SARIMA was robust then other statistical models with Wilmott Index (WI) = 0.86, Mean Absolute Error (MAE) = 0.66, and Root mean square error (RMSE) = 0.80 for 36 months lead time forecast. The outcomes of this study indicated that the MD-SARIMA model can be utilized for drought forecasting.

• Proceedings of the Korea Water Resources Association Conference
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• 2022.05a
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• pp.373-373
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• 2022

전세계적으로 기후변화로 인해 3년 이상의 기간동안 지속되는 다년 가뭄의 빈도와 심도가 증가하고 있으며, 이로 인한 피해도 증가하고 있다. 본 연구에서는 이를 반영하여 전국 다목적댐 및 용수댐에서 모두 주요 가뭄 대응 대책으로 사용되고 있는 현행 용수공급 조정기준을 개선하는 방안을 제안하고자 한다. 가장 먼저, 장기 기억 반영이 가능한 시계열 모형인 ARFIMA(Autoregressive Fractional Integrated Moving Average) 모델을 사용하여 다양한 강도의 장기 기억을 가지고 있는 연간 유입량을 생성하였다. 이후, 연간 유입량을 k-최근접 이웃 방법 기반의 배분 도구를 사용하여 10일 단위 유입량으로 분배하였으며 이를 대체 용수공급 조정기준을 생성하기 위한 입력 변수로 사용하였다. 새로운 용수공급 조정기준은 매 시점마다 새롭게 업데이트되는 정보를 통해 현행 기준과 함께 적응형으로 저수지 운영에 사용되었다. 다년 가뭄이 반영된 유입량으로 적응형으로 저수지 운영을 관측 유입량 하에서 빈도와 크기의 측면에서 분석을 시행하였다. 그 결과, 심각한 실패(물 부족 비율 30% 이상)의 빈도의 경우 현행 기준 운영 시 6.14%에서 적응형 운영 시행 시 2.99%로 개선되었지만, 전체 기간 동안의 신뢰도는 적응형 운영보다(26.42%) 현행 운영 하에서 더욱 나은 결과를 보였다(41.19%). 위와 같은 분석 결과는 심각한 실패의 빈도와 크기를 줄이는 용수공급 조정기준을 시행하는 원론적인 목적과 일치하기에, 본 연구에서 제안하는 다년 가뭄에 대비한 적응형 운영 방안은 향후 길게 지속되는 가뭄 조건에서 저수지 운영 정책으로 활용될 수 있음을 확인하였다.

• International Area Studies Review
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• v.15 no.1
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• pp.107-133
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• 2011

This paper aims to analyze the causal relationships between agricultural exports and economic growth in the U.S. economy by 50 states. Using the annual data from 1973 to 2007, the theoretical methodologies based on the export-led growth (ELG) model under the static model, the impulse response function (IRF) and forecast error variation decomposition (FEVD) under the vector autoregressive (VAR) model, and the Granger causality test. The results show the causal relationship between agricultural exports and economic growth at the states' level. Especially, the ELG hypothesis is strongly supported in the case of 16 states (HI, ID, KS, MD, MI, MN, NJ, NC, ND, OK, OR, RI, SD, TX, WA, and WI) and is also weakly supported in the case of 31 states. Therefore, the agricultural exports are important factor of developing in the U.S. economy, and furthermore some states (located in coastal area and breadbasket) indicate the strong evidence for agricultural exports-led growth.

• The Journal of Korean Academic Society of Nursing Education
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• v.29 no.4
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• pp.440-449
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• 2023

Purpose: This study aimed to identify the reciprocal relationship between parenting attitudes (positive and negative) and adolescent emotional problems as indicated by aggression, social withdrawal, and depression. Methods: This study analyzed longitudinal data from 2,325 parents and their children from the Korea Children and Youth Panel Survey 2018 at three time points over a three-year period (the first to third grade of middle school). Autoregressive cross-lagged modeling was conducted using AMOS 26.0. Results: The results indicated that both parenting attitudes and adolescents' emotional problems were relatively stable over time. In other words, the parenting attitude at a previous point affects the parenting attitude at a later point, and the emotional problem at the previous point continues to affect the emotional problem at the later point. There were no significant cross-lagged effects from both positive and negative parenting attitudes to adolescents' emotional problems. In contrast, adolescents' emotional problems at previous time points positively predicted negative parenting attitudes at later time points. In other words, if there were many emotional problems of aggression, social withdrawal, and depression in adolescents at a previous time, negative parenting attitudes such as rejection, force, and inconsistency at a later time increased. Conclusion: This study can reflect the characteristics of the development of independence in adolescence. Parents should deal with their children's emotional problems based on their understanding of the developmental characteristics of adolescence, and this study provides a strategy for parents to establish appropriate parenting attitudes for adolescents with emotional problems.

• Journal of Navigation and Port Research
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• v.48 no.3
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• pp.206-213
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• 2024

This paper aims to investigate the causal relationship between geopolitical risk and stock price volatility in the shipping industry. Given its international nature and dependence on global trade, this industry is exposed to various uncertainties and risk factors. This study specifically focuses on the impact of geopolitical risk, which has gained significant attention in recent years due to events such as the Russia-Ukraine War and the Israel-Hamas War. To analyze this relationship, the study utilizes vector autoregressive model-based causality tests. The research estimates the causal relationship between geopolitical risk indicators and the stock price volatility of five shipping companies listed on the Korea Exchange. The study covers the period from 2000 to 2023. The results indicate the following: Firstly, an increase in geopolitical risk leads to a rise in stock price volatility for shipping companies. Moreover, the impact of actual geopolitical events, rather than just diplomatic disputes, is statistically significant. Lastly, the impact of geopolitical risk is particularly significant in the bulk shipping sector.

• Asia-Pacific Journal of Business
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• v.15 no.2
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• pp.207-222
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• 2024

Purpose - This study investigates whether the lagged price difference ratio between preferred and common stocks is related to the return and closing price of the preferred stock using three panel models. Design/methodology/approach - As a first step, we use a two-way fixed effect panel model with stationary preferred stock returns as a dependent variable. For robustness, we then apply the autoregressive distributed lag model (ARDL) and error correction model (ECM) with nonstationary closing prices of the preferred stocks as a dependent variable and compare the results of each model. The ARDL and ECM models provide an advantage of estimating a long-run equilibrium equation together if a long-run relationship exists between the two time-series variables compared to the fixed effect model. Findings - Our sample consists of 107 preferred stocks with at least four years of daily observations as of the end of December 2023. The coefficients of the error correction terms in the ARDL and ECM models are highly statistically significant, approximately -0.08. This indicates that the disequilibrium between the closing prices of common and preferred stocks adjusts by about 8% per day toward equilibrium. In all three models, the price difference ratio on day t-1 was statistically significant in explaining the preferred stock returns or closing prices on day t, implying that trading based on the previous day's price difference ratio is effective for one day. Research implications or Originality - Furthermore, the returns on preferred stocks are higher for firms with a lower proportion of foreign investors or a lower foreign market capitalization of preferred stocks. This suggests that foreign investors with informational advantages do not actively engage in profit-taking by trading preferred stocks, thus not narrowing the price difference. In summary, the recent surge in preferred stock prices is likely driven mainly by the irrational behavior of retail investors.

• Pediatric Gastroenterology, Hepatology & Nutrition
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• v.5 no.2
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• pp.174-180
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• 2002

Purpose: Ursodeoxycholic acid (UDCA) is known to decrease hepatic injury by promoting the biliary secretion of retained toxic endogenous bile acids in hepatobiliary diseases complicated by total parenteral nutrition (TPN). However, most studies have focused on treatment for complications after TPN. We investigated the preventive role of early administration of UDCA in TPN-induced hepatobiliary complications by a randomized, double-blind, placebo-controlled trial. Methods: Between May 2000 and May 2002, thirteen patients, who were given TPN more than 10 days in the hospital, were assigned randomly to two groups. One was the case group (7 patients) who were given UDCA simultaneously with TPN regimen, and the other, the control group (6 patients) who were given placebo. Their age ranged from 1 day to 13 years. They were affected with diseases impossible for enteral nutrition, such as prematurity, cerebral palsy, chronic diarrhea, anorexia nervosa, pancreatitis, and cyclic vomiting. The duration of TPN ranged from 10 to 70 days. Hematologic parameters including liver function test were measured at regular intervals, and the duration, composition, administration rate, total calorie of TPN were recorded. The serum levels of total bilirubin, aspartate aminotransferase (AST), alanine aminotransferase (ALT), and alkaline phosphatase were compared between groups after cessation of the study. Results: The autoregressive coefficient of the control group was 0.4419 (p=0.0651) in bilirubin, -0.0431 (p=0.7923) in AST, 0.2398 (p=0.2416) in ALT, and 0.2459 (p=0.1922) in alkaline phosphatase by mixed procedure model when the parameters were referred to the case group. Conclusion: The serum level of total bilirubin did not increase in comparison with that of the control group, but statistically insignificant, when both TPN and UDCA were administered simultaneously from the beginning.

• (The) Korean Journal of Educational Psychology
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• v.32 no.1
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• pp.99-130
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• 2018

The purpose of this study was to examine the longitudinal relationship between resilience and social support of school violence exposure types including school bullying, victimization, and dual experience. The study used data obtained from the third year (2012) of the Seoul Education Longitudinal Study of 1,137 elementary school students in grade 6 who reported experiencing school violence. The results of the autoregressive cross-lagged model are as follows. First, as a result of measuring the self-regression coefficients of resilience and social support of the youth exposed to school violence at 3 time points (2012, 2014, and 2016), it was found for all types of violence that resilience and social support at the previous time point showed a signigicant positive effect on the same variable at the next time point. Second, in the case of the cross-lagged effects of resilience and social support, the effect of previous social support on resilience at the next time point was statistically significant for the victimization group, but not for the bullying or dual experience groups. Third, considering the opposite path from resilience to social support, resilience at the previous time point had a significant influence on the social support at the next time point for both the bullying and victimization groups. This result is new and can be complementary to the cross-sectional studies so far using a longitudinal view. The results of this study suggest that the bullying and victimized students who are relatively more resilient are less likely to perceive social support than those who are not resilient. Finally, we discuss the longitudinal relationship between resilience and social support, the limitations of this study, and implications for future research.

• Journal of Intelligence and Information Systems
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• v.16 no.2
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• pp.19-32
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• 2010

Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.

• Journal of the Korean Association of Geographic Information Studies
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• v.15 no.4
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• pp.138-150
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• 2012

The purpose of this study was to examine the regional disparity of ambulatory health care utilization considering spatio-temporal variation in South Korea during 1996-2008(precisely, in 1996, 1999, 2002, 2005, and 2008) using bayesian hierarchial spatio-temporal model. The spatial pattern uses an intrinsic gaussian conditional autoregressive (CAR) error component. Ornstein-Uhlenbeck method was applied to detect the temporal patterns. The results showed that substantial temporal-geographical variation depending on diseases exists in Korea. On the Contrary to the pattern of total outpatient utilizations, for example, the areas that chronic diseases distributed relatively high were most in rural where the proportion of elderly population was higher than in the urban. Chungcheongnam-do, Junlabuk-do, and Kyeongsangbuk-do had higher risks in hypertension, whereas arthritis was higher risk in the Kyeonggi-do, Chungcheongbuk-do, Junlanam-do, and Junlabuk-do. The results of this study suggested that the effective health intervention programmes needed to alleviate the regional variation of health care utilization. These outcomes also provided the foundation for further investigation of risk factors and interventions in these high-risk areas.