• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.171-179
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• 2021

In the international markets, financial variables can be volatile and may affect each other, especially in the crisis times. COVID-19, which began in China in 2019 and spread to many countries of the world, created a crisis not only in the global health system but also in the international financial markets and economy. The purpose of this study is to analyze the contagious effect of the COVID-19 pandemic on the volatility of selected financial variables such as Bitcoin, gold, oil price, and exchange rates and the connections between the volatilities of these variables during the pandemic. For this aim, we use the ARMA-EGARCH model to measure the impact of volatility and shocks. In other words, it is aimed to measure whether the impact of the shock on the financial variables of the contagiousness of the epidemic is also transmitted to the markets. The data was collected from secondary and daily data from September 2th 2019 to December 20th, 2020. It can be said that the findings obtained have statistically significant effects on the conditional variability of the variables. Therefore, there are findings that the shocks in the market are contaminated with each other.

• The Journal of Asian Finance, Economics and Business
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• 제9권10호
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• pp.1-13
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• 2022

This paper empirically explores the predicting ability of the newly proposed smooth transition (ST) time-varying combining forecast methods. The proposed method allows the "weight" of combining forecasts to change gradually over time through its unique feature of transition variables. Stock market returns from 7 countries were applied to Ad Hoc models, the well-known Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models, and the Smooth Transition Exponential Smoothing (STES) models. Of the individual models, GJRGARCH and STES-E&AE emerged as the best models and thereby were chosen for constructing the combined forecast models where a total of nine ST combining methods were developed. The robustness of the ST combining forecasts is also validated by the Diebold-Mariano (DM) test. The post-sample forecasting performance shows that ST combining forecast methods outperformed all the individual models and fixed weight combining models. This study contributes in two ways: 1) the ST combining methods statistically outperformed all the individual forecast methods and the existing traditional combining methods using simple averaging and Bates & Granger method. 2) trading volume as a transition variable in ST methods was superior to other individual models as well as the ST models with single sign or size of past shocks as transition variables.

• The Journal of Asian Finance, Economics and Business
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• 제9권7호
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• pp.1-15
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• 2022

Combining the strength of both Mixed Data Sampling (MIDAS) Regression and realized variance measures, this paper seeks to investigate two objectives: (1) evaluate the post-sample performance of the proposed weekly Realized Variance-MIDAS (RVar-MIDAS) in one-week ahead volatility forecasting against the established Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the less explored but robust STES (Smooth Transition Exponential Smoothing) methods. (2) comparing forecast error performance between realized variance and squared residuals measures as a proxy for actual volatility. Data of seven private equity mutual fund indices (generated from 57 individual funds) from two different time periods (with and without financial crisis) are applied to 21 models. Robustness of the post-sample volatility forecasting of all models is validated by the Model Confidence Set (MCS) Procedures and revealed: (1) The weekly RVar-MIDAS model emerged as the best model, outperformed the robust DAILY-STES methods, and the weekly DAILY-GARCH models, particularly during a volatile period. (2) models with realized variance measured in estimation and as a proxy for actual volatility outperformed those using squared residual. This study contributes an empirical approach to one-week ahead volatility forecasting of mutual funds return, which is less explored in past literature on financial volatility forecasting compared to stocks volatility.

• The Journal of Asian Finance, Economics and Business
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• 제8권9호
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• pp.1-9
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• 2021

This study aimed to investigate the existence of the Feldstein-Horioka (1980) puzzle in international macroeconomics by applying the conditional Autoregressive Distributed Lag (ARDL) model to examine the long-run relationship between national savings and investments in Thailand and China. The input of this study relied on annual national savings and investments as a fraction of GDP during 1980-2019 which was collected from China National Bureau of Statistics (NBS) and Thailand National Economic and Social Development Council (NESDC). Hypothetically, Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests were applied to test the stationary properties and to investigate the integration level of selected time series. The empirical results, confirmed by cumulative sum (CUSUM) and cumulative sum square (CUSUMSQ), maintained no serial correlation and structural break problems. The finding of this study suggested that the Feldstein-Horioka puzzle in Thailand did not exist significantly. Thailand's national savings and investments nexus was independent, following the classic economic idea that financial liberalization, or perfect capital mobility, allowed national savings and investments to flow freely to countries with better interest rates. Whereas, a strong significant correlation was found in the case of China during the fixed exchange rate regime switching in 1994 and post WTO participation after 2001-2019.

• Communications for Statistical Applications and Methods
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• 제30권2호
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• pp.163-178
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• 2023

GARCH-X(1, 1) model specifies that conditional variance follows an AR(1) process and includes a past exogenous variable. This study proposes a new class from that model by allowing a more general (non-linear) variance function to follow an AR(1) process. The functions applied to the variance equation include exponential, Tukey's ladder, and Yeo-Johnson transformations. In the framework of normal and student-t distributions for return errors, the empirical analysis focuses on two stock indices data in developed countries (FTSE100 and SP500) over the daily period from January 2000 to December 2020. This study uses 10-minute realized volatility as the exogenous component. The parameters of considered models are estimated using the adaptive random walk metropolis method in the Monte Carlo Markov chain algorithm and implemented in the Matlab program. The 95% highest posterior density intervals show that the three transformations are significant for the GARCHX(1, 1) model. In general, based on the Akaike information criterion, the GARCH-X(1, 1) model that has return errors with student-t distribution and variance transformed by Tukey's ladder function provides the best data fit. In forecasting value-at-risk with the 95% confidence level, the Christoffersen's independence test suggest that non-linear models is the most suitable for modeling return data, especially model with the Tukey's ladder transformation.

• The Journal of Asian Finance, Economics and Business
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• 제9권3호
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• pp.365-375
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• 2022

This study examines the relationship between board gender diversity and financial performance. The annual data of Palestinian nonfinancial listed enterprises from 2015 to 2019 was analyzed using a longitudinal panel analysis for the study's purposes. When conditional mean regression methodologies were used in the study, the results indicate that there is an insignificant relation between board gender diversity and firm financial performance. However, when analyzing women directors' effect on a firm's financial performance, endogeneity is always a concern, therefore, we test for endogeneity by employing the Darbin-Wu Housman test and then by using 2SLS. Nevertheless, when looking at the dispersion of a firm's performance using quantile regression, the results show that having women on the board improves financial performance slightly, especially for high-financial-performing firms. The findings indicate that there is a legal significant gap hindering the protection of gender diversity in boardrooms, and limiting the existence and representation of women in leadership positions, specifically, board of directors. The results of this study contribute to corporate governance and business culture literature by shedding the light on the importance of board gender diversity, to improve the firm financial performance, and hence, protect the interests of all shareholders' categories.

• Geomechanics and Engineering
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• 제34권1호
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• pp.29-41
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• 2023

The 3D geospatial modeling of geotechnical information can aid in understanding the geotechnical characteristic values of the continuous subsurface at construction sites. In this study, a geostatistical optimization model for the three-dimensional (3D) mapping of subsurface stratification and the SPT-N value based on a trial-and-error rule was developed and applied to a dam emergency spillway site in South Korea. Geospatial database development for a geotechnical investigation, reconstitution of the target grid volume, and detection of outliers in the borehole dataset were implemented prior to the 3D modeling. For the site-specific subsurface stratification of the engineering geo-layer, we developed an integration method for the borehole and geophysical survey datasets based on the geostatistical optimization procedure of ordinary kriging and sequential Gaussian simulation (SGS) by comparing their cross-validation-based prediction residuals. We also developed an optimization technique based on SGS for estimating the 3D geometry of the SPT-N value. This method involves quantitatively testing the reliability of SGS and selecting the realizations with a high estimation accuracy. Boring tests were performed for validation, and the proposed method yielded more accurate prediction results and reproduced the spatial distribution of geotechnical information more effectively than the conventional geostatistical approach.

• Journal of Information Technology Applications and Management
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• 제29권6호
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• pp.81-93
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• 2022

As deep learning technology in natural language and visual processing has rapidly developed, collaborative filtering-based recommendation systems using deep learning technology are being actively introduced in the recommendation field. In this study, OCF-GAN, a hybrid collaborative filtering model using GAN, was proposed to solve the one-class and cold-start problems, and its usefulness was verified through performance evaluation. OCF-GAN based on conditional GAN consists of a generator that generates a pattern similar to the actual user preference pattern and a discriminator that tries to distinguish the actual preference pattern from the generated preference pattern. When the training is completed, user preference vectors are generated based on the actual distribution of preferred items. In addition, the cold-start problem was solved by using a hybrid collaborative filtering recommendation method that additionally utilizes user and item profiles. As a result of the performance evaluation, it was found that the performance of the OCF-GAN with additional information was superior in all indicators of the Top 5 and Top 20 recommendations compared to the existing GAN-based recommender. This phenomenon was more clearly revealed in experiments with cold-start users and items.

• 대한수학교육학회지:학교수학
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• 제17권2호
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• pp.241-255
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• 2015

본 연구는 35명의 예비교사와 현직교사를 대상으로 몬테카를로 시뮬레이션의 난수 생성 아이디어에 관한 이해를 분석하여 학교현장에 교육적 함의를 제공하는데 그 목적이 있다. 연구의 분석 결과, 실험 대상의 70%가 확률 문제 해결을 위해 제시된 세 가지 유형의 난수 생성 아이디어에서 적절한 아이디어를 선택하지 못했고, 자신의 선택을 설명하는 과정에서 오류를 나타냈다. 오류 유형으로는 첫째, 연속확률분포에서 한 점 또는 경계가 선택될 확률은 확률밀도함수에 대입한 값과 같다. 둘째, 교사B의 아이디어는 조건부확률로 문제를 변형하여 표본공간을 확장한 것임에도 처음 제시된 표본공간으로만 문제를 해석하려는 오류를 나타냈다. 셋째, 두 확률변수 X, Y가 독립일 때에만 $P(X=x,\;Y=y)=p(X=x){\times}P(Y=y{\mid}X=x)$이 성립한다는 오류를 나타냈다.

• Journal of the Korean Data and Information Science Society
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• 제23권5호
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• pp.905-912
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• 2012

본 논문에서는 엑셀매크로로 베이즈 정리 교육도구를 개발하여 사용의 예를 소개한다. 주어진 어느 한 사건이 발생했을 때 그 사건이 특정조건하에서 발생되었는지 여부에 관심이 있다. 이런 경우의 확률계산에 사용할 수 있는 것이 베이즈 정리이다. 베이즈 정리는 새롭게 얻어진 부가적인 정보를 기초로 통계적 의사결정을 하는데 매우 유용한 정리이다. 베이즈 정리를 중간과정과 설명을 통해 학습자 스스로 효율적으로 학습할 수 있도록 개발한 교육도구를 소개한다. 조건부확률, 곱셈법칙, 전확률 공식, 사전확률, 사후확률 등에 대한 설명과 활용 예를 단계적 학습을 통해 이해할 수 있도록 하였다. 결과가 나오기까지의 과정을 단계적인 개념설명과 그림으로 표현하여 단계적, 시각적인 학습이 되도록 하였다. 한 화면상에서 계산과정과 결과를 나타내도록 하기 위하여 분할 2개와 3개에 대하여 엑셀 자체에서 제공되는 분석기능과 비주얼베이직으로 작성된 프로그램을 연결하여 명령단추를 누르면 매크로가 실행되게 하였다.