• 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.

• Journal of Welding and Joining
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• v.17 no.4
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• pp.69-75
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• 1999

Spot welding has been used in the sheet metal joining processes because of its high productivity and convenience. In this study, predicting methods of fatigue life of spot welded joint have been investigated and fatigue and static tests were conducted with the peel-tension specimens using cold rolled steel plate(SPCC). Fatigue life of peel-tension spot welded joint was influenced by tail effect. Fatigue life evaluation using modified stress index parameter, considering the effective eccentric length, can predict the life more exactly than conventional stress index parameter.

• Proceedings of the KWS Conference
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• 1997.10a
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• pp.77-80
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• 1997

Spot welding has been used in the sheet metal joining processes because of its high productivity and convenience. In this study, predicting methods of fatigue life of spot welded joint have been studied fatigue life of conch-peel spot welded joint was influenced by tail effect. Fatigue life was estimated by stress index parameter considering multiaxial stresses and tail effect. Fatigue tests were conducted with the coach-peel specimens using SPCC.

• 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.

• 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.

• Journal of the Korean Statistical Society
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• v.35 no.1
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• pp.91-103
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• 2006

Yun (2005) introduced an estimator of the second order parameter characterizing the tail behavior of probability distributions and proved its consistency. In this paper we prove its asymptotic normality under a third order condition.

• Journal of the Korean Statistical Society
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• v.34 no.4
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• pp.273-280
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• 2005

In this paper we introduce an estimator of the second order parameter characterizing the tail behavior of probability distributions and prove its consistency.

• Korean Journal of Food Science and Technology
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• v.32 no.4
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• pp.747-754
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• 2000

DNA damages in post-mortem bovine muscle samples caused by gamma irradiation at doses of 1 to 10 kGy were determined by Comet assay. When the cell extract was prepared in a physical method and followed by neutral lysis and neutral electrophoresis, the optimal comet images could be obtained. DNA damages were evaluated from the mean tail length, the distributions of comet images in 4 groups divided by tail length and the relative damage index (RDI) values calculated from the distribution pattern. The mean tail length and RDI value were increased by increasing the irradiation dose, and the RDI value was found to be useful as an index for discriminating of irradiation and measuring the irradiated dose. Blind tests using Korean domestic (Hanwoo) and imported beef samples showed a higher RDI value for the latter. However, the value was lower than those of irradiated samples indicating that the cause of DNA damages in the imported beef samples might be not irradiation but low-temperature treatments. It was concluded from the results of this study that the irradiated beef and its irradiated dose could be detected and predicted by Comet assay.

• The Korean Journal of Malacology
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• v.22 no.2
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• pp.115-124
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• 2006

Gonad index, spermatogenesis and the reproductive cycle of Meretrix petechialis were investigated by cytological, histological observations. Monthly changes in the gonad index coincides the gonadal development. The morphology of the spermatozoon had a primitive type and is similar to that of other bivalves having a short mid-piece with five to six mitochondria surrounding the centrioles. The morphology of the sperm nucleus type and the acrosome shape of this species were cylindrical type and cap-like shape, respectively. The spermatozoon was approximately 40-45 ${\mu}m$ in length including the sperm nucleus length (about 1.50 ${\mu}m$), acrosome length (0.60 ${\mu}m$) and tail flagellum. The axoneme of the tail flagellum consisted of nine pairs of microtubules at the periphery and a pair at the center. The axoneme of the sperm tail showed 9 + 2 microtubular arrangement. The spawning period was from June to September and the main spawning occurred from July to August when seawater temperatures were higher than $20^{\circ}C$. The reproductive cycle of this species could be categorized into five successive stages: early active stage (February to March), late active stage (February to May), ripe stage (April to July), partially spawned stage (June to September), and spent/inactive stage (September to February).

• Proceedings of the Korean Operations and Management Science Society Conference
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• 1992.04b
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• pp.171-179
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• 1992

본고에서는 그래프를 이용하여 stable law분포의 index, skewness, scale, location 모수들에 대한 추정방법을 제시한다. 먼저, order statistics의 함수인 tail length statistic $K_{t}$ , skewness statistic $K_{s}$ 를 이용하여 index .alpha., scale .betha.를 추정한다. 다음에는, 추정된 .alpha., .betha.를 index로 하여 개발된 그래프들로 부터 scale .sigma., location .mu.추정에 필요한 order statistics의 함수를 결정한다. 몇가지 예를 마지막에 예시한다.