• 대한산업공학회지
• /
• 제33권4호
• /
• pp.410-418
• /
• 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
• /
• 제17권4호
• /
• pp.69-75
• /
• 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.

• 대한용접접합학회:학술대회논문집
• /
• 대한용접접합학회 1997년도 특별강연 및 추계학술발표 개요집
• /
• pp.77-80
• /
• 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
• /
• 제21권5호
• /
• pp.445-459
• /
• 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
• /
• 제27권2호
• /
• pp.163-175
• /
• 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
• /
• 제35권1호
• /
• pp.91-103
• /
• 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
• /
• 제34권4호
• /
• pp.273-280
• /
• 2005

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

• 한국식품과학회지
• /
• 제32권4호
• /
• pp.747-754
• /
• 2000

Comet assay를 이용하여 방사선 조사육의 조사여부 및 조사량을 판별해내는 방법을 개발하기 위해 1-10 kGy의 감마선 조사량으로 조사한 육조직에서 일어나는 DNA 손상을 측정하였다. Comet assay에 있어 최적의 comet image를 얻기 위해 세포 분리, 세포 lysis 및 전기영동에 대한 여러 조건들을 적용하여 최적의 조건을 확립하였다. DNA 손상도는 관찰되는 comet의 평균 tail length와 tail length에 의해 구분된 4 손상 등급에의 분포, 그리고 그 분포비율에 의해 본 연구에서 제시한 식에 의해 계산한 relative damage index(RDI) 값 등으로 비교 판정하였다. 평균 tail length와 RDI 값은 조사량이 증가함에 따라 증가하여 DNA 손상도가 증가됨을 나타내었으며, 평균 tail length으로는 조사량 간의 차이를 명확히 분별하기가 어려웠던 반면 RDI 값에 의하면 조사여부 및 조사량을 판별하기에 적합함을 알 수 있었다. 국내산 한우육과 수입 냉장육에 대하여 blind test를 실시한 결과 수입육이 높은 DNA 손상도를 나타내었는데 그 RDI 값은 방사선 조사에 의한 값보다는 비교적 낮은 것이어서 수입육의 DNA 손상은 방사선 조사가 아닌 저온처리의 결과인 것으로 판단되었다. 본 연구의 결과로부터 Comet assay가 우육의 방사선 조사여부 및 조사량 판별에 유용한 기술로 응용될 수 있을 것으로 판단되었다.

• 한국패류학회지
• /
• 제22권2호
• /
• pp.115-124
• /
• 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).

• 한국경영과학회:학술대회논문집
• /
• 대한산업공학회/한국경영과학회 1992년도 춘계공동학술대회 발표논문 및 초록집; 울산대학교, 울산; 01월 02일 May 1992
• /
• pp.171-179
• /
• 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.