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Forecasting value-at-risk by encompassing CAViaR models via information criteria
Lee, Sangyeol,Noh, Jungsik The Korean Data and Information Science Society 2013 한국데이터정보과학회지 Vol.24 No.6
This paper proposes a new method of VaR forecasting using the conditional autoregressive VaR (CAViaR) models and information criteria. Instead of using a single CAViaR model, we propose to utilize several candidate CAViaR models during a forecasting period. By adopting the Akaike and Bayesian information criteria for quantile regression, we can update not only parameter estimates but also the CAViaR specifications. We also propose extended CAViaR models with a constant location parameter. An empirical study is provided to examine the performance of the proposed method. The results suggest that our method shows more stable performance than those using a single specification.
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Forecasting value-at-risk by encompassing CAViaR models via information criteria
Sangyeol Lee,Jungsik Noh 한국데이터정보과학회 2013 한국데이터정보과학회지 Vol.24 No.6
This paper proposes a new method of VaR forecasting using the conditional au-toregressive VaR (CAViaR) models and information criteria. Instead of using a single CAViaR model, we propose to utilize several candidate CAViaR models during a forecasting period. By adopting the Akaike and Bayesian information criteria for quantile regression, we can update not only parameter estimates but also the CAViaR specifications. We also propose extended CAViaR models with a constant location parameter. An empirical study is provided to examine the performance of the proposed method. The results suggest that our method shows more stable performance than those using a single specification.
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An Empirical Study on Explosive Volatility Test with Possibly Nonstationary GARCH(1, 1) Models
Lee, Sangyeol,Noh, Jungsik The Korean Statistical Society 2013 Communications for statistical applications and me Vol.20 No.3
In this paper, we implement an empirical study to test whether the time series of daily returns in stock and Won/USD exchange markets is strictly stationary or explosive. The results indicate that only a few series show nonstationary volatility when dramatic events erupted; in addition, this nonstationary behavior occurs more often in the Won/USD exchange market than in the stock market.
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Maximum entropy test for infinite order autoregressive models
Sangyeol Lee,Jiyeon Lee,Jungsik Noh 한국데이터정보과학회 2013 한국데이터정보과학회지 Vol.24 No.3
In this paper, we consider the maximum entropy test in infinite order autoregressive models. Its asymptotic distribution is derived under the null hypothesis. A bootstrap version of the test is discussed and its performance is evaluated through Monte Carlo simulations.
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Maximum entropy test for infinite order autoregressive models
Lee, Sangyeol,Lee, Jiyeon,Noh, Jungsik The Korean Data and Information Science Society 2013 한국데이터정보과학회지 Vol.24 No.3
In this paper, we consider the maximum entropy test in in nite order autoregressiv models. Its asymptotic distribution is derived under the null hypothesis. A bootstrap version of the test is discussed and its performance is evaluated through Monte Carlo simulations.
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대학광고 매체믹스 유형과 광고량이 대학 경쟁력에 미치는 영향
정연승(Jung, Yeonsung),노정식(Noh, Jungsik) 한국상품학회 2010 商品學硏究 Vol.28 No.5
본 연구에서는 국내 대학의 마케팅활동에 있어서 주요 매체인 TV, 라디오, 신문 및 잡지 등을 포함한 4대 매체의 사용현황을 조사.분석함으로써, 매체 관점에서 각각 대학 마케팅의 방향성을 고찰해 보고자 하였다. 세부적으로는 각 대학의 광고 매체믹스 중 TV와 신문 등 방송매체와 신문, 잡지 등 인쇄매체의 광고 사용지출액과 사용개수가 대학경쟁력에 미치는 영향을 살펴보았으며, 대학 유형(국립/사립)과 대학 위치(수도권/비수도권)에 따른 조절효과도 함께 분석하였다. 이러한 목적을 토대로 본 연구는 Nielsen Media Research, J일보, 사학진흥재단, 대학알리미 등 4개의 데이터 원천(source)을 이용하여 2008년 한 해 동안 168개 대학의 광고매체 사용현황 및 대학경쟁력 등의 데이터를 분석하였다. 과거의 객관적 광고데이터를 바탕으로 위계적 다중회귀분석을 한 결과, 광고매체 유형별 지출액 중 신문광고 지출액 만이 대학경쟁력에 유의적인 영향을 미치는 것으로 나타났다. 또한 광고매체의 사용개수를 늘이는 것은 대학경쟁력에 영향을 미치지 않는 것으로 나타나 여러 가지 매체를 사용하는 것 보다는 영향력이 높은 한 가지 매체를 사용하는 것이 더 효과적임을 알 수 있었다. 다음으로 광고매체 유형별 지출액이 대학의 유형에 따라 대학경쟁력에 어떤 차이가 있는지, 조절효과를 살펴본 결과, 신문광고의 경우에 국립대학과 수도권에 위치한 대학이 사립대학과 비수도권에 위치한 대학보다 대학경쟁력을 더 높이는 것으로 나타났다. 본 연구는 168개 대학의 실제 광고와 관련한 객관적 데이터베이스 자료(objective data)를 사용하여 B-to-B 관점에서 대학광고와 대학경쟁력의 관계를 분석하고 광고 전략을 도출하였다는 점에서 그 의의가 있다. There has been little research studying advertising for universities to operate efficiently compared to its importance. It is urgent for a university to establish the advertising strategy for securing students and arousing students' interests in fierce competitive circumstances. Therefore, university advertising needs to introduce the strategic variables which are related to university competitiveness. Thus, the aim of this study is to examine which university advertising strategy makes students to have interests in universities and finally lead to raise university competitiveness. Specifically, first, this study examines how university advertising media(TV, Radio, Paper, and Magazine) spending affect university competitiveness. Second, this study investigates how advertising media spending may be moderated with respect to university region(metropolitan area/non-metropolitan area) and type(public university/ private university). To reach these goals, this study used existing database of university advertising and university competitiveness. Hierarchical Multiple Regression on the basis of the results of existing objective donation data was done to analyze. As a result, three among fifteen hypotheses were supported. The results are as follows.First, regarding the effects of advertising media spending on university competitiveness, paper media spending had a positive effect on university competitiveness while other medias(TV, radio and magazine) had no significant effect on university competitiveness. Second, the moderation effects of university region and university type and advertising media spending have significant effects on university competitiveness for paper. The significance of this study is that this study investigates university advertising and university competitiveness that have rarely been studied in marketing by analyzing existing database.
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Kim, Moon-Ju,Yun, Tae Gyeong,Jung, Jaeyong,Park, Jong-Min,Noh, Joo-Yoon,Song, Jungsik,Kang, Min-Jung,Pyun, Jae-Chul American Chemical Society 2019 ANALYTICAL CHEMISTRY - Vol.91 No.17
<P>Crystals of monosodium urate monohydrate (MSU) and calcium pyrophosphate dihydrate (CPPD) are known to induce arthropathic diseases called gout and pseudogout, respectively. These crystals are deposited in various joints or tissues, causing severe pain. Correct identification of crystals is crucial for the appropriate treatment of gout and pseudogout, which exhibit very similar symptoms. Herein, a novel approach of laser desorption/ionization time-of-flight (LDI-ToF) mass spectrometry (MS) was introduced to analyze MSU and CPPD crystals with three different types of nanostructured TiO<SUB>2</SUB> materials including TiO<SUB>2</SUB> nanoparticles (P25), TiO<SUB>2</SUB> nanowires synthesized from wet-corrosion method, and the mixture of P25 and TiO<SUB>2</SUB> nanowires (P25/TiO<SUB>2</SUB> nanowires) as inorganic solid matrices. Furthermore, the feasibility of LDI-ToF MS based on these TiO<SUB>2</SUB> nanostructures for the analysis of the two arthropathy-related crystals was tested using spiked samples in synovial fluid at known crystal concentrations. The mass analysis results of MSU and CPPD crystals demonstrated that (1) the electrostatic interaction between analytes and solid matrices was key for the analyte ionization and (2) LDI-ToF MS with nanostructured TiO<SUB>2</SUB> materials has the potential to be a practical approach for the diagnosis of gout and pseudogout.</P> [FIG OMISSION]</BR>
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