ScholarWorks Community:
https://scholarworks.sookmyung.ac.kr/handle/2021.sw.sookmyung/170
2024-03-23T08:37:22Z
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Vine copula Granger causality in quantiles
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/159752
Title: Vine copula Granger causality in quantiles
Authors: Jang, Hyuna; Kim, Jong-Min; Noh, Hohsuk
Abstract: Causal relationships between time series are typically examined by testing for Granger causality. Although many studies have tested Granger causality in mean, non-causality in mean does not need to carry over to other distribution characteristics or different parts of the distribution. This scenario has motivated many researchers to investigate causal relations from the perspective of conditional quantiles. Several methods have been proposed for both parametric and nonparametric modelling frameworks. Parametric methods have limitations in detecting nonlinear causality, whereas nonparametric methods have difficulty selecting smoothing parameters that significantly affect detection performance. To overcome the difficulties of both parametric and nonparametric Granger causality tests in quantiles, we propose a vine copula Granger causality test in quantiles using the semiparametric time-series modelling technique. The proposed test overcomes shortcomings in parametric modelling and has a computational advantage over nonparametric tests. Our test shows good performance in terms of size and power when using various simulated data. Finally, we illustrate our test using recent cryptocurrency data.
2024-02-01T00:00:00Z
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원점이 이동한 비대칭-변동성 모형의 제안 및 응용
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/159755
Title: 원점이 이동한 비대칭-변동성 모형의 제안 및 응용
Authors: Lee, Ye Jin; Hwang, Sun Young; Lee, Sung Duck
Abstract: 본 논문에서는 비대칭 변동성을 다루고 있다.
대표적인 비대칭 모형인 분계점-ARCH에서 원점이 영(zero)에서 이동한 모형을 제안하고 있다.
제안된 모형은 변동성의 최소값이 비-영(non-zero)에서 생기는 특수한 구조의 비대칭 모형이며 AIC 등의 모형선택기준과 더불어 모수적-붓스트랩을 통한 예측분포를 이용하여 원점으로부터의 이동량을 결정할 수 있다.
팬데믹 기간의 국내 종합주가지수(KOSPI) 자료 분석을 통해 모형의 응용 절차를 예시하였다.; Volatility of a time series is defined as the conditional variance on the past information. In particular, for financial time series, volatility is regarded as a time-varying measure of risk for the financial series. To capture the intrinsic asymmetry in the risk of financial series, various asymmetric volatility processes including thresholdARCH (TARCH, for short) have been proposed in the literature (see, for instance, Choi et al., 2012). This paper proposes a volatility function featuring non-zero origin in which the origin of the volatility is shifted from the zero and therefore the resulting volatility function is certainly asymmetric around zero and achieves the minimum at a non-zero (rather than zero) point. To validate the proposed volatility function, we analyze the Korea stock prices index (KOSPI) time series during the Covid-19 pandemic period for which origin shift to the left of the zero in volatility is shown to be apparent using the minimum AIC as well as via parametric bootstrap verification.
2023-12-01T00:00:00Z
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애널리스트 보고서 텍스트의 주가예측력에 대한 검증
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/159748
Title: 애널리스트 보고서 텍스트의 주가예측력에 대한 검증
Authors: 이영선; 야마다 아키히코; 양철원; 노호석
Abstract: 온라인 플랫폼을 통한 애널리스트 보고서의 공유가 가능해짐에 따라 애널리스트들이 생성한 보고서는 시장 참여자들 간 금융 정보 격차를 줄일 수 있는 유용한 도구가 되었으며, 애널리스트 보고서의 정량적 정보가 주식수익률 예측에 다수 활용되었다.
하지만 상대적으로 애널리스트 보고서 내 텍스트 정보의 주식수익률 예측 정보력에 대한 국내 자료 기반 연구는 상대적으로 많이 부족하다.
본 연구는 애널리스트 보고서에서 추출 가능한 텍스트로부터 어조 변수를 생성하여 주식수익률 예측에 정보력이 있는지를 검증하되, 기존 연구들의 선형모형 가정 기반 검정의 한계를 해결하고자 랜덤 포레스트 기반의 F-test를 사용하여 기업수익률 예측력을 검증하였다.; As sharing of analyst reports became widely available, reports generated by analysts have become a useful tool to reduce di fference in financial information between market participants. The quantitative information of analyst reports has been used in many ways to predict stock returns. However, there are relatively few domestic studies on the prediction power of text information in analyst reports to predict stock returns. We test stock return predictability of text in analyst reports by creating variables representing the TONE from the text. To overcome the limitation of the linear-model-assumption-based approach, we use the random-forest-based F-test.
2023-10-01T00:00:00Z
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The association between the risk perceptions of COVID-19, trust in the government, political ideologies, and socio-demographic factors: A year-long cross-sectional study in South Korea
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/151814
Title: The association between the risk perceptions of COVID-19, trust in the government, political ideologies, and socio-demographic factors: A year-long cross-sectional study in South Korea
Authors: Lee, Y.H.; Heo, H.-H.; Noh, H.; Jang, D.H.; Choi, Y.-G.; Jang, W.M.; Lee, J.Y.
Abstract: Risk perception research, targeting the general public, necessitates the study of the multifaceted aspects of perceived risk through a holistic approach. This study aimed to investigate the association between the two dimensions of risk perception of COVID-19, i.e., risk as a feeling and analysis, trust in the current government, political ideologies, and socio-demographic factors in South Korea. This study used a year-long repeated cross-sectional design, in which a national sample (n = 23,018) participated in 23 consecutive telephone surveys from February 2020 to February 2021. Most factors differed in the magnitude and direction of their relationships with the two dimensions of risk perception. However, trust in the current government, alone, delineated an association in the same direction for both dimensions, i.e., those with a lower level of trust exhibited higher levels of cognitive and affective risk perception. Although these results did not change significantly during the one-year observation period, they are related to the political interpretation of risk. This study revealed that affective and cognitive risk perceptions addressed different dimensions of risk perception. These findings could help governments and health authorities better understand the nature and mechanisms of public risk perception when implementing countermeasures and policies in response to the COVID-19 pandemic and other public health emergencies. © 2023 Lee et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
2023-06-01T00:00:00Z