1,085 results on '"KIm, Young-Shin"'
Search Results
2. Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence
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Kim, Young Shin and Kim, Hyun-Gyoon
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Quantitative Finance - Mathematical Finance - Abstract
In this study, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model. We introduce a new multivariate Levy process model named the generalized normal tempered stable (gNTS) process, which is defined by time-changed multivariate Brownian motion. Since the gNTS process does not provide a simple analytic formula for the probability density function (PDF), we use the conditional real-valued non-volume preserving (CRealNVP) model, which is a type of flow-based generative network. Then, we discuss the no-arbitrage pricing on the gNTS model for pricing the quanto option, whose underlying assets consist of a foreign index and foreign exchange rate. We present the training of the CRealNVP model to learn the PDF of the gNTS process using a training set generated by Monte Carlo simulation. Next, we estimate the parameters of the gNTS model with the trained CRealNVP model using the empirical data observed in the market. Finally, we provide a method to find an equivalent martingale measure on the gNTS model and to price the quanto option using the CRealNVP model with the risk-neutral parameters of the gNTS model.
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- 2024
3. Portfolio optimization with relative tail risk
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Kim, Young Shin and Fabozzi, Frank J.
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- 2024
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4. Efficacy of Community-Delivered PEERS® for Adolescents: Increases in Social Skills and Decreases in Social Anxiety and Loneliness
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Parenteau, China I., Floyd, Jessica, Ankenman, Katy, Glavin, Tara, Charalel, Julia, Lin, Enjey, Ence, Whitney, Kim, Young Shin, Bishop, Somer, and Zheng, Shuting
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- 2024
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5. Neurodevelopmental profiles of 4-year-olds in the Navajo Birth Cohort Study.
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Rennie, Brandon, Leventhal, Bennett, Park, Mina, Ghods, Sheila, Welch, Maria, MacKenzie, Debra, Lewis, Johnnye, Burnette, Courtney, Salzman, Emma, Nozadi, Sara, Kim, Hosanna, Geib, Ellen, Kim, Young Shin, Bishop, Somer, Ence, Whitney, and Zheng, Shuting
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American Indian ,Native American ,indigenous ,language ,neurodevelopment - Abstract
OBJECTIVE: Native American children disproportionally face many risk factors for poor developmental outcomes; these factors include poverty, environmental toxicant exposure, and limited medical, and intervention services. To understand these risks, comprehensive documentation of developmental and behavioral phenotypes are needed. In the current descriptive study, we assessed the neurodevelopment of young Diné (Navajo) children using standardized assessment instruments in combination with expert clinician judgment. METHODS: As part of an ongoing, population-based, prospective birth cohort study, we conducted comprehensive neurodevelopmental assessments of 138, 3-5-year-old, Diné children residing on or near the Navajo Nation. We report results from standardized parent reports, psychiatric examinations, and direct assessments of childrens language, cognitive, adaptive, and social-emotional development, as well as best estimate clinical diagnoses. RESULTS: Forty-nine percent of our sample met DSM-5 criteria for a neurodevelopmental disorder (NDD) diagnosis. Language and speech sound disorders were most common, although autism spectrum disorder (ASD) was also elevated compared to the general population. Though language performance was depressed amongst all groups of children with, and without, NDDs, those meeting criteria for certain NDDs performed significantly lower on all language measures, when compared to those without. Social-emotional, behavioral, and nonverbal cognitive ability were in the average range overall. CONCLUSIONS: Diné children in our study were found to have a high percentage of clinically significant developmental delays. Overall, children presented with a pervasive pattern of depressed language performance across measures, irrespective of diagnosis (or no diagnosis), while other domains of functioning were similar to normative samples. Findings support the need to identify appropriate intervention and educational efforts for affected youth, while also exploring the causes of the specific developmental delays. However, longitudinal studies are necessary to establish best practices for identifying delays and delineating resilience factors to optimize development of Diné children.
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- 2023
6. Portfolio Optimization with Relative Tail Risk
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Kim, Young Shin
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Quantitative Finance - Portfolio Management ,Quantitative Finance - Risk Management - Abstract
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to the relative portfolio optimization. Moreover, we derive analytic forms for the marginal contribution to CoVaR and the marginal contribution to CoCVaR. We discuss the Monte-Carlo simulation method to calculate CoCVaR and the marginal contributions of CoVaR and CoCVaR. As the empirical illustration, we show relative portfolio optimization with thirty stocks under the distress condition of the Dow Jones Industrial Average. Finally, we perform the risk budgeting method to reduce the CoVaR and CoCVaR of the portfolio based on the marginal contributions to CoVaR and CoCVaR.
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- 2023
7. Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models
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Kim, Young Shin, Kim, Hyangju, and Choi, Jaehyung
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Quantitative Finance - Mathematical Finance ,Computer Science - Computational Engineering, Finance, and Science ,Computer Science - Machine Learning - Abstract
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two well-known GARCH-type option pricing models: Duan's GARCH and the classical tempered stable GARCH that significantly improve upon the limitation of the Black-Scholes model but have suffered from computation complexity. To mitigate this technical difficulty, we train ANNs with a dataset generated by Monte Carlo Simulation (MCS) method and apply them to calibrate optimal parameters. The performance results indicate that the ANN approach consistently outperforms MCS and takes advantage of faster computation times once trained. The Greeks of options are also discussed., Comment: 26 pages, 3 figures
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- 2023
8. CRISIS AFAR: an international collaborative study of the impact of the COVID-19 pandemic on mental health and service access in youth with autism and neurodevelopmental conditions
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Vibert, Bethany, Segura, Patricia, Gallagher, Louise, Georgiades, Stelios, Pervanidou, Panagiota, Thurm, Audrey, Alexander, Lindsay, Anagnostou, Evdokia, Aoki, Yuta, Birken, Catherine S, Bishop, Somer L, Boi, Jessica, Bravaccio, Carmela, Brentani, Helena, Canevini, Paola, Carta, Alessandra, Charach, Alice, Costantino, Antonella, Cost, Katherine T, Cravo, Elaine A, Crosbie, Jennifer, Davico, Chiara, Donno, Federica, Fujino, Junya, Gabellone, Alessandra, Geyer, Cristiane T, Hirota, Tomoya, Kanne, Stephen, Kawashima, Makiko, Kelley, Elizabeth, Kim, Hosanna, Kim, Young Shin, Kim, So Hyun, Korczak, Daphne J, Lai, Meng-Chuan, Margari, Lucia, Marzulli, Lucia, Masi, Gabriele, Mazzone, Luigi, McGrath, Jane, Monga, Suneeta, Morosini, Paola, Nakajima, Shinichiro, Narzisi, Antonio, Nicolson, Rob, Nikolaidis, Aki, Noda, Yoshihiro, Nowell, Kerri, Polizzi, Miriam, Portolese, Joana, Riccio, Maria Pia, Saito, Manabu, Schwartz, Ida, Simhal, Anish K, Siracusano, Martina, Sotgiu, Stefano, Stroud, Jacob, Sumiya, Fernando, Tachibana, Yoshiyuki, Takahashi, Nicole, Takahashi, Riina, Tamon, Hiroki, Tancredi, Raffaella, Vitiello, Benedetto, Zuddas, Alessandro, Leventhal, Bennett, Merikangas, Kathleen, Milham, Michael P, and Di Martino, Adriana
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Biological Psychology ,Psychology ,Brain Disorders ,Pediatric ,Intellectual and Developmental Disabilities (IDD) ,Mental Health ,Autism ,Neurosciences ,Mental health ,Good Health and Well Being ,Female ,Humans ,Adolescent ,Child ,COVID-19 ,Autistic Disorder ,Pandemics ,Autism Spectrum Disorder ,Cross-Sectional Studies ,Mental health outcomes ,Autism spectrum disorder ,Neurodevelopmental conditions ,Sleep ,Behavioral problems ,Prediction ,Risk and resilience factors ,COVID-19 pandemic ,Public health ,Clinical Sciences ,Clinical sciences ,Biological psychology - Abstract
BackgroundHeterogeneous mental health outcomes during the COVID-19 pandemic are documented in the general population. Such heterogeneity has not been systematically assessed in youth with autism spectrum disorder (ASD) and related neurodevelopmental disorders (NDD). To identify distinct patterns of the pandemic impact and their predictors in ASD/NDD youth, we focused on pandemic-related changes in symptoms and access to services.MethodsUsing a naturalistic observational design, we assessed parent responses on the Coronavirus Health and Impact Survey Initiative (CRISIS) Adapted For Autism and Related neurodevelopmental conditions (AFAR). Cross-sectional AFAR data were aggregated across 14 European and North American sites yielding a clinically well-characterized sample of N = 1275 individuals with ASD/NDD (age = 11.0 ± 3.6 years; n females = 277). To identify subgroups with differential outcomes, we applied hierarchical clustering across eleven variables measuring changes in symptoms and access to services. Then, random forest classification assessed the importance of socio-demographics, pre-pandemic service rates, clinical severity of ASD-associated symptoms, and COVID-19 pandemic experiences/environments in predicting the outcome subgroups.ResultsClustering revealed four subgroups. One subgroup-broad symptom worsening only (20%)-included youth with worsening across a range of symptoms but with service disruptions similar to the average of the aggregate sample. The other three subgroups were, relatively, clinically stable but differed in service access: primarily modified services (23%), primarily lost services (6%), and average services/symptom changes (53%). Distinct combinations of a set of pre-pandemic services, pandemic environment (e.g., COVID-19 new cases, restrictions), experiences (e.g., COVID-19 Worries), and age predicted each outcome subgroup.LimitationsNotable limitations of the study are its cross-sectional nature and focus on the first six months of the pandemic.ConclusionsConcomitantly assessing variation in changes of symptoms and service access during the first phase of the pandemic revealed differential outcome profiles in ASD/NDD youth. Subgroups were characterized by distinct prediction patterns across a set of pre- and pandemic-related experiences/contexts. Results may inform recovery efforts and preparedness in future crises; they also underscore the critical value of international data-sharing and collaborations to address the needs of those most vulnerable in times of crisis.
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- 2023
9. Parent-Reported Suicidal Ideation in Three Population-Based Samples of School-Aged Korean Children With Autism Spectrum Disorder and Autism Spectrum Screening Questionnaire Screen Positivity
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Bal, Vanessa H, Leventhal, Bennett L, Carter, Gregory, Kim, Hosanna, Koh, Yun-Joo, Ha, Mina, Kwon, Ho-Jang, Hong, Patricia, and Kim, Young Shin
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Psychology ,Pediatric ,Brain Disorders ,Behavioral and Social Science ,Pediatric Research Initiative ,Mental Health ,Autism ,Intellectual and Developmental Disabilities (IDD) ,Depression ,Prevention ,Mental health ,Autism Spectrum Disorder ,Autistic Disorder ,Child ,Humans ,Mass Screening ,Republic of Korea ,Suicidal Ideation ,Anxiety ,ASD ,ASP ,epidemiological sample ,suicidality ,Health sciences - Abstract
ObjectivesHigher prevalence of suicidality has been reported in individuals with ASD. This study aimed to (1) Estimate the prevalence of suicidal ideation (SI) in epidemiologically-ascertained, population-based, samples of children with ASD or Autism Spectrum Screening Questionnaire (ASSQ) Screen Positivity (ASP); (2) Determine whether ASD/ASP is an independent risk factor for SI, controlling for known SI risk factors; and, (3) Develop an explanatory model for SI in children with ASD/ASP.MethodsParticipants came from three epidemiologically-ascertained samples of school-aged Korean children (n = 14,423; 3,702; 4,837). ASSQ ≥ 14 was the cutoff for ASP. A subsample (n = 86) was confirmed to have ASD. SI was based on parents' endorsement of items on the Behavioral Assessment System for Children-2-Parent Report Scale-Children. Logistic regressions were used to assess associations between SI and ASD/ASP, controlling for demographics, peer victimization, behavior problems, and depression. To develop an explanatory model for SI within ASD/ASP, the associations between SI and child characteristics (comorbid conditions, ASD symptoms, IQ, adaptive function) were tested.ResultsSI was higher in children with ASD (14%) and ASP (16.6-27.4%) than ASSQ Screen Negative (ASN) peers (3.4-6.9%). ASD/ASP was strongly predictive of SI (ORs: 2.87-5.67), after controlling for known SI risk factors compared to ASN. Within the ASD and ASP groups, anxiety was the strongest predictor of SI.ConclusionsSI prevalence was higher in non-clinical samples of children with ASD and ASP, relative to ASN peers. These results underscore the need for routine screening for SI in children with ASD and social difficulties, particularly those with high anxiety. HighlightsPopulation-based, epidemiologically-ascertained, school-aged childrenASD and ASP are independent risk factors for SI in school-aged childrenAnxiety is an independent risk factor for SI in children with ASD or ASP.
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- 2022
10. Genome-Wide Association Study Points to Novel Locus for Gilles de la Tourette Syndrome
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Barr, Cathy L., Batterson, James R., Berlin, Cheston, Budman, Cathy L., Coppola, Giovanni, Cox, Nancy J., Darrow, Sabrina, Dion, Yves, Freimer, Nelson B., Grados, Marco A., Greenberg, Erica, Hirschtritt, Matthew E., Huang, Alden Y., Illmann, Cornelia, King, Robert A., Kurlan, Roger, Leckman, James F., Lyon, Gholson J., Malaty, Irene A., McMahon, William M., Neale, Benjamin M., Okun, Michael S., Osiecki, Lisa, Robertson, Mary M., Rouleau, Guy A., Sandor, Paul, Singer, Harvey S., Smit, Jan H., Sul, Jae Hoon, Androutsos, Christos, Basha, Entela, Farkas, Luca, Fichna, Jakub, Janik, Piotr, Kapisyzi, Mira, Karagiannidis, Iordanis, Koumoula, Anastasia, Nagy, Peter, Puchala, Joanna, Szejko, Natalia, Szymanska, Urszula, Tsironi, Vaia, Apter, Alan, Ball, Juliane, Bodmer, Benjamin, Bognar, Emese, Buse, Judith, Vela, Marta Correa, Fremer, Carolin, Garcia-Delgar, Blanca, Gulisano, Mariangela, Hagen, Annelieke, Hagstrøm, Julie, Madruga-Garrido, Marcos, Pellico, Alessandra, Ruhrman, Daphna, Schnell, Jaana, Silvestri, Paola Rosaria, Skov, Liselotte, Steinberg, Tamar, Gloor, Friederike Tagwerker, Turner, Victoria L., Weidinger, Elif, Alexander, John, Aranyi, Tamas, Buisman, Wim R., Buitelaar, Jan K., Driessen, Nicole, Drineas, Petros, Fan, Siyan, Forde, Natalie J., Gerasch, Sarah, van den Heuvel, Odile A., Jespersgaard, Cathrine, Kanaan, Ahmad S., Möller, Harald E., Nawaz, Muhammad S., Nespoli, Ester, Pagliaroli, Luca, Poelmans, Geert, Pouwels, Petra J.W., Rizzo, Francesca, Veltman, Dick J., van der Werf, Ysbrand D., Widomska, Joanna, Zilhäo, Nuno R., Brown, Lawrence W., Cheon, Keun-Ah, Coffey, Barbara J., Fernandez, Thomas V., Gilbert, Donald L., Hong, Hyun Ju, Ibanez-Gomez, Laura, Kim, Eun-Joo, Kim, Young Key, Kim, Young-Shin, Koh, Yun-Joo, Kook, Sodahm, Kuperman, Samuel, Leventhal, Bennett L., Maras, Athanasios, Murphy, Tara L., Shin, Eun-Young, Song, Dong-Ho, Song, Jungeun, State, Matthew W., Visscher, Frank, Wang, Sheng, Zinner, Samuel H., Tsetsos, Fotis, Topaloudi, Apostolia, Jain, Pritesh, Yang, Zhiyu, Yu, Dongmei, Kolovos, Petros, Tumer, Zeynep, Rizzo, Renata, Hartmann, Andreas, Depienne, Christel, Worbe, Yulia, Müller-Vahl, Kirsten R., Cath, Danielle C., Boomsma, Dorret I., Wolanczyk, Tomasz, Zekanowski, Cezary, Barta, Csaba, Nemoda, Zsofia, Tarnok, Zsanett, Padmanabhuni, Shanmukha S., Buxbaum, Joseph D., Grice, Dorothy, Glennon, Jeffrey, Stefansson, Hreinn, Hengerer, Bastian, Yannaki, Evangelia, Stamatoyannopoulos, John A., Benaroya-Milshtein, Noa, Cardona, Francesco, Hedderly, Tammy, Heyman, Isobel, Huyser, Chaim, Mir, Pablo, Morer, Astrid, Mueller, Norbert, Munchau, Alexander, Plessen, Kerstin J., Porcelli, Cesare, Roessner, Veit, Walitza, Susanne, Schrag, Anette, Martino, Davide, Tischfield, Jay A., Heiman, Gary A., Willsey, A. Jeremy, Dietrich, Andrea, Davis, Lea K., Crowley, James J., Mathews, Carol A., Scharf, Jeremiah M., Georgitsi, Marianthi, Hoekstra, Pieter J., and Paschou, Peristera
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- 2024
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11. Diversified reward-risk parity in portfolio construction
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Choi, Jaehyung, Kim, Hyangju, and Kim, Young Shin
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Quantitative Finance - Portfolio Management - Abstract
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed reward-risk parity strategies and compare their performance with an equally-weighted risk portfolio in various asset universes. The reward-risk parity strategies we tested exhibit consistent outperformance evidenced by higher average returns, Sharpe ratios, and Calmar ratios. The alternative allocations also reflect less downside risks in Value-at-Risk, conditional Value-at-Risk, and maximum drawdown. In addition to the enhanced performance and reward-risk profile, transaction costs can be reduced by lowering turnover rates. The diversified reward-risk parity allocations gain superior performance in the Carhart four-factor analysis., Comment: 27 pages
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- 2021
12. Investigation of gene-environment interactions in relation to tic severity.
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Abdulkadir, Mohamed, Yu, Dongmei, Osiecki, Lisa, King, Robert A, Fernandez, Thomas V, Brown, Lawrence W, Cheon, Keun-Ah, Coffey, Barbara J, Garcia-Delgar, Blanca, Gilbert, Donald L, Grice, Dorothy E, Hagstrøm, Julie, Hedderly, Tammy, Heyman, Isobel, Hong, Hyun Ju, Huyser, Chaim, Ibanez-Gomez, Laura, Kim, Young Key, Kim, Young-Shin, Koh, Yun-Joo, Kook, Sodahm, Kuperman, Samuel, Leventhal, Bennett, Madruga-Garrido, Marcos, Maras, Athanasios, Mir, Pablo, Morer, Astrid, Münchau, Alexander, Plessen, Kerstin J, Roessner, Veit, Shin, Eun-Young, Song, Dong-Ho, Song, Jungeun, Visscher, Frank, Zinner, Samuel H, Mathews, Carol A, Scharf, Jeremiah M, Tischfield, Jay A, Heiman, Gary A, Dietrich, Andrea, and Hoekstra, Pieter J
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Humans ,Tourette Syndrome ,Tics ,Severity of Illness Index ,Attention Deficit Disorder with Hyperactivity ,Pregnancy ,Female ,Genome-Wide Association Study ,Gene-Environment Interaction ,Autism Spectrum Disorder ,Gene–environment interaction ,Pre- and perinatal complications ,Tic severity ,Tourette syndrome ,Mental Health ,Autism ,Genetics ,Pediatric ,Neurosciences ,Serious Mental Illness ,Brain Disorders ,Human Genome ,Neurodegenerative ,Intellectual and Developmental Disabilities (IDD) ,Aetiology ,2.1 Biological and endogenous factors ,Mental health ,Gene-environment interaction ,Psychology ,Neurology & Neurosurgery - Abstract
Tourette syndrome (TS) is a neuropsychiatric disorder with involvement of genetic and environmental factors. We investigated genetic loci previously implicated in Tourette syndrome and associated disorders in interaction with pre- and perinatal adversity in relation to tic severity using a case-only (N = 518) design. We assessed 98 single-nucleotide polymorphisms (SNPs) selected from (I) top SNPs from genome-wide association studies (GWASs) of TS; (II) top SNPs from GWASs of obsessive-compulsive disorder (OCD), attention-deficit/hyperactivity disorder (ADHD), and autism spectrum disorder (ASD); (III) SNPs previously implicated in candidate-gene studies of TS; (IV) SNPs previously implicated in OCD or ASD; and (V) tagging SNPs in neurotransmitter-related candidate genes. Linear regression models were used to examine the main effects of the SNPs on tic severity, and the interaction effect of these SNPs with a cumulative pre- and perinatal adversity score. Replication was sought for SNPs that met the threshold of significance (after correcting for multiple testing) in a replication sample (N = 678). One SNP (rs7123010), previously implicated in a TS meta-analysis, was significantly related to higher tic severity. We found a gene-environment interaction for rs6539267, another top TS GWAS SNP. These findings were not independently replicated. Our study highlights the future potential of TS GWAS top hits in gene-environment studies.
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- 2021
13. Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
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Kim, Young Shin
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Quantitative Finance - Computational Finance ,Quantitative Finance - Pricing of Securities - Abstract
This paper proposes the sample path generation method for the stochastic volatility version of CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S\&P 100 index options market, using the least square regression method. Moreover, we discuss path-dependent options such as Asian and Barrier options.
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- 2021
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14. Prenatal exposure to paternal smoking and likelihood for autism spectrum disorder
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Kim, Bora, Ha, Mina, Kim, Young Shin, Koh, Yun-Joo, Dong, Shan, Kwon, Ho-Jang, Kim, Young-Suk, Lim, Myung-Ho, Paik, Ki-Chung, Yoo, Seung-Jin, Kim, Hosanna, Hong, Patricia S, Sanders, Stephan J, and Leventhal, Bennett L
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Biomedical and Clinical Sciences ,Psychology ,Behavioral and Social Science ,Autism ,Pediatric ,Genetics ,Tobacco Smoke and Health ,Intellectual and Developmental Disabilities (IDD) ,Tobacco ,Mental Health ,Prevention ,Brain Disorders ,2.3 Psychological ,social and economic factors ,2.1 Biological and endogenous factors ,Aetiology ,Reproductive health and childbirth ,Mental health ,Autism Spectrum Disorder ,Causality ,Family ,Female ,Humans ,Pregnancy ,Prenatal Exposure Delayed Effects ,Risk Factors ,Smoking ,autism spectrum disorders ,environmental factors ,risk factor epidemiology ,Specialist Studies in Education ,Cognitive Sciences ,Developmental & Child Psychology ,Biomedical and clinical sciences - Abstract
Lay abstractWhat is Already Known about This Subject: Genetics, (including de novo mutations), environmental factors (including toxic exposures), and their interactions impact autism spectrum disorder etiology. Paternal smoking is a candidate risk for autism spectrum disorder due to biological plausibility, high prevalence, and potential intervention.What This Study Adds: This original study and its replication confirms that paternal factors can substantially contribute to autism spectrum disorder risk for their offspring. It specifically indicates that paternal smoking both before and during pregnancy contributes significantly to autism spectrum disorder risk.Implications for practice, research, or policy: Smoking prevention, especially in pregnancy planning, may decrease autism spectrum disorder risk in offspring.
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- 2021
15. Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk
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Kurosaki, Tetsuo and Kim, Young Shin
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Quantitative Finance - Portfolio Management - Abstract
We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate normal tempered stable (MNTS) distributed residuals used to capture the non-Gaussian cryptocurrency return dynamics. Based on the time series model, we optimize the portfolio in terms of Foster-Hart risk. Those sophisticated techniques are not yet documented in the context of cryptocurrency. Statistical tests suggest that the MNTS distributed GARCH model fits better with cryptocurrency returns than the competing GARCH-type models. We find that Foster-Hart optimization yields a more profitable portfolio with better risk-return balance than the prevailing approach., Comment: 15 pages, 5 tables, 1 figure
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- 2020
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16. Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation
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Peng, Cheng, Kim, Young Shin, and Mittnik, Stefan
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Quantitative Finance - Risk Management ,Quantitative Finance - Mathematical Finance ,Quantitative Finance - Portfolio Management - Abstract
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility clustering and regime switch. The volatility of each asset independently follows the regime-switch GARCH model, while the correlation of joint innovation of the GARCH models follows the Hidden Markov Model. (ii) We use tail risk measures, namely conditional value-at-risk (CVaR) and conditional drawdown-at-risk (CDaR), in the portfolio optimization. The optimization is performed with the sample paths simulated by the MRS-MNTS-GARCH model. We conduct an empirical study on the performance of optimal portfolios. Out-of-sample tests show that the optimal portfolios with tail measures outperform the optimal portfolio with standard deviation measure and the equally weighted portfolio in various performance measures. The out-of-sample performance of the optimal portfolios is also more robust to suboptimality on the efficient frontier.
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- 2020
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17. Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk
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Kim, Young Shin
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Quantitative Finance - Portfolio Management - Abstract
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribution and the tempered stable subordinator. This distribution is able to capture two stylized facts: fat-tails and asymmetry, that have been empirically observed for asset return distributions. On the new market model, we discuss a new portfolio optimization method, which is an extension of Markowitz's mean-variance optimization. The new optimization method considers not only reward and dispersion but also asymmetry. The efficient frontier is also extended to a curved surface on three-dimensional space of reward, dispersion, and asymmetry. We also propose a new performance measure which is an extension of the Sharpe Ratio. Moreover, we derive closed-form solutions for two important measures used by portfolio managers in portfolio construction: the marginal Value-at-Risk (VaR) and the marginal Conditional VaR (CVaR). We illustrate the proposed model using stocks comprising the Dow Jones Industrial Average. First, perform the new portfolio optimization and then demonstrating how the marginal VaR and marginal CVaR can be used for portfolio optimization under the model. Based on the empirical evidence presented in this paper, our framework offers realistic portfolio optimization and tractable methods for portfolio risk management.
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- 2020
18. Tempered Stable Processes with Time Varying Exponential Tails
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Kim, Young Shin, Roh, Kum-Hwan, and Douady, Raphael
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Quantitative Finance - Computational Finance - Abstract
In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-varying parameter. The model captures the stochastic exponential tail, which generates the volatility smile effect and volatility term structure in option pricing. Moreover, the model describes the time-varying volatility of volatility. We empirically show the stochastic skewness and stochastic kurtosis by applying the model to analyze S&P 500 index return data. We present the Monte-Carlo simulation technique for the parameter calibration of the model for the S&P 500 option prices. We can see that the stochastic exponential tail makes the model better to analyze the market option prices by the calibration., Comment: Kum-Hwan Roh gratefully acknowledges the support of Basic Science Research Program through the National Research Foundation of Korea (NRF) grant funded by the Korea government [Grant No. NRF-2017R1D1A3B03036548]
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- 2020
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19. Option Pricing in Markets with Informed Traders
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Hu, Yuan, Shirvani, Abootaleb, Stoyanov, Stoyan, Kim, Young Shin, Fabozzi, Frank J., and Rachev, Svetlozar T.
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Quantitative Finance - Mathematical Finance - Abstract
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete markets where we consider traders with information on the stock price direction and stock return mean. The Black-Scholes-Merton option pricing theory is extended for markets with informed traders, where price processes are following continuous-diffusions. By doing so, the discontinuity puzzle in option pricing is resolved. Using market option data, we estimate the implied surface of the probability for a stock upturn, the implied mean stock return surface, and implied trader information intensity surface., Comment: This paper is forthcoming in the Journal of Theoretical and Applied Finance and has corrections to the preprint posted on the journal's web site
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- 2020
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20. Analyzing the stress characteristics of glass as a function of cooling rate when applying air and mist for rapid cooling of glass heated to high temperatures
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Kim, Young Shin and Jeon, Euy Sik
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- 2023
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21. Effects of surface treatment method and fabric type on adhesion between PP material and artificial fabrics
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Kim, Young Shin and Jeon, Euy Sik
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- 2023
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22. Neurodevelopmental Profiles of 4-Year-Olds in the Navajo Birth Cohort Study
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Rennie, Brandon J., Bishop, Somer, Leventhal, Bennett L., Zheng, Shuting, Geib, Ellen F., Kim, Young Shin, Burnette, Courtney, Salzman, Emma, Nozadi, Sara S., Kim, Hosanna, Ence, Whitney, Park, Mina, Ghods, Sheila, Welch, Maria L., MacKenzie, Debra, and Lewis, Johnnye
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- 2023
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23. Latent and controllable doping of stimuli-activated molecular dopants for flexible and printable organic thermoelectric generators
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Kim, Young-Shin, Kim, Hoimin, Yoon, Taewoong, Kim, Min-Jae, Lee, Jiyun, Lee, Hansol, Lee, Dongki, Song, Young Jae, Kwon, Jimin, Jo, Sae Byeok, Cho, Jeong Ho, Lee, Seung Goo, and Kang, Boseok
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- 2023
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24. Sex differences in scores on standardized measures of autism symptoms: a multisite integrative data analysis.
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Kaat, Aaron J, Shui, Amy M, Ghods, Sheila S, Farmer, Cristan A, Esler, Amy N, Thurm, Audrey, Georgiades, Stelios, Kanne, Stephen M, Lord, Catherine, Kim, Young Shin, and Bishop, Somer L
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Humans ,Autistic Disorder ,Sex Characteristics ,Adolescent ,Adult ,Child ,Child ,Preschool ,Female ,Male ,Autism Spectrum Disorder ,Data Analysis ,Sex differences ,autism spectrum disorder ,restricted and repetitive behavior ,social impairment ,Pediatric ,Autism ,Mental Health ,Clinical Research ,Brain Disorders ,Intellectual and Developmental Disabilities (IDD) ,Mental health ,Clinical Sciences ,Psychology ,Cognitive Sciences ,Developmental & Child Psychology - Abstract
BackgroundConcerns have been raised that scores on standard measures of autism spectrum disorder (ASD) symptoms may differ as a function of sex. However, these findings are hindered by small female samples studied thus far. The current study evaluated if, after accounting for age, IQ, and language level, sex affects ASD severity estimates from diagnostic measures among children with ASD.MethodsData were obtained from eight sources comprising 27 sites. Linear mixed-effects models, including a random effect for site, were fit for 10 outcomes (Autism Diagnostic Observation Schedule [ADOS] domain-level calibrated severity scores, Autism Diagnostic Interview-Revised [ADI-R] raw scores by age-based algorithm, and raw scores from the two indices on the Social Responsiveness Scale [SRS]). Sex was added to the models after controlling for age, NVIQ, and an indicator for language level.ResultsSex significantly improved model fit for half of the outcomes, but least square mean differences were generally negligible (effect sizes [ES]
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- 2021
25. Prevalence and cumulative incidence of autism spectrum disorders and the patterns of co-occurring neurodevelopmental disorders in a total population sample of 5-year-old children
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Saito, Manabu, Hirota, Tomoya, Sakamoto, Yui, Adachi, Masaki, Takahashi, Michio, Osato-Kaneda, Ayako, Kim, Young Shin, Leventhal, Bennett, Shui, Amy, Kato, Sumi, and Nakamura, Kazuhiko
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Biomedical and Clinical Sciences ,Clinical Sciences ,Intellectual and Developmental Disabilities (IDD) ,Pediatric Research Initiative ,Mental Health ,Pediatric ,Clinical Research ,Brain Disorders ,Autism ,Aetiology ,2.4 Surveillance and distribution ,Mental health ,Autism Spectrum Disorder ,Child ,Preschool ,Comorbidity ,Cross-Sectional Studies ,Female ,Humans ,Incidence ,Infant ,Japan ,Male ,Neurodevelopmental Disorders ,Population Surveillance ,Prevalence ,Risk Assessment ,Risk Factors ,Socioeconomic Factors ,Cumulative incidence ,Co-existing neurodevelopmental disorders ,Autism spectrum disorder ,A total population study ,a total population sample ,prevalence ,cumulative incidence ,Neurosciences ,Clinical sciences ,Biological psychology - Abstract
BackgroundsWhether there is a true increase in autism spectrum disorder (ASD) frequency or not remains unclear. Additionally, the rates of co-existing neurodevelopmental disorders (NDD) in a total population sample has not been fully examined before. Therefore, using a total population sample in Japan, we aimed to estimate the prevalence and cumulative incidence of autism spectrum disorder (ASD) annually, to determine whether there is a true increase in ASD prevalence by estimating the cumulative incidence of ASD annually, and to examine the rates of co-existing neurodevelopmental disorders (NDD).MethodIn this cross-sectional sequential design study, all 5-year-old children in the catchment area underwent the screening annually from the year 2013-2016. Screen-positive children were invited to participate in a comprehensive assessment, including child and parent interview, behavioral observation, and cognitive and motor function testing. All cases were reviewed by a multidisciplinary research team.ResultsCaregivers of 3954 children returned the screening, among which 559 children underwent the assessment with 87 children receiving an ASD diagnosis. Adjusted ASD prevalence was 3.22% (95% confidence interval (CI) 2.66-3.76%). The male to female ratio of the crude prevalence was 2.2:1. The cumulative incidence of ASD up to 5 years of age for the total study years was 1.31% (95% CI 1.00-1.62%). A generalized linear model revealed no significant linear trends in 5-year cumulative incidence over the study years. Only 11.5% of children had ASD alone; the remaining 88.5% were found to have at least one co-existing NDD.LimitationsModest sample size for a total population study.ConclusionsOur findings demonstrate the stability of the 5-year cumulative incidence of ASD, implying no true rise in ASD incident cases over the 4-year study period in the study catchment area. High rates of co-existing NDDs reflect the importance of investigating broad developmental challenges in children with ASD.
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- 2020
26. Prevalence of and Factors Associated with School Bullying in Students with Autism Spectrum Disorder: A Cross-Cultural Meta-Analysis.
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Park, Inhwan, Gong, Jared, Lyons, Gregory L, Hirota, Tomoya, Takahashi, Michio, Kim, Bora, Lee, Seung Yeon, Kim, Young Shin, Lee, Jeongsoo, and Leventhal, Bennett L
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Humans ,Prevalence ,Interpersonal Relations ,Cross-Cultural Comparison ,Students ,Adolescent ,Child ,Child ,Preschool ,Crime Victims ,Female ,Male ,Young Adult ,Bullying ,Autism Spectrum Disorder ,Students with ASD ,associated factors ,bullying ,cultural difference ,methodological quality ,prevalence ,Preschool ,General & Internal Medicine ,Medical and Health Sciences - Abstract
Through this meta-analysis, we sought to examine the prevalence of, risks for, and factors associated with bullying involvement (victimization, perpetration, perpetration-victimization) among students with autism spectrum disorder (ASD). Additionally, we attempted to examine sources of variance in the prevalence and effect sizes of bullying in students with ASD across studies. Systematic database and literature review identified 34 relevant studies (31 for Western countries, three for Eastern countries). Pooled prevalence estimates for victimization, perpetration, and perpetration-victimization in general were 67%, 29%, and 14%, respectively. The risk of victimization in students with ASD was significantly higher than that in typically developing students and students with other disabilities. Further, deficits in social interaction and communication, externalizing symptoms, internalizing symptoms, and integrated inclusive school settings were related to higher victimization, and externalizing symptoms were related to higher perpetration. Finally, moderation analyses revealed significant variations in the pooled prevalences thereof depending on culture, age, school settings, and methodological quality and in the pooled effect sizes according to publication year and methodological quality. Our results highlight needs for bullying intervention for students with ASD, especially those who are younger, are in an inclusive school setting, and have higher social difficulties and externalizing/internalizing symptoms; for intensive research of bullying experiences among students with ASD in Eastern countries; and for efforts to improve the methodological quality of such research.
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- 2020
27. Adaptation of autism spectrum screening questionnaire (ASSQ) for use in Georgian school settings
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Zirakashvili, Medea, Gabunia, Maia, Mebonia, Nana, Mikiashvili, Tamar, Lomidze, Giorgi, Bishop, Somer, Leventhal, Bennett, and Kim, Young Shin
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- 2022
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28. Boosting thermoelectric performance of conjugated polymers via interchain molecular docking: Significance of highly crystalline and percolated morphology
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Lee, Hansol, Lee, Su Bin, Kim, Young-Shin, Kim, Hoimin, Kim, Min-Jae, Yoon, Tae Woong, Lee, Dongki, Cho, Jeong Ho, Kim, Yun-Hi, and Kang, Boseok
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- 2023
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29. Familial Risk of Gout and Interaction With Obesity and Alcohol Consumption: A Population‐Based Cohort Study in Korea
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Kim, Kyoung‐Hoon, Choi, In Ah, Kim, Hyun Jung, Swan, Heather, Kazmi, Sayada Zartasha, Hong, Gahwi, Kim, Young Shin, Choi, Seeun, Kang, Taeuk, Cha, Jaewoo, Eom, Jungmin, Kim, Kyeong Uoon, Hann, Hoo Jae, and Ahn, Hyeong Sik
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- 2023
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30. Diversified Reward-Risk Parity in Portfolio Construction
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Choi, Jaehyung, primary, Kim, Hyangju, additional, and Kim, Young Shin, additional
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- 2024
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31. Development and Validation of Prediction Models for the Diagnosis of Autism Spectrum Disorder in a Korean General Population
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Kim, Hyelee, primary, Leventhal, Bennett L., additional, Koh, Yun-Joo, additional, Gennatas, Efstathios D., additional, and Kim, Young Shin, additional
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- 2024
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32. Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
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Kim, Young Shin
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- 2022
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33. Child mortality of twins and singletons among late preterm and term birth: a study of national linked birth and under-five mortality data of Korea
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Kim, Young Shin, Kang, Minku, Choe, Young June, Sung, Joohon, Lee, Ji Yeon, and Choe, Seung-Ah
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- 2022
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34. First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing
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Kim, Young Shin
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Quantitative Finance - Pricing of Securities - Abstract
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process is provided explicitly or by an indirect numerical method. This will be applied to the perpetual American option pricing and the barrier option pricing. Numerical illustrations are provided for the calibrated parameters using the market call and put prices.
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- 2018
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35. Another Look at the Ho-Lee Bond Option Pricing Model
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Kim, Young Shin, Stoyanov, Stoyan, Rachev, Svetlozar, and Fabozzi, Frank J.
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Quantitative Finance - Mathematical Finance - Abstract
In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model. This is achieved with the introduction of a more flexible no-arbitrage condition in contrast to the one assumed in the Ho-Lee model.
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- 2017
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36. Genome-wide de novo risk score implicates promoter variation in autism spectrum disorder
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An, Joon-Yong, Lin, Kevin, Zhu, Lingxue, Werling, Donna M, Dong, Shan, Brand, Harrison, Wang, Harold Z, Zhao, Xuefang, Schwartz, Grace B, Collins, Ryan L, Currall, Benjamin B, Dastmalchi, Claudia, Dea, Jeanselle, Duhn, Clif, Gilson, Michael C, Klei, Lambertus, Liang, Lindsay, Markenscoff-Papadimitriou, Eirene, Pochareddy, Sirisha, Ahituv, Nadav, Buxbaum, Joseph D, Coon, Hilary, Daly, Mark J, Kim, Young Shin, Marth, Gabor T, Neale, Benjamin M, Quinlan, Aaron R, Rubenstein, John L, Sestan, Nenad, State, Matthew W, Willsey, A Jeremy, Talkowski, Michael E, Devlin, Bernie, Roeder, Kathryn, and Sanders, Stephan J
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Human Genome ,Genetics ,Biotechnology ,Intellectual and Developmental Disabilities (IDD) ,Mental Health ,Brain Disorders ,Autism ,Pediatric ,2.1 Biological and endogenous factors ,Aetiology ,Mental health ,Autism Spectrum Disorder ,Binding Sites ,Conserved Sequence ,DNA Mutational Analysis ,Genetic Loci ,Genetic Variation ,Humans ,Mutation ,Pedigree ,Promoter Regions ,Genetic ,Risk ,Transcription Factors ,General Science & Technology - Abstract
Whole-genome sequencing (WGS) has facilitated the first genome-wide evaluations of the contribution of de novo noncoding mutations to complex disorders. Using WGS, we identified 255,106 de novo mutations among sample genomes from members of 1902 quartet families in which one child, but not a sibling or their parents, was affected by autism spectrum disorder (ASD). In contrast to coding mutations, no noncoding functional annotation category, analyzed in isolation, was significantly associated with ASD. Casting noncoding variation in the context of a de novo risk score across multiple annotation categories, however, did demonstrate association with mutations localized to promoter regions. We found that the strongest driver of this promoter signal emanates from evolutionarily conserved transcription factor binding sites distal to the transcription start site. These data suggest that de novo mutations in promoter regions, characterized by evolutionary and functional signatures, contribute to ASD.
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- 2018
37. Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk
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Kurosaki, Tetsuo and Kim, Young Shin
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- 2022
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38. Bullying
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Kim, Young-Shin, Hwang, Soonjo, Leventhal, Bennett, and Volkmar, Fred R., editor
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- 2021
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39. Investigation of previously implicated genetic variants in chronic tic disorders: a transmission disequilibrium test approach
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Abdulkadir, Mohamed, Londono, Douglas, Gordon, Derek, Fernandez, Thomas V, Brown, Lawrence W, Cheon, Keun-Ah, Coffey, Barbara J, Elzerman, Lonneke, Fremer, Carolin, Fründt, Odette, Garcia-Delgar, Blanca, Gilbert, Donald L, Grice, Dorothy E, Hedderly, Tammy, Heyman, Isobel, Hong, Hyun Ju, Huyser, Chaim, Ibanez-Gomez, Laura, Jakubovski, Ewgeni, Kim, Young Key, Kim, Young Shin, Koh, Yun-Joo, Kook, Sodahm, Kuperman, Samuel, Leventhal, Bennett, Ludolph, Andrea G, Madruga-Garrido, Marcos, Maras, Athanasios, Mir, Pablo, Morer, Astrid, Müller-Vahl, Kirsten, Münchau, Alexander, Murphy, Tara L, Plessen, Kerstin J, Roessner, Veit, Shin, Eun-Young, Song, Dong-Ho, Song, Jungeun, Tübing, Jennifer, van den Ban, Els, Visscher, Frank, Wanderer, Sina, Woods, Martin, Zinner, Samuel H, King, Robert A, Tischfield, Jay A, Heiman, Gary A, Hoekstra, Pieter J, and Dietrich, Andrea
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Biomedical and Clinical Sciences ,Biological Psychology ,Clinical Sciences ,Neurosciences ,Psychology ,Brain Disorders ,Autism ,Genetics ,Pediatric ,Mental Health ,Intellectual and Developmental Disabilities (IDD) ,Tourette Syndrome ,Neurodegenerative ,Human Genome ,2.1 Biological and endogenous factors ,Aetiology ,Mental health ,Adolescent ,Adult ,Child ,Child ,Preschool ,Family Health ,Female ,Genome-Wide Association Study ,Genotype ,Humans ,Linkage Disequilibrium ,Male ,Microtubule-Associated Proteins ,Middle Aged ,Polymorphism ,Single Nucleotide ,Severity of Illness Index ,Tic Disorders ,Tryptophan Hydroxylase ,Young Adult ,Attention-deficit/hyperactivity disorder ,Candidate gene study ,Obsessive-compulsive disorder ,Tourette syndrome ,Transmission Disequilibrium Test ,Obsessive–compulsive disorder ,Cognitive Sciences ,Psychiatry ,Clinical sciences ,Biological psychology - Abstract
Genetic studies in Tourette syndrome (TS) are characterized by scattered and poorly replicated findings. We aimed to replicate findings from candidate gene and genome-wide association studies (GWAS). Our cohort included 465 probands with chronic tic disorder (93% TS) and both parents from 412 families (some probands were siblings). We assessed 75 single nucleotide polymorphisms (SNPs) in 465 parent-child trios; 117 additional SNPs in 211 trios; and 4 additional SNPs in 254 trios. We performed SNP and gene-based transmission disequilibrium tests and compared nominally significant SNP results with those from a large independent case-control cohort. After quality control 71 SNPs were available in 371 trios; 112 SNPs in 179 trios; and 3 SNPs in 192 trios. 17 were candidate SNPs implicated in TS and 2 were implicated in obsessive-compulsive disorder (OCD) or autism spectrum disorder (ASD); 142 were tagging SNPs from eight monoamine neurotransmitter-related genes (including dopamine and serotonin); 10 were top SNPs from TS GWAS; and 13 top SNPs from attention-deficit/hyperactivity disorder, OCD, or ASD GWAS. None of the SNPs or genes reached significance after adjustment for multiple testing. We observed nominal significance for the candidate SNPs rs3744161 (TBCD) and rs4565946 (TPH2) and for five tagging SNPs; none of these showed significance in the independent cohort. Also, SLC1A1 in our gene-based analysis and two TS GWAS SNPs showed nominal significance, rs11603305 (intergenic) and rs621942 (PICALM). We found no convincing support for previously implicated genetic polymorphisms. Targeted re-sequencing should fully appreciate the relevance of candidate genes.
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- 2018
40. Autism Spectrum Disorder and School Bullying: Who is the Victim? Who is the Perpetrator?
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Hwang, Soonjo, Kim, Young Shin, Koh, Yun-Joo, and Leventhal, Bennett L
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Prevention ,Violence Research ,Brain Disorders ,Mental Health ,Pediatric Research Initiative ,Youth Violence ,Intellectual and Developmental Disabilities (IDD) ,Youth Violence Prevention ,Behavioral and Social Science ,Physical Injury - Accidents and Adverse Effects ,Pediatric ,Autism ,2.3 Psychological ,social and economic factors ,Aetiology ,Mental health ,Autism Spectrum Disorder ,Bullying ,Child ,Comorbidity ,Crime Victims ,Cross-Sectional Studies ,Female ,Humans ,Longitudinal Studies ,Male ,Schools ,Students ,School bullying ,Autism spectrum disorder ,DSM-5 ,Comorbid psychopathology ,Autism diagnostic observation scale and autism diagnostic interview ,Behavior assessment system for children ,Education ,Psychology and Cognitive Sciences ,Developmental & Child Psychology - Abstract
While a growing number of studies indicate associations between experiences of bullying and autism spectrum disorder (ASD), it is not clear what roles comorbid behavioral problems may play. We investigated the experiences of children with ASD as victims and/or perpetrators of bullying. Children with ASD epidemiologically ascertained participated in a cross-sectional study. Although children with ASD showed significantly increased risk for bullying involvement compared to community children, after controlling for comorbid psychopathology and other demographic factors, increased risks for being perpetrators or victim-perpetrators disappeared while risk for being bullied/teased continued to be significantly elevated. This finding will help guide medical, educational and community personnel to effectively identify children with ASD at risk for school bullying and develop interventions.
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- 2018
41. Course of Tic Severity in Tourette Syndrome: The First Two Decades
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Leckman, James F., primary, Zhang, Heping, additional, Vitale, Amy, additional, Lahnin, Fatima, additional, Lynch, Kimberly, additional, Bondi, Colin, additional, Kim, Young-Shin, additional, and Peterson, Bradley S., additional
- Published
- 2022
- Full Text
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42. The mHealth Applications Usability Evaluation Review.
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Muhammad Zaki Ansaar, Jamil Hussain, Jae Hun Bang, Sungyoung Lee 0001, Kim Young Shin, and Kim Young Woo
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- 2020
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43. Aumann–Serrano index of risk in portfolio optimization
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Li, Tiantian, Kim, Young Shin, Fan, Qi, and Zhu, Fumin
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- 2021
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44. Measuring Consonants
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Figueroa, Mauricio, primary and Kim, Young Shin, additional
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- 2021
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45. Discrepancy in perception of bullying experiences and later internalizing and externalizing behavior: A prospective study.
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Hwang, Soonjo, Kim, Young Shin, Koh, Yun-Joo, Bishop, Somer, and Leventhal, Bennett L
- Subjects
Humans ,Risk Factors ,Follow-Up Studies ,Prospective Studies ,Aggression ,Depression ,Defense Mechanisms ,Dental Anxiety ,Peer Group ,Adolescent ,Child ,Crime Victims ,Female ,Male ,Self Report ,Bullying ,adolescence ,bullying ,discrepancy in the perception of bullying experiences ,internalizing/externalizing behavior ,internalizing ,externalizing behavior ,Pediatric ,Clinical Research ,Mental Health ,Behavioral and Social Science ,Youth Violence ,Violence Research ,Criminology ,Psychology ,Developmental & Child Psychology - Abstract
Discrepancy in perception of bullying experiences may lead to later internalizing or externalizing behavior in adolescents. A 1,663 South Korean 7th and 8th graders (mean age: 13.1 and 14.1 years old), were seen for a follow-up study to examine the relationships between the discrepancy in perception of their bullying experiences (defined as discrepancy between self- and peer-reports of bullying experiences) and internalizing or externalizing behavior at follow-up. Bullying was assessed by self- and peer-report. The discrepancy in perception of bullying experiences was defined by the concordance or discordance between self- and peer-reports. Internalizing and externalizing behavior was evaluated using the Youth Self Report and Child Behavior Checklist, at baseline and follow-up. Two by two ANCOVA was performed with a factorial design, categorizing discrepancy in perception of bullying experiences based on the agreement between self-report and peer-report. Internalizing/externalizing behavior-at-follow-up was used as an outcome, adjusting for other known risk factors for internalizing/externalizing behavior, including baseline internalizing/externalizing behavior, and bullying experiences. Adolescents with perceptions of bullying experiences discrepant from peer-reports showed increased internalizing/externalizing behavior at follow-up. Bullying also stands out as an independent risk factor for the development of future externalizing behavior even among adolescents with accurate perceptions of bullying experiences. These specific groups of youth warrant more focused assessment and intervention.
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- 2017
46. Cross-Cultural Aspect of Behavior Assessment System for Children-2, Parent Rating Scale-Child: Standardization in Korean Children.
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Kim, Young Shin, Song, J, Leventhal, BL, Koh, YJ, Cheon, KA, Hong, HJ, Kim, YK, Cho, K, Lim, EC, Park, JI, and Kim, YS
- Abstract
Our study aimed to examine psychometric properties and cross-cultural utility of the Behavior Assessment System for Children-2, Parent Rating Scale-Child (BASC-2 PRS-C) in Korean children.Two study populations were recruited: a general population sample (n
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- 2017
47. Often Asked but Rarely Answered: Can Asians Meet DSM-5/ICD-10 Autism Spectrum Disorder Criteria?
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Kim, So Hyun, Kim, Young Shin, Koh, Yun-Joo, Lim, Eun-Chung, Kim, Soo-Jeong, and Leventhal, Bennett L
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Pharmacology and Pharmaceutical Sciences ,Biomedical and Clinical Sciences ,Clinical Research ,Behavioral and Social Science ,Pediatric ,Intellectual and Developmental Disabilities (IDD) ,Brain Disorders ,Mental Health ,Autism ,Mental health ,Adolescent ,Asian People ,Autism Spectrum Disorder ,Child ,Diagnostic and Statistical Manual of Mental Disorders ,Factor Analysis ,Statistical ,Female ,Humans ,International Classification of Diseases ,Male ,Phenotype ,Republic of Korea ,Sensitivity and Specificity ,Social Behavior ,autism spectrum disorder ,diagnostic assessment ,cross-cultural application ,Developmental & Child Psychology ,Pharmacology and pharmaceutical sciences - Abstract
ObjectivesTo evaluate whether Asian (Korean children) populations can be validly diagnosed with autism spectrum disorder (ASD) using Western-based diagnostic instruments and criteria based on Diagnostic and Statistical Manual on Mental Disorders, 5th edition (DSM-5).MethodsParticipants included an epidemiologically ascertained 7-14-year-old (N = 292) South Korean cohort from a larger prevalence study (N = 55,266). Main outcomes were based on Western-based diagnostic methods for Korean children using gold standard instruments, Autism Diagnostic Interview-Revised, and Autism Diagnostic Observation Schedule. Factor analysis and ANOVAs were performed to examine factor structure of autism symptoms and identify phenotypic differences between Korean children with ASD and non-ASD diagnoses.ResultsUsing Western-based diagnostic methods, Korean children with ASD were successfully identified with moderate-to-high diagnostic validity (sensitivities/specificities ranging 64%-93%), strong internal consistency, and convergent/concurrent validity. The patterns of autism phenotypes in a Korean population were similar to those observed in a Western population with two symptom domains (social communication and restricted and repetitive behavior factors). Statistically significant differences in the use of socially acceptable communicative behaviors (e.g., direct gaze, range of facial expressions) emerged between ASD versus non-ASD cases (mostly p
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- 2016
48. Pre- and perinatal complications in relation to Tourette syndrome and co-occurring obsessive-compulsive disorder and attention-deficit/hyperactivity disorder
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Abdulkadir, Mohamed, Tischfield, Jay A, King, Robert A, Fernandez, Thomas V, Brown, Lawrence W, Cheon, Keun-Ah, Coffey, Barbara J, de Bruijn, Sebastian FTM, Elzerman, Lonneke, Garcia-Delgar, Blanca, Gilbert, Donald L, Grice, Dorothy E, Hagstrøm, Julie, Hedderly, Tammy, Heyman, Isobel, Hong, Hyun Ju, Huyser, Chaim, Ibanez-Gomez, Laura, Kim, Young Key, Kim, Young-Shin, Koh, Yun-Joo, Kook, Sodahm, Kuperman, Samuel, Lamerz, Andreas, Leventhal, Bennett, Ludolph, Andrea G, Madruga-Garrido, Marcos, Maras, Athanasios, Messchendorp, Marieke D, Mir, Pablo, Morer, Astrid, Münchau, Alexander, Murphy, Tara L, Openneer, Thaïra JC, Plessen, Kerstin J, Rath, Judith JG, Roessner, Veit, Fründt, Odette, Shin, Eun-Young, Sival, Deborah A, Song, Dong-Ho, Song, Jungeun, Stolte, Anne-Marie, Tübing, Jennifer, van den Ban, Els, Visscher, Frank, Wanderer, Sina, Woods, Martin, Zinner, Samuel H, State, Matthew W, Heiman, Gary A, Hoekstra, Pieter J, and Dietrich, Andrea
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Clinical and Health Psychology ,Biomedical and Clinical Sciences ,Psychology ,Mental Health ,Tourette Syndrome ,Neurosciences ,Neurodegenerative ,Pediatric ,Clinical Research ,Attention Deficit Hyperactivity Disorder (ADHD) ,Infant Mortality ,Serious Mental Illness ,Perinatal Period - Conditions Originating in Perinatal Period ,Preterm ,Low Birth Weight and Health of the Newborn ,Brain Disorders ,Aetiology ,2.1 Biological and endogenous factors ,Mental health ,Good Health and Well Being ,Adolescent ,Adult ,Age Factors ,Aged ,Aged ,80 and over ,Attention Deficit Disorder with Hyperactivity ,Case-Control Studies ,Child ,Child ,Preschool ,Europe ,Female ,Humans ,Male ,Middle Aged ,Obsessive-Compulsive Disorder ,Parent-Child Relations ,Pregnancy ,Pregnancy Complications ,Psychiatric Status Rating Scales ,Republic of Korea ,Retrospective Studies ,Severity of Illness Index ,Sex Factors ,Tic Disorders ,United States ,Young Adult ,Attention-deficit hyperactivity disorder ,Delivery ,Obsessive-compulsive disorder ,Prenatal ,Tourette syndrome ,Medical and Health Sciences ,Psychology and Cognitive Sciences ,Psychiatry ,Clinical sciences ,Clinical and health psychology - Abstract
Pre- and perinatal complications have been implicated in the onset and clinical expression of Tourette syndrome albeit with considerable inconsistencies across studies. Also, little is known about their role in co-occurring obsessive-compulsive disorder (OCD) and attention-deficit/hyperactivity disorder (ADHD) in individuals with a tic disorder. Therefore, we aimed to investigate the role of pre- and perinatal complications in relation to the presence and symptom severity of chronic tic disorder and co-occurring OCD and ADHD using data of 1113 participants from the Tourette International Collaborative Genetics study. This study included 586 participants with a chronic tic disorder and 527 unaffected family controls. We controlled for age and sex differences by creating propensity score matched subsamples for both case-control and within-case analyses. We found that premature birth (OR = 1.72) and morning sickness requiring medical attention (OR = 2.57) were associated with the presence of a chronic tic disorder. Also, the total number of pre- and perinatal complications was higher in those with a tic disorder (OR = 1.07). Furthermore, neonatal complications were related to the presence (OR = 1.46) and severity (b = 2.27) of co-occurring OCD and also to ADHD severity (b = 1.09). Delivery complications were only related to co-occurring OCD (OR = 1.49). We conclude that early exposure to adverse situations during pregnancy is related to the presence of chronic tic disorders. Exposure at a later stage, at birth or during the first weeks of life, appears to be associated with co-occurring OCD and ADHD.
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- 2016
49. Differences in the severity and variability of restricted and repetitive behaviors in ASD children with and without service experiences
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Park, Ju Hee, Kim, Young-Shin, Koh, Yun-Joo, and Leventhal, Bennett L.
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- 2020
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50. Childhood vaccination as a protective factor for developmental psychopathology
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Kim, Bora, Ha, Mina, Kim, Young Shin, Koh, Yun-Joo, Kwon, Ho-Jang, Lim, Myung-Ho, Paik, Ki-Chung, Kim, Hosanna, Hong, Patricia, and Leventhal, Bennett L.
- Published
- 2020
- Full Text
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