• International Area Studies Review
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• v.14 no.3
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• pp.62-84
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• 2010

Accurate forecasting of volatility is of considerable interest in financial volatility research, particularly in regard to portfolio allocation, option pricing and risk management because volatility is equal to market risk. So, we attempted to delineate a model with good ability to forecast and identified stylized features of volatility, with a focus on volatility persistence or long memory in the Australian futures market. In this context, we assessed the long-memory property in the volatility of index futures contracts using three conditional volatility models, namely the GARCH, IGARCH and FIGARCH models. We found that the FIGARCH model better captures the long-memory property than do the GARCH and IGARCH models. Additionally, we found that the FIGARCH model provides superior performance in one-day-ahead volatility forecasts. As discussed in this paper, the FIGARCH model should prove a useful technique in forecasting the long-memory volatility in the Australian index futures market.

• Management & Information Systems Review
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• v.32 no.3
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• pp.1-23
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• 2013

In this study, we try to investigate the spillover effects of volatility in international tourists arrivals between Korea and US, Japan, China by using the multivariate BEKK model from January 2005 to January 2013. In the results of this study, after the global financial crisis, we found a cointegration relationship and tourist arrivals of Japan were adjusted to recovery in the short term. Also tourists arrivals from China and Japan showed the long-term elasticity. In the conditional mean equation of a BEKK model, there were the spillover effects. And in the conditional variance equation, ARCH(${\epsilon}^2_t$) coefficients showed a strong influence on the arrivals of their own and the spillover effects and the asymmetric effects on the volatility of China and Japan arrivals. In GARCH(${\sigma}^2_t$) coefficients showed the asymmetric effects and the spillover effects of the conditional volatility among source arrivals. Therefore, we examined the asymmetric reaction of one-way or two-way tourist arrivals between source countries and Korea and the spillover effects related to tourists arrivals of source countries to Korea. We has confirmed a causal relationship between some of the tourists arrivals from source countries to korea.

• Journal of Korea Port Economic Association
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• v.39 no.1
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• pp.115-129
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• 2023

This study analyzed the risk spillover of BDI on shipping company stock prices through the Copula-CoVaR method based on daily data from January 4, 2010, to October 31, 2022. The main empirical analysis results and policy implications are as follows. First, copula results showed that there was a weak dependence between BDI and shipping company stock prices, and PAN, KOR, and YEN were selected as the most fitting model for dynamic Student-t copula, HMM was selected as the rotated Gumbel copula, and KSS was selected as the best model. Second, in the results of CoVaR, it was confirmed that the upside (downside) CoVaR was significantly different from the upside (downside) VaR in all shipping companies. This means that BDI has a significant risk spillover on shipping companies. In addition, as for the risk spillover, the downside risk is generally lower than the upside risk, so the downside and upside risk spillover were found to be asymmetrical. Therefore, policymakers should strengthen external risk supervision and establish differentiated policies suitable for domestic conditions to prevent systematic risks from BDI shocks. And investors should reflect external risks from BDI fluctuations in their investment decisions and construct optimal investment portfolios to avoid risks. On the other hand, investors propose that the investment portfolio should be adjusted in consideration of the asymmetric characteristics of up and down risks when making investment decisions.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.4
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• pp.663-670
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• 2016

This paper analyzes the asymmetric pass-through effects of crude oil price changes on export prices in Korea's manufacturing sector using a nonlinear autoregressive distributed lag (NARDL) model. These pass-through effects are important for Korean companies that are highly dependent on exports. Because the effects differ by industry, eight sectors of the manufacturing industry were examined. The model is effective for separately testing the long-term and short-term differences between the export-price pass-through effects when crude oil prices increase and decrease. The estimation results show that there is positive pass-through to export prices as crude oil prices change, and there are asymmetric effects in some manufacturing sectors. Short-term asymmetries were detected in the export prices of five sectors that include general machinery and transport equipment, and significant long-term asymmetries were found for petroleum and coal products and for textile and leather products. The long-term export price of oil and coal products rose by 0.992% with a 1% increase in the oil price and fell by 0.977% with 1% decrease. Therefore, corporate strategies and government export policies should be established in accordance with these asymmetric pass-through effects.

• Journal of Convergence for Information Technology
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• v.10 no.4
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• pp.46-54
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• 2020

This study aims to develop and analyze the performance of a selective option straddle strategy based on forecasted volatility to improve the weakness of typical straddle strategy solely based on negative volatility risk premium. The KOSPI 200 option volatility is forecasted by the SVM model combined with the asymmetric volatility spillover effect. The selective straddle strategy enters option position only when the volatility is forecasted downwardly or sideways. The SVM model is trained for 2008-2014 training period and applied for 2015-2018 testing period. The suggested model showed improved performance, that is, its profit becomes higher and risk becomes lower than the benchmark strategies, and consequently typical performance index, Sharpe Ratio, increases. The suggested model gives option traders guidelines as to when they enter option position.

• The Korean Journal of Financial Management
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• v.27 no.1
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• pp.1-30
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• 2010

This paper tested the lead-lag relationship as well as the symmetric and asymmetric volatility spillover effects between international currency futures markets and cash markets. We use five kinds of currency spot and futures markets such as British pound, Australian and Canadian dollar, Brasilian Real and won/dollar spot and futures markets. daily closing prices covering from September 15, 2003 to July 30, 2009. For this purpose we employed dynamic time series models such as the Granger causality based on VAR and time-varying MA(1)-GJR-GARCH(1, 1)-M. The main empirical results are as follows; First, according to Granger causality test, we find that the bilateral lead-lag relationship between the five countries' currency spot and futures market. The price discover effect from currency futures markets to spot market is relatively stronger than that from currency spot to futures markets. Second, based on the time varying GARCH model, we find that there is a bilateral conditional mean spillover effects between the five currency spot and futures markets. Third, we also find that there is a bilateral asymmetric volatility spillover effects between British pound, Canadian dollar, Brasilian Real and won/dollar spot and futures market. However there is a unilateral asymmetric volatility spillover effect from Australian dollar futures to cash market, not vice versa. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

• The Journal of the Acoustical Society of Korea
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• v.19 no.7
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• pp.53-58
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• 2000

본 논문은 주파수 전이신호와 시간 전이 신호에 대해서 고조파 잡음 여기 방법과 시간 분리 여기 방법을 적용한 2.4 kbps 음성부호화 방법을 제안한다. 혼합 여기 부호화 방법은 주기 신호와 비 주기 신호를 효과적으로 표현하기 위해 하모닉 잡음 모델을 사용한다. 혼합신호에 대한 잡음 성분은 캡스트럴 분석 방법을 사용함으로써 추출되고, AR (Autoregressive Model) 모델에 의해 표현된다. 시간 전이구간 신호에서의 모호한 음성을 효과적으로 제거하기 위한 또 다른 방법이 제안된다. 제안된 시간 분리 방법은 시간 에너지 변화정도를 관찰함으로써 전이 시점을 감지하고 다른 시간 길이를 가지는 두 블록으로 분리하여 분석한다. 시간 분리 방법은 분석을 위한 비대칭 윈도우와 합성에서의 위상 합성 방법을 포함한다. 제안된 방법을 사용한 2.4 kbps 음성부호화 방법은 주관적 음질 평가에서 전이구간에서의 지각적 음질의 향상을 보여주었으며, 원본 음성 스펙트럼과의 고조파 비 매칭에 의한 윙윙거리는 기계적인 잡음을 감소시킨다.

• The Journal of Korean Institute of Electromagnetic Engineering and Science
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• v.13 no.5
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• pp.445-450
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• 2002

We analyzed and measured a CPW(coplanar waveguide)-to-microstrip right-angled transition. Asymmetric CPW-to-microstrip transitions show significant resonances by the slot mode generation at the discontinuities. The air-bridge just shifting the resonance frequency can not fundamentally suppress the occurrence of the slot mode. So, we proposed the structure using offset microstrip section to eliminate the resonance. The proposed structure may be useful for the application of multi-layed structure.

• Journal of Astronomy and Space Sciences
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• v.7 no.1
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• pp.37-45
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• 1990

It was investigated that the effect of zonal harmonics to transfer orbit. Since parking orbit is located at low altitude, the zonal harmonics affects transfer orbit relatively high sense. So under the zonal harmonics, eccentricity and semi-major-axis which were related orbit altitude at the first hand, were investigated. As a result the zonal harmonics increases the altitude of apogee of transfer orbit. So if the zonal harmonics is considered in orbit transfer the fuel can be saved a little.

• Proceedings of the IEEK Conference
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• 2000.09a
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• pp.831-834
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• 2000

본 논문은 주파수 전이신호와 시간 전이 신호에 대해서 고조파 잡음 여기 방법과 시간 분리 여기 방법을 적용한 2.4kbps 음성부호화 방법을 제안한다. 혼합 여기 부호화 방법은 주기 신호와 비 주기 신호를 효과적으로 표현하기 위해 하모닉 잡음 모델을 사용한다. 혼합신호에 대한 잡음 성분은 캡스트럴 분석 방법을 사용함으로써 추출되고, AR(Autoregressive Model) 모델에 의해 표현된다. 시간 전이구간 신호에서의 모호한 음성을 효과적으로 제거하기 위한 또 다른 방법이 제안된다. 제안된 시간 분리 방법은 시간 에너지 변화정도를 관찰함으로써 전이 시점을 감지하고 다른 시간 길이를 가지는 두 블록으로 분리하여 분석한다. 시간 분리 방법은 분석을 위한 비대칭 윈도우와 합성에서의 위상 합성 방법을 포함한다. 제안된 방법을 사용한 2.4kbps 음성부호화 방법은 주관적 음질 평가에서 전이구간에서의 지각적 음질의 향상을 보여주었으며, 원본 음성 스펙트럼과의 고조파 비 매칭에 의한 윙윙거리는 기계적인 잡음을 감소시킨다.