• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.49-67
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• 2006

This study examines whether won/dollar futures have price discovery function and volatility spillover effect or not, using intraday won/dollar futures prices, volumes, and spot rates for the interval from March 2, 2005 through May 30, 2005. Futures prices and spot rates are non-stationary, but there is the cointegration relationship between two time series. Futures returns, spot returns, and volumes are stationary. Asymmetric effects on volatility in futures returns and spot returns does not exist. Analytical results of mean equations of the BGARCH-EC (bivariate GARCH-error correction) model show that the increase of futures returns raise spot returns after 5 minutes, which implies that futures returns lead spot returns and won/dollar futures have price discovery function. In addition, the long-run equilibrium relationship between the two returns could help forecast spot returns. Analytical results of variance equations indicate that short-run innovations in the futures market positively affect the conditional variances of spot returns, that is, there is the volatility spillover effect in the won/dollar futures market. A dummy variable of volumes does not have an effect on two returns but influences significantly on two conditional variances.

• Journal of Korea Water Resources Association
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• v.36 no.3 s.134
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• pp.365-374
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• 2003

This is a study on application of a TVD-Mccormack scheme for the computation of one-dimensional dam-break flows. The TVD scheme not only has the ability to damp out oscillations, but also does not contain terms with adjustable parameters. Moreover, the TVD-McCormack scheme does not cause any additional difficulty when dealing with the source term of the equation and retains second-order accuracy in both space and time. In this study, by appropriately designing the limiter functions, the TVD property can be achieved, and numerical oscillations near a jump discontinuities can be eliminated or reduced. Also, this numerical scheme has less computational errors when the direction of the predictor-corrector step is in the same direction as the shock wane propagation.

• Journal of the Institute of Electronics Engineers of Korea SD
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• v.37 no.2
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• pp.28-37
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• 2000

An almost exact eigenvalue equation for optical fibers with graded-index profile Is derived mathematically based on a combination of the modified Airy functions and the WKB trial solution. By applying proper boundary conditions, a phase shift correction term $\delta$ is found out which improves the inherent error problems of the conventional WKB method. It is shown through computer simulations that results of the derived eigenvalue equation are in excellent agreement with those of the finite-element method.

• Fire Science and Engineering
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• v.14 no.3
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• pp.6-12
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• 2000

This paper describes the smoke movement of a fire field model based on a self-developed SMEP(Smoke Movement Estimating Program) code to the simulation of fire induced flows in the two types of compartment space containing the radiation effect under smoke movement in room fire. The SMEP using PISO algorithm solves conservation equations for mass, momentum, energy and species, together with those for the modified k-$\varepsilon $ turbulence model with buoyancy term. Also it solves the radiation equation using the discrete ordinates method. The result of the calculated smoke temperature containing radiation effect has shown reasonable agreement compared with the experimental data. On the other hand, a difference of a lot was found between the temperature predicted by the SMEP with only convection effect and obtained by the experimental result. This seems to come from the radiation effect of $H_2$O and $CO_2$ gas under smoke productions. Thus, the consideration of the radiation effect under smoke in fire may be necessary in order to produce more realistic result.

• The Korean Journal of Financial Management
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• v.21 no.2
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• pp.183-209
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• 2004

This paper uses both the bivariate GARCH type BEKK error correction model and Bivariate-AR(1)-Markov-Switching-VECM model to estimate the volatility, time-varying correlation and hedge ratio for the KTB spot and futures indexes, sampled daily over 1/4/2000-10/30/2003. This study suggests that the volatility regime has more significant influence on KTB markets than incline/decline regime does. The results support the importance of the bivariate model in stead of univariate model between KTB spot and futures markets, which may consider not only individual variance process but also covariance process at the same time.

• Journal of Korea Port Economic Association
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• v.39 no.2
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• pp.41-57
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• 2023

The drybulk shipping market has high freight rate volatility in the chartering market and various and complex factors affecting the market. In the unstable economic situation caused by the COVID-19 pandemic in 2020, the BDI plunged due to a decrease in trade volume, but turned from the end of 2020 and maintained a booming period until the end of 2022. The main reason for the market change is the decrease in the available fleet that can actually be operated for cargo transport due to port congestion by the COVID-19 pandemic, regardless of the fleet and trade volume volatility that have affected the drybulk shipping market in the past. A decrease in the actual usable fleet due to vessel waiting at port by congestion led to freight increase, and the freight increase in charting market led to an increase in second-hand ship and new-building ship price in long-term equilibrium relationship. In the past, the drybulk shipping market was determined by the volatility of fleet and trade volume. but, in the future, available fleet volume volatility by pandemics, environmental regulations and climate will be the important factors affecting BDI. To response to the IMO carbon emission reduction in 2023, it is expected that ship speed will be slowed down and more ships are expected to be needed to transport the same trade volume. This slowdown is expected to have an impact on drybulk shipping market, such as a increase in freight and second-hand ship and new-building ship price due to a decrease in available fleet volume.