• The Korean Journal of Applied Statistics
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• v.29 no.7
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• pp.1213-1229
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• 2016

Cho and Shin (2016) recently demonstrated that an integrated HAR model has a forecast advantage over the HAR model of Corsi (2009). Recalling that realized volatilities of financial assets have asymmetries, we add a leverage term to the integrated HAR model, yielding the LIHAR model. Out-of-sample forecast comparisons show superiority of the LIHAR model over the HAR and IHAR models. The comparison was made for all the 20 realized volatilities in the Oxford-Man Realized Library focusing specially on the DJIA, the S&P 500, the Russell 2000, and the KOSPI. Analysis of the realized volatility data sets reveal apparent long-memory and asymmetry. The LIHAR model takes advantage of the long-memory and asymmetry and produces better forecasts than the HAR, IHAR, LHAR models.

• Korean Journal of Applied Biomechanics
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• v.25 no.1
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• pp.29-37
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• 2015

Objective : The purpose of this study was to investigate the biomechanical properties of shock absorption strategy and postural stability during the drop landing for each types. Methods : The motions were captured with Vicon Motion Capture System, with the fourteen infra-red cameras (100Hz) and synchronized with GRF(ground reaction force) data(1000Hz). Ten male soccer players performed a drop landing with single-leg and bi-legs on the 30cm height box. Dependent variables were the CoM trajectory and the Joint Moment. Statistical computations were performed using the paired t-test and ANOVA with Turkey HSD as post-hoc. Results : The dominant leg was confirmed to show a significant difference between the left leg and right leg as the inverted pendulum model during Drop Landing(Phase 1 & Phase 2). One-leg drop landing type had the higher CoM displacement, the peak of joint moment with the shock absorption than Bi-leg landing type. As a lower extremity joint kinetics analysis, the knee joint showed a function of shock absorption in the anterior-posterior, and the hip joint showed a function of the stability and shock absorption in the medial-lateral directions. Conclusion : These findings indicate that the instant equilibrium of posture balance(phase 1) was assessed by the passive phase as Class 1 leverage on the effect of the stability of shock absorption(phase 2) assessed by the active phase on the effect of Class 2 leverage. Application : This study shows that the cause of musculo-skeletal injuries estimated to be focused on the passive phase of landing and this findings could help the prevention of lower damage from loads involving landing related to the game of sports.

• Strategy21
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• s.33
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• pp.37-64
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• 2014

The year 2010 has been regarded as a year of China's assertive diplomacy. A series of China's behavior--including China's critical reaction to the U.S. for its sales of weapons to Taiwan, the Dalai Lama's visit to President Obama, China's arbitrary designation of 'core interests' over the South China Sea, China's inordinate reactions to the sinking of the Cheonan and Yeonpyeong bombardment, and China's activities in the Senkaku/Diaoyu island areas--has served as the witnesses to China's assertive diplomacy in 2010. The major causes of China's assertive diplomacy can be summed up by three factors: potential power transition from U.S. to China; emerging China's nationalism; and the recession of the Tao Guang Yang Hui as a diplomatic principle. But a majority of Western sinologists claim that China's assertive diplomacy is defensive in terms of its character. China's neighboring states, however, perceive its assertive diplomacy as diplomatic threat. Due to these states' geographical proximity and capability gaps with China, these neighbors experience difficulties in coping with China's behavior. In particular, China's coercive economic diplomacy, in which China tends to manipulate the neighbors' economic dependency on China for its diplomatic leverage, is a case in point for China's assertive diplomacy. China's assertiveness seems to be continued even after the inauguration of Xi Jinping government. Although the Xi government's diplomatic rhetorics in "New Type of Great Power Relationship" and the "Convention for Neighboring States Policy" sound friendly and cooperative, its subsequent behavior, like unilateral announcement of Chinese Air Defense Identification Zone (CADIZ), does not conform with its rhetoric. Overall, China's assertiveness has been consolidated as a fashion of its diplomacy, and it is likely to continue in its relations with neighbors. As a neighboring state, the ROK should approach to it with more balanced attitude. In addition, it needs to find out a new diplomatic leverage to deal with China in accordance with its security environment, in which China plays a growing role.

• The Korean Journal of Financial Management
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• v.25 no.2
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• pp.69-101
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• 2008

We empirically investigate the option leverage property that should be priced under much more general conditions than the Black-Scholes assumptions and the option redundancy property that is based on the assumption that the underlying asset price follows a one-dimensional diffusion process and examine the systematic risk factors implied in the return dynamics of KOSPI 200 index options. We find that the option leverage pattern is similar to the theoretical result but the options are not redundant securities and in the nonlinear structure of option payoffs, the traders of KOSPI 200 index options price the systematic higher-moments and the negative volatility risk premium significantly affects delta-hedged gains, even after accounting for jump fears. But the empirical evidence on jump risk preference is less conclusive.

• The Korean Journal of Applied Statistics
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• v.24 no.6
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• pp.1033-1043
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• 2011

In this paper, we use a nested family of models of Generalized Autoregressive Conditional Heteroscedasticity(GARCH) to verify asymmetric conditional heteroscedasticity in the KOSPI and Won-Dollar exchange rate. This study starts from an investigation of whether time series data have asymmetric features not explained by standard GARCH models. First, we use kernel density plot to show the non-normality and asymmetry in data as well as to capture asymmetric conditional heteroscedasticity. Later, we use three representative asymmetric heteroscedastic models, EGARCH(Exponential Garch), GJR-GARCH(Glosten, Jagannathan and Runkle), APARCH(Asymmetric Power Arch) that are improved from standard GARCH models to give a better explanation of asymmetry. Thereby we highlight the fact that volatility tends to respond asymmetrically according to positive and/or negative values of past changes referred to as the leverage effect. Furthermore, it is verified that how the direction of asymmetry is different depending on characteristics of time series data. For the KOSPI and Korean won-US dollar exchange rate, asymmetric heteroscedastic model analysis successfully reveal the leverage effect. We obtained predictive values of conditional volatility and its prediction standard errors by using moving block bootstrap.

• Proceedings of the Korean Society of Precision Engineering Conference
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• 2004.10a
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• pp.756-759
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• 2004

We present a piezoelectric actuator using stiffness control and stroke amplification mechanism in order to make large lateral displacement. In this work, we suggest stiffness control approach that generates lateral displacement by increasing the vertical stiffness and reducing the lateral stiffness using additional structure. In addition, an additional structure of a serpentine spring amplifies the lateral displacement like leverage structure. The suggested lateral PZT actuator (bellows actuator) consists of serpentine spring and PZT/electrode layer which is located at the edge of the serpentine spring. The edge of the serpentine spring prevents the vertical motion of PZT layer, while the other edge of the serpentine spring makes stroke amplification like leverage structure. We have determined dimensions of the bellows actuator using ANSYS simulation. Length, width and thickness of PZT layer are 135$\mu$m, 20$\mu$m and 0.4$\mu$m, respectively. Dimensions of the silicon serpentine spring are thickness of 25$\mu$m, length of 300$\mu$m, and width of 5$\mu$m. The bellows actuator has been fabricated by SOI wafer with 25$\mu$m-top silicon and 1$\mu$m-buried oxide layer. The bellows actuator shows the maximum 3.93$\pm$0.2$\mu$m lateral displacement at 16V with 1Hz sinusoidal voltage input. In the frequency response test, the fabricated bellows actuator showed consistent displacement from 1Hz to 1kHz at 10V. From experimental study, we found the bellows actuator using thin film PZT and silicon serpentine spring generated mainly laterally displacement not vertical displacement at 16V, and serpentine spring played role of stroke amplification.

• Environmental and Resource Economics Review
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• v.13 no.2
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• pp.175-194
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• 2004

Volumes of research have been implemented to estimate and predict the oil price. These models, however, fail in accurately predicting oil price as a model composed of only a few observable variables is limiting. Unobservable variables and news that have been overlooked in past research, yet have a high likelihood of affecting the oil price. Hence, this paper analyses the news impact on the price. The standard GARCH model fails in capturing some important features of the data. The estimated news impact curve for the GARCH model, which imposes symmetry on the conditional variances, suggests that the conditional variance is underestimated for negative shocks and overestimated for positive shocks. Hence, this paper introduces the asymmetric or leverage volatility models, in which good news and bad news have different impact on volatility. They include the EGARCH, AGARCH, and GJR models. The empirical results showed that negative shocks introduced more volatility than positive shocks. Overall, the AGARCH and GJR were the best at capturing this asymmetric effect. Furthermore, the GJR model successfully revealed the shape of the news impact curve and was a useful approach to modeling conditional heteroscedasticity.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.13 no.4
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• pp.1625-1632
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• 2012

The purpose of this study is to analyze whether asset sales contributed to increase of the shareholder value of the seller and the buyer in Japan. The period of analysis is 2000-2007. As a result of event study, Although the stockholder of the seller earn positive abnormal returns at the announcement of a asset sales, most stockholders of the buyer were break even. However, the buyer which purchase related asset get positive abnormal returns. Furthermore, when using a matched seller-buyer, we find that asset sales are firm value enhancing for the seller and buyer. Furthermore, we verify whether the excess return depends on the financial condition, and the managerial performance. we find that seller gains are related to the seller's managerial performance, leverage ratio, and buyer gains are related to the leverage ratio, foreigner holdings ratio. we conclude that lender and outside monitoring lead to increase of firm value.

• Smart Structures and Systems
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• v.26 no.2
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• pp.195-211
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• 2020

Among anti-seismic technologies, base isolation is a very effective means of mitigating damage to structural and nonstructural components, such as equipment. However, most seismic isolation systems are designed for mitigating only horizontal seismic responses because the realization of a vertical isolation system (VIS) is difficult. The difficulty is primarily due to conflicting isolation stiffness demands in the static and dynamic states for a VIS, which requires sufficient rigidity to support the self-weight of the isolated object in the static state, but sufficient flexibility to lengthen the isolation period and uncouple the ground motion in the dynamic state. To overcome this problem, a semi-active VIS, called the piezoelectric inertia-type vertical isolation system (PIVIS), is proposed in this study. PIVIS is composed of a piezoelectric friction damper (PFD) and a leverage mechanism with a counterweight. The counterweight provides an uplifting force in the static state and an extra inertial force in the dynamic state; therefore, the effective vertical stiffness of PIVIS is higher in the static state and lower in the dynamic state. The PFD provides a controllable friction force for PIVIS to further prevent its excessive displacement. For experimental verification, a shaking table test was conducted on a prototype PIVIS controlled by a simple controller. The experimental results well agree with the theoretical results. To further investigate the isolation performance of PIVIS, the seismic responses of PIVIS were simulated numerically by considering 14 vertical ground motions with different characteristics. The responses of PIVIS were compared with those of a traditional VIS and a passive system (PIVIS without control). The numerical results demonstrate that compared with the traditional and passive systems, PIVIS can effectively suppress isolation displacement in all kinds of earthquake with various peak ground accelerations and frequency content while maintaining its isolation efficiency. The proposed system is particularly effective for near-fault earthquakes with long-period components, for which it prevents resonant-like motion.

• Korean System Dynamics Review
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• v.10 no.1
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• pp.77-95
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• 2009

The ever-increasing government budget constraints have led to a continued decline in the increase rate for defense spending, and the government's 5-year National Fiscal Management Plan has served to reinforce the verification and validation procedures for the Force Improvement Programs (FIP) budget requirements and performance. Additionally, as large programs are controlled in accordance with the Total Program Cost Management Guidelines, timely and credible feasibility study and performance measurement need to be conducted. Due to these internal and external circumstances, needs have surged for feasibility and economic effectiveness study for big ticket projects in the FIP sector, with an increasing number of studies conducted by external research institutes. However, questions have been raised regarding the credibility and thoroughness of the program analyses performed by these research institutes due to various restrictions. This paper analyzes and identifies the structural limitations and problems using a systems thinking approach, and examines the systemic characteristics of the program analysis system. It also presents policy intervention recommendations based on the theory of systems thinking, a method to regularize and reinforce the program analysis system. Policy interventions recommended to ensure alignment of the external studies to the clear analysis objectives and resolve the bottlenecks in the external analysis include training those in charge of external study commissioning for a short term intervention, and increasing the number of research institutes and consulting agencies utilizing analysis and evaluation experts who transition to the private sector from the military for a long term intervention. additionally presented are strategies and policy alternatives to best utilize these policy interventions. They will contribute to the stable funding of Force Improvement Programs and efficient utilization of defense budget.