• Journal of Korea Technology Innovation Society
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• v.2 no.2
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• pp.275-289
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• 1999

This study aims at investigating the stylized facts of the complex system products innovation in Korea. It reviewed the preceeding studies on the innovation patterns of complex system products and selected the issues to be examined in investigating Korean case. In addition, the stylized facts of innovation patterns of Korean complex system products were suggested. The peculiar characteristics of Korean cases are as follows: Korea has succeeded in integrating foreign technologies and components into commercial complex system products and in substituting the foreign system products in the domestic market. However, it faces a great difficulty in upgrading the products to the next generation. It lacks capabilities which facilitate the evolution of system products competing in the world market.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.1-12
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• 2016

Contrasted with the standard linear ARMA models, financial time series exhibits non-standard features such as fat-tails, non-normality, volatility clustering and asymmetries which are usually referred to as "stylized facts" in financial time series context (Terasvirta, 2009). We are accordingly led to ad hoc models (apart from ARMA) to accommodate stylized facts (Andersen et al., 2009). The paper aims to give a contemporary overview on financial and special time series models based on the recent literature and on the author's publications. Various models are illustrated including asymmetric models, integer valued models, multivariate models and high frequency models. Selected statistical issues on the models are discussed, bringing some perspectives to the future works in this area.

• Proceedings of the Technology Innovation Conference
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• 2005.06a
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• pp.116-139
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• 2005

ICT(information and communication technology) has played a pivotal role in the world economy, and the out look for ICT has improved markedly. One of the noticeable characteristics in the ICT sector Is the global rationalization of its technology and service. Specialization on the specific ICT capability is a pressing problem for many countries. Along the line of classical innovation cluster and network studies, this paper suggests a way to find and analyze the role of core technologies on the ICT network First, technology network is constructed by using patent citation data from USPTO. Then, a couple of cluster is generated by K-means clustering technique. Finally, brokerage analysis is applied to manifest the role of principal technologies. The network visualization and some stylized facts on dynamics are briefly given altogether Based on the role and relationship of technologies across clusters, it is expected that this research could contribute to the ICT cluster formation and the vision-making for ICT specialization at the viewpoint of technology Policy.

• Journal of Korea Technology Innovation Society
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• v.5 no.2
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• pp.212-227
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• 2002

This study reviews the institutional frameworks of Open Source software and develops the stylized facts of Open Source software innovation. Open Source software have to solve two difficult problems for encouraging innovation. First, the source code of Open Source software program should be open and freely distributed and it is very difficult for developers to appropriate the results of their investments. Second, as Open Source software development process is characterized by the participation of communities of developers, it is not easy to coordinate and manipulate the development process. These difficulties of developing Open Source Software have been solved by the particular incentive schemes and coordinating mechanisms. This study reviews the study on the motivation of Open Source software development and the mechanisms which coordinate innovation process of Open Source software with peer review and meritocracy, and how these characteristics promote innovation in Open Source software communities.

• Journal of the Korean Data and Information Science Society
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• v.28 no.3
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• pp.697-707
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• 2017

In this paper, we propose a modified GARCH(p, q)-X model which is obtained by adding the exogenous variables to the modified GARCH(p, q) process. Some limiting properties are shown under various stationary and nonstationary exogenous processes which are generated by another process independent of the noise process. The proposed model extends the GARCH(1, 1)-X model studied by Han (2015) to various GARCH(p, q)-type models such as GJR GARCH, asymptotic power GARCH and VGARCH combined with exogenous process. In comparison with GARCH(1, 1)-X, we expect that many stylized facts including long memory property of the financial time series can be explained effectively by modified GARCH(p, q) model combined with proper additional covariate.

• Communications for Statistical Applications and Methods
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• v.21 no.6
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• pp.501-512
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• 2014

Stylized facts on asset return are fat-tail, asymmetry, volatility clustering and structure changes. This paper simultaneously captures these characteristics by introducing a multi-regime models: Finite mixture distribution and regime switching GARCH model. Analyzing the daily KOSPI return from $4^{th}$ January 2000 to $30^{th}$ June 2014, we find that a two-component mixture of t distribution is a good candidate to describe the shape of the KOSPI return from unconditional and conditional perspectives. Empirical results suggest that the equality assumption on the shape parameter of t distribution yields better discrimination of heterogeneity component in return data. We report the strong regime-dependent characteristics in volatility dynamics with high persistence and asymmetry by employing a regime switching GJR-GARCH model with t innovation model. Compared to two sub-samples, Pre-Crisis (January 2003 ~ December 2007) and Post-Crisis (January 2010 ~ June 2014), we find that the degree of persistence in the Pre-Crisis is higher than in the Post-Crisis along with a strong asymmetry in the low-volatility (high-volatility) regime during the Pre-Crisis (Post-Crisis).

• Journal of Korea Technology Innovation Society
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• v.7 no.1
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• pp.42-63
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• 2004

Recent trend of rapid growth in the basic research activities in East-Asian newly industrialized countries bring about the change in the world knowledge production structure. Particularly, Korea showed the changing patterns not only in the number of publication, but also in the aspect of structural change of basic research activities. The stylized facts of basic research activities in Korea can be summarized in three aspects; first, selective development patterns, second, reverse pattern of evolution, and finally, the rapid growth of basic research activities in major firms. This paper analyse the evolutionary patterns of basic research activities in empirical base and propose the policy implication for supporting basic research activity in newly industrializing countries.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.3
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• pp.91-101
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• 2019

This paper finds some stylized facts about executive pay in South Korea. Using aggregate data of the listed companies since 2002, we find that 1) the director's remuneration has risen faster than the employee compensation, thus, the pay ratio of executive and employee has escalated from 3.0 to 4.5; 2) the executive compensation for large business group fluctuates more widely than that for small and medium enterprises does, hence the pay ratio for large firms changes widely too; 3) the median pay ratio has not grown monotonically but it rather rises to remain still around year 2011, which is accounted for mostly by small and medium enterprises. New information on executive compensation by compulsory disclosure starting from 2013 made further analysis of CEO compensation attainable. Based on the conventional regression analysis for 2013-2017, we find that 1) the elasticity of CEO pay with respect to firm value is about 0.18; 2) the volatility of stock return is negatively related to CEO pay; 3) contemporaneous stock return is positively associated with the pay; 4) there is insufficient evidence that large business groups pay their CEOs more than small and medium enterprises do. These results are robust under various model specifications.

• Korean Business Review
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• v.16
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• pp.43-60
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• 2003

There are several stylized facts concerning stock return volatility. First, it is persistent, so an increase in current volatility lasts for many periods. Second, stock volatility increases after stock prices fall. Third, stock volatility is related to macroeconomic volatility, recessions, and banking crises. On the other hand, there are many competing parametric models to represent conditional heteroskedasticity of stock returns. For this article, I adopt the strategy followed by French, Schwert, and Stambaugh(1987) and Schwert(l989, 1990). The models in this article provide a more structured analysis of the time-series properties of stock market volatility. Briefly, these models remove autoregressive and seasonal effects from daily returns to estimate unexpected returns. Then the absolute values of the unexpected returns are used in an autoregressive model to predict stock volatility.

• Journal of Science and Technology Studies
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• v.6 no.2 s.12
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• pp.1-44
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• 2006

This paper aims to analyse post catch-up innovation activities of Korean firms. Traditional approach focused on incremental innovation through fast catch-up process. Recently, Korean firms present new patterns of innovation activities. It includes the development of state-of-the-art frontier products in capital intensive manufacturing sector, the achievement of architectural innovation through adopting newly developed components and the creation of new market based on the basic technological capabilities. This paper attempts to formulate conceptual framework for analysing post catch-up innovation activities and to analyse stylized facts of post catch-up activities based on the case studies on technology based small and medium Korean firms.