• Journal of Korea Trade
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• v.27 no.1
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• pp.139-158
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• 2023

Purpose - The study of co-movements between stock markets is a crucial area of finance and has recently received much interest in a variety of studies, especially in international finance. Stock market co-movements are a major phenomenon in financial markets, but they are not necessarily independent of the real market. Several studies support the idea that bilateral trade linkages significantly impact stock market correlations. Motivated by this perspective, this study investigates whether real market integration due to trade agreements brings about financial market integration in terms of stock market co-movement. Design/methodology - Over the 10 free trade agreements (FTAs) signed by the United States, using a dynamic conditional correlations (DCC) multivariate GARCH (MGRACH) model, we empirically measure the degree of integration by finding DCCs between the US market and the partner country's market. We then track how these correlations evolve over time and compare the results before and after trade agreements. Findings - According to the empirical results, there are positive return spillover effects from the US market to eight counterpart equity markets, except Jordan, Morocco, and Singapore. Especially Mexico, Canada, and Chile have large return spillover effects at the 1% significance level. All partner countries of FTAs generally have positive correlations with the US over the entire period, but the size and variance are somewhat different by country. Meanwhile, not all countries that signed trade agreements with the United States showed the same pattern of stock market co-movement after the agreement. Korea, Mexico, Chile, Colombia, Peru, and Singapore show increasing DCC patterns after trade agreements with the US. However, Canada, Australia, Bahrain, Jordan, and Morocco do not show different patterns before and after trade agreements in DCCs. These countries generally have the characteristic of relatively lower or higher co-movements in stock markets with the US before the signing of the FTAs. Originality/value - To our knowledge, few studies have directly examined the linkages between trade agreements and stock markets. Our approach is novel as it considers the problem of conditional heteroscedasticity and visualizes the change of correlations with time variations. Moreover, analyzing several trade agreements based on the United States enables the results of cross-country pairs to be compared. Hence, this study provides information on the degree of stock market integration with countries with which the United States has trade agreements, while simultaneously allowing us to track whether there have been changes in stock market integration patterns before and after trade agreements.

• Journal of the Institute of Electronics Engineers of Korea SP
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• v.43 no.5 s.311
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• pp.37-44
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• 2006

In this paper, a new version of the ICM method(MICM, modified ICM) in which the contextual information is modelled by Markov random fields (MRF) is introduced. To extract the feature, a new local MRF model with a fitting block neighbourhood is proposed. This model selects contextual information not only from the relative intensity levels but also from the geometrically directional position of neighbouring cliques. Feature extraction depends on each block's contribution to the local variance. They discriminates it into several regions, for example context and background. Boundaries between these regions are also distinctive. The proposed algerian performs segmentation using directional block fitting procedure which confines merging to spatially adjacent elements and generates a partition such that pixels in unified cluster have a homogeneous intensity level. From experiment with ink rubbed copy images(Takbon, 拓本), this method is determined to be quite effective for feature identification. In particular, the new algorithm preserves the details of the images well without over- and under-smoothing problem occurring in general iterated conditional modes (ICM). And also, it may be noted that this method is applicable to the handwriting recognition.

• Journal of the Korean Data and Information Science Society
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• v.24 no.6
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• pp.1285-1296
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• 2013

The fundamental concerns of this paper are to analyze the effects of student course evaluation using subject characteristic and student characteristic variables. We use a 2-level hierarchical linear model since the data structure of subject characteristic and student characteristic variables is multilevel. Four models we consider are as follows; (1) null model, (2) random coefficient model, (3) mean as outcomes model, (4) intercepts and slopes as outcomes model. The results of the analysis were given as follows. First, the result of null model was that subject characteristics effects on course evaluation had much larger than student characteristics. Second, the result of conditional model specifying subject and student level predictors revealed that class size, grade, tenure, mean GPA of the class, native class for level-1, and sex, department category, admission method, mean GPA of the student for level-2 had statistically significant effects on course evaluation. The explained variance was 13% in subject level, 13% in student level.

• Journal of the Korean Geotechnical Society
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• v.27 no.8
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• pp.51-61
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• 2011

Spatial estimation of the thickness and depth of the geological profile has been regarded as an important procedure for the design of soft ground. A minimum variance criterion, which has often been used in traditional kriging techniques, does not always guarantee the optima1 estimates for the decision-making process in geotechnical engineering. In this study, a geostatistica; framework is used to determine the optimal thickness of the consolidation layer and the optimal area that needs the adoption of prefabricated vertical drains via indicator kriging and loss function. From the exemplary problem, different optimal estimates can be obtained depending on the loss function chosen. The design procedure and method considering the minimum expected loss presented in this paper can be used in the decision-making process for geotechnical engineering design.

• Environmental and Resource Economics Review
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• v.19 no.3
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• pp.485-508
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• 2010

This paper examines the long memory property and investigates cointegration in the dynamics of crude oil markets. For these purposes, we apply the joint ARMA-FIAPARCH model with structural break and the vector error correction model (VECM) to three daily crude oil prices: Brent, Dubai and West Texas Intermediate (WTI). In all crude oil markets, the property of long memory exists in their volatility, and the ARMA-FIAPARCH model adequately captures this long memory property. In addition, the results of the cointegration test and VECM estimation indicate a bi-directional relationship between returns and the conditional variance of crude oil prices. This finding implies that the dynamics of returns affect volatility, and vice versa. These findings can be utilized for improving the understanding of the dynamics of crude oil prices and forecasting market risk for buyers and sellers in crude oil markets.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.15 no.10
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• pp.6084-6091
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• 2014

This paper presents the GJR GARCH model (Glosten et. al, 1993) to analyze the influences of volume volatilities on price volatilities in the fishery market. For the analysis, this study used the monthly price and volume data of aquacultural flatfish in Jeju. As a result, empirical analysis suggested volatility clustering. The persistency parameter(${\lambda}$) was estimated to be approximately 1 in aquacultural flatfish. The results showed that there is a significant negative relationship between the conditional variance of supply and that of price for aquacultural flatfish. This means that the general law of supply is valid. Finally, the empirical analysis was that an asymmetric coefficient (${\gamma}$) of GJR GARCH model was negative (-). This means that the higher volatility of volume leads to lower price volatility. That is, it is useful to make government policies that can adjust the volume (stockpiling, stabilizing supply and demand).

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.11 no.8
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• pp.3984-4005
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• 2017

Image recognition has become an increasingly important topic for its wide application. It is highly challenging when facing to large-scale database with large variance. The recognition systems rely on a key component, i.e. the low-level feature or the learned mid-level feature. The recognition performance can be potentially improved if the data distribution information is exploited using a more sophisticated way, which usually a function over hidden variable, model parameter and observed data. These methods are called generative score space. In this paper, we propose a discriminative extension for the existing generative score space methods, which exploits class label when deriving score functions for image recognition task. Specifically, we first extend the regular generative models to class conditional models over both observed variable and class label. Then, we derive the mid-level feature mapping from the extended models. At last, the derived feature mapping is embedded into a discriminative classifier for image recognition. The advantages of our proposed approach are two folds. First, the resulted methods take simple and intuitive forms which are weighted versions of existing methods, benefitting from the Bayesian inference of class label. Second, the probabilistic generative modeling allows us to exploit hidden information and is well adapt to data distribution. To validate the effectiveness of the proposed method, we cooperate our discriminative extension with three generative models for image recognition task. The experimental results validate the effectiveness of our proposed approach.

• International Area Studies Review
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• v.20 no.1
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• pp.3-22
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• 2016

In this study, I examine mutual shock spillover effects among interest rate differences, won-dollar foreign exchange change rates, and stock market returns in Korea during the daily sample period from the beginning of 1995 to the October 16, 2015, using the multivariate GARCH (generalized autoregressive conditional heteroscedasticity) BEKK (Baba-Engle-Kraft-Kroner) model framework. Major findings are as follows. Throughout the 6 model estimation results of variance equations determining return spillovers covered from symmetric and asymmetric models of total sample period and two crisis sub-sample periods composed of Korean FX Crisis Times and Global Financial Crisis Times, shock spillovers are shown to exist mainly from stock market return shocks. Stock market shocks including down-shocks from the asymmetric models are shown to transfer to those other two markets most successfully. Therefore it is most important to maintain stable financial markets that a policy design for stock market stabilization such as mitigating stock market volatility.

• The Korean Journal of Applied Statistics
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• v.36 no.6
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• pp.561-571
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• 2023

Volatility of a time series is defined as the conditional variance on the past information. In particular, for financial time series, volatility is regarded as a time-varying measure of risk for the financial series. To capture the intrinsic asymmetry in the risk of financial series, various asymmetric volatility processes including threshold-ARCH (TARCH, for short) have been proposed in the literature (see, for instance, Choi et al., 2012). This paper proposes a volatility function featuring non-zero origin in which the origin of the volatility is shifted from the zero and therefore the resulting volatility function is certainly asymmetric around zero and achieves the minimum at a non-zero (rather than zero) point. To validate the proposed volatility function, we analyze the Korea stock prices index (KOSPI) time series during the Covid-19 pandemic period for which origin shift to the left of the zero in volatility is shown to be apparent using the minimum AIC as well as via parametric bootstrap verification.

• The Korean Journal of Applied Statistics
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• v.37 no.1
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• pp.39-48
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• 2024

In this paper, we introduce an extended GARCH model designed to address asymmetric leverage effects. The variance in the standard GARCH model is composed of past conditional variances and past squared residuals. However, it is not possible to model asymmetric leverage effects with squared residuals alone, so in this paper, we propose a new extended GARCH model to explain the leverage effects using the Yeo-Johnson transformation which adjusts transformation parameter to make asymmetric data more normal or symmetric. We utilize the reverse properties of Yeo-Johnson transformation to model asymmetric volatility. We investigate the characteristics of the proposed model and parameter estimation. We also explore how to derive forecasts and forecast intervals in the proposed model. We compare it with standard GARCH and other extended GARCH models that model asymmetric leverage effects through empirical data analysis.