Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information

Most asset returns exhibit high volatility and its persistence. Heuristically, this paper focuses on the role of surprising information in high volatility processes and indicates that dismissing surprising information may lead to considerable loss in forecast accuracy. In response, this paper considers the corresponding extension of the modified MDH to surprising information, and proposes a bivariate stochastic volatility model incorporating surprising information in the volatility equations (BSV-SI), which is also designed to capture the dynamics of returns and trading volume. Using the South Korea stock index and trading volume series, it turns out that performance of the onestep- ahead forecasts of the BSV-SI model is apparently superior to those of other competitive models.Volatility forecasting, Bivariate stochastic volatility model with surprising information, Modified mixture of distribution hypothesis, Realized volatility models, Markov Chain Monte Carlo (MCMC)

Developmental state in Korea (60-70ties) revisited: Institution-building for the making of 'coordinated market'

The paper attempts to decribe and analyze institutiononal and strategic variables for the success of developmental state under the Park Regime in the 60-70ties in Korea. Particular accent was placed on economic planning and its implementation supported by rationality-centered bureaucrats and foreign capital inducement. Mention was made about the exportled development strategy combined with the unbalanced growth model which resulted in severe regional development gap. A noteworty strategy by the Park regime was to bring up Chaebols as development actors which contributed to a successful model of technology-intensive heavy and chemical industries

Algebraic Montgomery-Yang problem and smooth obstructions

Let $S$ be a rational homology complex projective plane with quotient singularities. The algebraic Montgomery-Yang problem conjectures that the number of singular points of $S$ is at most three if its smooth locus is simply-connected. In this paper, we leverage results from the study of smooth 4-manifolds, including the Donaldson diagonalization theorem and Heegaard Floer correction terms, to establish additional conditions for $S$. As a result, we eliminate the possibility of a rational homology complex projective plane of specific types with four singularities. Moreover, we identify large families encompassing infinitely many types of singularities that satisfy the orbifold BMY inequality, a key property in algebraic geometry, yet are obstructed from being a rational homology complex projective plane due to smooth conditions. Additionally, we discuss computational results related to this problem, offering new insights into the algebraic Montgomery-Yang problem.Comment: 26 pages, 14 figures, minor revisions for the purpose of correcting typos and refining the languag

Yet Another Tutorial of Disturbance Observer: Robust Stabilization and Recovery of Nominal Performance

This paper presents a tutorial-style review on the recent results about the disturbance observer (DOB) in view of robust stabilization and recovery of the nominal performance. The analysis is based on the case when the bandwidth of Q-filter is large, and it is explained in a pedagogical manner that, even in the presence of plant uncertainties and disturbances, the behavior of real uncertain plant can be made almost similar to that of disturbance-free nominal system both in the transient and in the steady-state. The conventional DOB is interpreted in a new perspective, and its restrictions and extensions are discussed