• East Asian Economic Review
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• v.19 no.3
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• pp.275-322
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• 2015

The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.

• The Journal of Bigdata
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• v.7 no.2
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• pp.225-234
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• 2022

In this paper, we study the recent changes in the credit risk interconnectedness in Korea. Using the CDS spread data from November 2015 to August 2022, we estimate the network structure of sovereign and corporate credit risk. The results show that sovereign and corporate credit risks are interconnected significantly, particularly with respect to the banking sector where FX-related transactions are made. Since 2022 when the monetary policy has become contractionary, such credit risk interconnectedness seems to be strengthened because of greater common exposure.

• Information Systems Review
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• v.5 no.1
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• pp.97-111
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• 2003

With the spread of electronic commerce on the Internet, comparison shopping sites with agent technique are getting popular for the best shopping. However, most consumers are still spending much time to search for the best price through the sites because each of them may show a different price even for the same goods or a site does not show any information about specific goods. Additionally, the search for the best price of the goods like books and CDs may cause the system to be overloaded and the response time to be long due to an on-line real-time search. In this paper, we have designed and implemented a meta-search system for comparison shopping sites with a local database and memory cache to resolve the above problems. The proposed system collects and maintains the price information of popular goods among the comparison shopping sites using several software agents. The experimental results show that our system is an efficient meta-comparison shopping engine and reduces the latency of the response time with little overhead.