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A Generalized SSAR Model and Predictive Distribution with an Application to VaR
http://hdl.handle.net/2261/2398
http://hdl.handle.net/2261/23985d9945c5-c65e-4048-a3aa-bead0bd9dd45
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2012-01-13 | |||||
タイトル | ||||||
タイトル | A Generalized SSAR Model and Predictive Distribution with an Application to VaR | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Asymmetrical Sample Paths | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Generalized SSAR Model | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Transformation Models | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Predictive distribution | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Predictive Median | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Value at Risk(VaR) | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Kunitomo, Naoto
× Kunitomo, Naoto× Sato, Seisho |
|||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Institute of Statistical Mathematics | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The asymmetrical movements between the downward and upward phases of the sample paths of time series have been sometimes observed. By generalizing the SSAR (simultaneous switching autoregressive) models, we introduce a class of nonlinear time series models having the asymmetrical sample paths in the upward and downward phases. We show that the class of generalized SSAR models is useful for estimating the asymmetrical predictive distribution given the present and past information. Applications to the prediction based on the predictive median and the estimation of the VaR (value at risk) in financial risk management are discussed. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CF-122, 発行日 2001-07 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2001/2001cf122.pdf |