WEKO3
アイテム
{"_buckets": {"deposit": "aaab3880-ec7c-46b2-8f82-8a8348327056"}, "_deposit": {"id": "42261", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "42261"}, "status": "published"}, "_oai": {"id": "oai:repository.dl.itc.u-tokyo.ac.jp:00042261", "sets": ["7436", "7437"]}, "item_8_alternative_title_1": {"attribute_name": "その他のタイトル", "attribute_value_mlt": [{"subitem_alternative_title": "Markov chain Monte Carlo method and its application to the stochastic volatility model"}]}, "item_8_biblio_info_7": {"attribute_name": "書誌情報", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2007-01", "bibliographicIssueDateType": "Issued"}, "bibliographicVolumeNumber": "CIRJE-J-173", "bibliographic_titles": [{"bibliographic_title": "Discussion paper series. CIRJE-J"}]}]}, "item_8_description_13": {"attribute_name": "フォーマット", "attribute_value_mlt": [{"subitem_description": "application/pdf", "subitem_description_type": "Other"}]}, "item_8_description_5": {"attribute_name": "抄録", "attribute_value_mlt": [{"subitem_description": "In the time series analysis of asset prices, the stochastic volatility models have recently attracted attentions of many researchers since it clearly describes time-varying variance of asset returns. However, it is difficult to evaluate the likelihood and obtain the maximum likelihood estimators of parameters for such models. We take Bayesian approach and use Markov chain Monte Carlo (MCMC) method to overcome such a problem. We first describe MCMC method and conduct a survey of the literature for its application to the stochastic volatility model. The empirical analysis of stock returns data is also given.", "subitem_description_type": "Abstract"}]}, "item_8_description_6": {"attribute_name": "内容記述", "attribute_value_mlt": [{"subitem_description": "本文フィルはリンク先を参照のこと", "subitem_description_type": "Other"}]}, "item_8_full_name_3": {"attribute_name": "著者別名", "attribute_value_mlt": [{"nameIdentifiers": [{"nameIdentifier": "97242", "nameIdentifierScheme": "WEKO"}], "names": [{"name": "Yasuhiro, Omori"}]}, {"nameIdentifiers": [{"nameIdentifier": "97243", "nameIdentifierScheme": "WEKO"}], "names": [{"name": "Watanabe, Toshiaki"}]}]}, "item_8_publisher_20": {"attribute_name": "出版者", "attribute_value_mlt": [{"subitem_publisher": "日本経済国際共同センター"}]}, "item_8_relation_25": {"attribute_name": "関係URI", "attribute_value_mlt": [{"subitem_relation_type_id": {"subitem_relation_type_id_text": "http://www.cirje.e.u-tokyo.ac.jp/research/dp/2007/2007cj173ab.html", "subitem_relation_type_select": "URI"}}]}, "item_8_source_id_10": {"attribute_name": "書誌レコードID", "attribute_value_mlt": [{"subitem_source_identifier": "AA11451834", "subitem_source_identifier_type": "NCID"}]}, "item_8_subject_15": {"attribute_name": "日本十進分類法", "attribute_value_mlt": [{"subitem_subject": "330", "subitem_subject_scheme": "NDC"}]}, "item_8_text_21": {"attribute_name": "出版者別名", "attribute_value_mlt": [{"subitem_text_value": "Center for International Research on the Japanese Economy"}]}, "item_8_text_34": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"subitem_text_value": "Discussion Paper"}]}, "item_8_text_4": {"attribute_name": "著者所属", "attribute_value_mlt": [{"subitem_text_value": "東京大学大学院経済学研究科"}, {"subitem_text_value": "一橋大学経済研究所"}]}, "item_access_right": {"attribute_name": "アクセス権", "attribute_value_mlt": [{"subitem_access_right": "metadata only access", "subitem_access_right_uri": "http://purl.org/coar/access_right/c_14cb"}]}, "item_creator": {"attribute_name": "著者", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "大森, 裕浩"}], "nameIdentifiers": [{"nameIdentifier": "97240", "nameIdentifierScheme": "WEKO"}]}, {"creatorNames": [{"creatorName": "渡部, 敏明"}], "nameIdentifiers": [{"nameIdentifier": "97241", "nameIdentifierScheme": "WEKO"}]}]}, "item_language": {"attribute_name": "言語", "attribute_value_mlt": [{"subitem_language": "jpn"}]}, "item_resource_type": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"resourcetype": "technical report", "resourceuri": "http://purl.org/coar/resource_type/c_18gh"}]}, "item_title": "MCMC法とその確率的ボラティリティ変動モデルへの応用", "item_titles": {"attribute_name": "タイトル", "attribute_value_mlt": [{"subitem_title": "MCMC法とその確率的ボラティリティ変動モデルへの応用"}]}, "item_type_id": "8", "owner": "1", "path": ["7436", "7437"], "permalink_uri": "http://hdl.handle.net/2261/5725", "pubdate": {"attribute_name": "公開日", "attribute_value": "2013-06-03"}, "publish_date": "2013-06-03", "publish_status": "0", "recid": "42261", "relation": {}, "relation_version_is_last": true, "title": ["MCMC法とその確率的ボラティリティ変動モデルへの応用"], "weko_shared_id": null}
MCMC法とその確率的ボラティリティ変動モデルへの応用
http://hdl.handle.net/2261/5725
http://hdl.handle.net/2261/57255f1403d3-8483-4144-aaa7-73b6dbf936b4
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | MCMC法とその確率的ボラティリティ変動モデルへの応用 | |||||
言語 | ||||||
言語 | jpn | |||||
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 | |||||
その他のタイトル | ||||||
その他のタイトル | Markov chain Monte Carlo method and its application to the stochastic volatility model | |||||
著者 |
大森, 裕浩
× 大森, 裕浩× 渡部, 敏明 |
|||||
著者別名 | ||||||
識別子 | 97242 | |||||
識別子Scheme | WEKO | |||||
姓名 | Yasuhiro, Omori | |||||
著者別名 | ||||||
識別子 | 97243 | |||||
識別子Scheme | WEKO | |||||
姓名 | Watanabe, Toshiaki | |||||
著者所属 | ||||||
著者所属 | 東京大学大学院経済学研究科 | |||||
著者所属 | ||||||
著者所属 | 一橋大学経済研究所 | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In the time series analysis of asset prices, the stochastic volatility models have recently attracted attentions of many researchers since it clearly describes time-varying variance of asset returns. However, it is difficult to evaluate the likelihood and obtain the maximum likelihood estimators of parameters for such models. We take Bayesian approach and use Markov chain Monte Carlo (MCMC) method to overcome such a problem. We first describe MCMC method and conduct a survey of the literature for its application to the stochastic volatility model. The empirical analysis of stock returns data is also given. | |||||
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-J 巻 CIRJE-J-173, 発行日 2007-01 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11451834 | |||||
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/2007/2007cj173ab.html |