2024-03-29T09:14:14Z
https://repository.dl.itc.u-tokyo.ac.jp/oai
oai:repository.dl.itc.u-tokyo.ac.jp:00042215
2022-12-19T04:17:26Z
62:7433:7434
9:7435:7436
Realized Stochastic Volatility with Leverage and Long Memory
Shirota, Shinichiro
Hizu, Takayuki
Omori, Yasuhiro
metadata only access
335
ARFIMA
leverage effect
long memory
Markov Chain Monte Carlo
Mixture sampler
Realized volatility
Realized stochastic volatility model
State space model
application/pdf
本文フィルはリンク先を参照のこと
日本経済国際共同センター
2012-11
eng
technical report
http://hdl.handle.net/2261/52573
https://repository.dl.itc.u-tokyo.ac.jp/records/42215
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf869ab.html
AA11450569
Discussion paper series. CIRJE-F
CIRJE-F-869