{"created":"2021-03-01T07:01:48.315062+00:00","id":41979,"links":{},"metadata":{"_buckets":{"deposit":"81394e21-f575-4f4d-883c-adaf5d06e4a2"},"_deposit":{"id":"41979","owners":[],"pid":{"revision_id":0,"type":"depid","value":"41979"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00041979","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2001-07","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CF-122","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"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":"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.","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_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/2001/2001cf122.pdf","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":"AA11450569","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_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"University of Tokyo"},{"subitem_text_value":"Institute of Statistical Mathematics"}]},"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":"Kunitomo, Naoto"}],"nameIdentifiers":[{"nameIdentifier":"96594","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Sato, Seisho"}],"nameIdentifiers":[{"nameIdentifier":"96595","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Asymmetrical Sample Paths","subitem_subject_scheme":"Other"},{"subitem_subject":"Generalized SSAR Model","subitem_subject_scheme":"Other"},{"subitem_subject":"Transformation Models","subitem_subject_scheme":"Other"},{"subitem_subject":"Predictive distribution","subitem_subject_scheme":"Other"},{"subitem_subject":"Predictive Median","subitem_subject_scheme":"Other"},{"subitem_subject":"Value at Risk(VaR)","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"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":"A Generalized SSAR Model and Predictive Distribution with an Application to VaR","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Generalized SSAR Model and Predictive Distribution with an Application to VaR"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2012-01-13"},"publish_date":"2012-01-13","publish_status":"0","recid":"41979","relation_version_is_last":true,"title":["A Generalized SSAR Model and Predictive Distribution with an Application to VaR"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:19.970545+00:00"}