{"created":"2021-03-01T07:01:49.505910+00:00","id":41997,"links":{},"metadata":{"_buckets":{"deposit":"67ab2827-bcfa-465e-928f-eb720bc41a28"},"_deposit":{"id":"41997","owners":[],"pid":{"revision_id":0,"type":"depid","value":"41997"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00041997","sets":["62:7433:7437","9:7435:7436"]},"item_8_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"}]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2008-02","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-J-191","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":"The stochastic volatility model has been popular to explain a dynamic structure of financial time series such asset returns. In this paper, we first consider the asymmetry that the increase in the volatility is followed by the decrease in the asset return. Then, we consider a Markov switching of two (high and low) volatility states using a random state variable which follows a Markov process. The restrictions for the identification of the switching parameters are determined by using a permutation sampler with Markov chain Monte Carlo method. The Markov switching asymmetric stochastic volatility model is applied to TOPIX returns data, and model comparisons are conducted.","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":"96636","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Ishihara, Tsunehiro"}]},{"nameIdentifiers":[{"nameIdentifier":"96637","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Omori, Yasuhiro"}]}]},"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/2008/2008cj191ab.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":"335","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":"東京大学大学院経済学研究科"}]},"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":"石原, 庸博"}],"nameIdentifiers":[{"nameIdentifier":"96634","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"大森, 裕浩"}],"nameIdentifiers":[{"nameIdentifier":"96635","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":"TOPIX収益率のマルコフ・スイッチング非対称確率的ボラティリティ変動モデルによる分析 : 順列サンプラーによる探索","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"TOPIX収益率のマルコフ・スイッチング非対称確率的ボラティリティ変動モデルによる分析 : 順列サンプラーによる探索"}]},"item_type_id":"8","owner":"1","path":["7436","7437"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"41997","relation_version_is_last":true,"title":["TOPIX収益率のマルコフ・スイッチング非対称確率的ボラティリティ変動モデルによる分析 : 順列サンプラーによる探索"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:19.458686+00:00"}