{"created":"2021-03-01T07:01:55.836158+00:00","id":42089,"links":{},"metadata":{"_buckets":{"deposit":"9b8f5012-b807-43b5-84e2-0b4f3434f945"},"_deposit":{"id":"42089","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42089"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042089","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-668","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":"This paper examines the inclusion of the dollar/euro exchange rate together with important commodities in two different BEKK, or multivariate conditional covariance, models. Such inclusion increases the significant direct and indirect past shock and volatility effects on future volatility between the commodities, as compared with their effects in the all-commodity basic model (Model 1), which includes the highly-traded aluminum, copper, gold and oil. Model 2, which includes copper, gold, oil and exchange rate, displays more direct and indirect transmission than does Model 3, which replaces the business cycle-sensitive copper with the highly energy-intensive aluminum. Optimal portfolios should have more Euro than commodities, and more copper and gold than oil. The multivariate conditional volatility models reveal greater volatility spillovers than their univariate counterparts.","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/2009/2009cf668ab.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":"AA11450569","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":"Lebow College of Business Drexel University Philadelphia, PA"},{"subitem_text_value":"Econometric Institute Erasmus School of Economics Erasmus University Rotterdam"},{"subitem_text_value":"Tinbergen Institute The Netherlands"},{"subitem_text_value":"Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo"}]},"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":"Hammoudeh, Shawkat M."}],"nameIdentifiers":[{"nameIdentifier":"96857","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yuan, Yuan"}],"nameIdentifiers":[{"nameIdentifier":"96858","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96859","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"JEL: C51, E27, Q43","subitem_subject_scheme":"Other"},{"subitem_subject":"Multivariate GARCH","subitem_subject_scheme":"Other"},{"subitem_subject":"shocks","subitem_subject_scheme":"Other"},{"subitem_subject":"volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"transmission","subitem_subject_scheme":"Other"},{"subitem_subject":"portfolio weights","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":"Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42089","relation_version_is_last":true,"title":["Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:14:05.010423+00:00"}