{"created":"2021-03-01T07:01:56.115166+00:00","id":42093,"links":{},"metadata":{"_buckets":{"deposit":"324726db-1301-4ca3-bf6c-ecb0ec4c59dc"},"_deposit":{"id":"42093","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42093"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042093","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-663","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 benefits of investing internationally depend on three conditions, namely cross-country correlations, market volatilities, and future changes in currency risks (see Odier and Solnik (1993)). This paper investigates these conditions for several countries. Many papers have modelled both domestic interactions across asset markets and international interactions in individual asset markets in isolation, but rarely have they examined international interactions across asset markets. The paper fills this gap by modelling the international interactions across stock, bond and foreign exchange markets. Two models that meet these purposes are the VARMA-AGARCH model of McAleer et al. (2009) and the VARMA-GARCH model of Ling and McAleer (2003). The countries that will be modelled in this paper are Australia, Japan, Singapore, New Zealand and USA.","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/2009/2009cf663ab.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":"Faculty of Economics Indonesian Islamic University"},{"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":"Abdul, Hakim"}],"nameIdentifiers":[{"nameIdentifier":"96871","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96872","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Cross-country correlations","subitem_subject_scheme":"Other"},{"subitem_subject":"Market volatilities","subitem_subject_scheme":"Other"},{"subitem_subject":"Currency risks","subitem_subject_scheme":"Other"},{"subitem_subject":"Domestic interactions","subitem_subject_scheme":"Other"},{"subitem_subject":"International interactions","subitem_subject_scheme":"Other"},{"subitem_subject":"Stocks","subitem_subject_scheme":"Other"},{"subitem_subject":"Bonds","subitem_subject_scheme":"Other"},{"subitem_subject":"Foreign exchange markets","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":"Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets"}]},"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":"42093","relation_version_is_last":true,"title":["Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:14:07.733275+00:00"}