{"created":"2021-03-01T07:01:57.755011+00:00","id":42117,"links":{},"metadata":{"_buckets":{"deposit":"20d5436a-adf2-4974-8eac-d0c5f0bae865"},"_deposit":{"id":"42117","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42117"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042117","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-08","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-638","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":"Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal \"curse of dimensionality\" whereas DCC does not. This is a misleading interpretation of the suitability of the two models to be used in practice. The primary purposes of the paper are to define targeting as an aid in estimating matrices associated with large numbers of financial assets, analyze the similarities and dissimilarities between BEKK and DCC, both with and without targeting, on the basis of structural derivation, the analytical forms of the sufficient conditions for the existence of moments, and the sufficient conditions for consistency and asymptotic normality, and computational tractability for very large (that is, ultra high) numbers of financial assets, to present a consistent two step estimation method for the DCC model, and to determine whether BEKK or DCC should be preferred in practical applications.","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/2009/2009cf638ab.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":"Dipartimento di Scienze Economiche “Marco Fanno”Universita degli Studi di Padova"},{"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":"Caporin, Massimiliano"}],"nameIdentifiers":[{"nameIdentifier":"96934","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96935","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Conditional correlations","subitem_subject_scheme":"Other"},{"subitem_subject":"conditional covariances","subitem_subject_scheme":"Other"},{"subitem_subject":"diagonal models","subitem_subject_scheme":"Other"},{"subitem_subject":"forecasting","subitem_subject_scheme":"Other"},{"subitem_subject":"generalized models","subitem_subject_scheme":"Other"},{"subitem_subject":"Hadamard models","subitem_subject_scheme":"Other"},{"subitem_subject":"scalar models","subitem_subject_scheme":"Other"},{"subitem_subject":"targeting","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Codes: G11, G33, C32","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":"Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models"}]},"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":"42117","relation_version_is_last":true,"title":["Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:23.246842+00:00"}