{"created":"2021-03-01T07:01:58.802271+00:00","id":42132,"links":{},"metadata":{"_buckets":{"deposit":"8605e56a-d3a4-4425-b29f-b27926ce7ab1"},"_deposit":{"id":"42132","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42132"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042132","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-12","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-699","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":"Most multivariate variance models suffer from a common problem, the \"curse of dimensionality\". For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with milder restrictions, whose purpose was to combine the need for interpretability and efficiency faced by model users with the computational problems that may emerge when the number of assets is quite large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic volatility models.","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/2009/2009cf699ab.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 Soka University"},{"subitem_text_value":"Department of Economics and Management“Marco Fanno”University of Padova"},{"subitem_text_value":"Econometric Institute Erasmus University Rotterdam Erasmus School of Economics"},{"subitem_text_value":"Tinbergen Institute"}]},"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":"Asai, Manabu"}],"nameIdentifiers":[{"nameIdentifier":"96967","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Caporin, Massimiliano"}],"nameIdentifiers":[{"nameIdentifier":"96968","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96969","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"block structures","subitem_subject_scheme":"Other"},{"subitem_subject":"multivariate stochastic volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"curse of dimensionality","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL classifications: C32, C51, C10.","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":"Block Structure Multivariate Stochastic Volatility Models","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Block Structure Multivariate Stochastic Volatility 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":"42132","relation_version_is_last":true,"title":["Block Structure Multivariate Stochastic Volatility Models"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:18.975187+00:00"}