{"created":"2021-03-01T07:01:59.072256+00:00","id":42136,"links":{},"metadata":{"_buckets":{"deposit":"63dbdd15-3097-443f-9cc0-a53adac57296"},"_deposit":{"id":"42136","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42136"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042136","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-693","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":"In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are nearly gaussian, this unpredictability brings considerably more uncertainty to the empirically relevant ex ante distribution of returns. Carefully modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility (DARV) model, which incorporates the important fact that realized volatility series are systematically more volatile in high volatility periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of the empirical advantages of the model using data on the S&P 500 index and eight other indexes and stocks.","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/2009/2009cf693ab.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":"School of Accounting, Finance and Economics Edith Cowan University"},{"subitem_text_value":"Econometric Institute Erasmus School of Economics Erasmus University Rotterdam"},{"subitem_text_value":"Tinbergen Institute"},{"subitem_text_value":"Centre for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo"},{"subitem_text_value":"VU University Amsterdam"}]},"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":"Allen, David E."}],"nameIdentifiers":[{"nameIdentifier":"96978","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96979","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Scharth, Marcel"}],"nameIdentifiers":[{"nameIdentifier":"96980","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Realized volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"volatility of volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"value-at-risk","subitem_subject_scheme":"Other"},{"subitem_subject":"forecasting","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":"Realized Volatility Risk","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Realized Volatility Risk"}]},"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":"42136","relation_version_is_last":true,"title":["Realized Volatility Risk"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:23.006390+00:00"}