{"created":"2021-03-01T07:01:59.612368+00:00","id":42144,"links":{},"metadata":{"_buckets":{"deposit":"74e1ca98-7dfe-4982-a75c-720fadf7b1c3"},"_deposit":{"id":"42144","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42144"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042144","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-10","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-680","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 estimates the long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the FIGARCH model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of Ding et al. (1993). The estimated d parameters, indicating long-term dependence, suggest that fractional integration is found in most of agricultural commodity futures returns series. In addition, the FIGARCH (1,d,1) and FIEGARCH(1,d,1) models are found to outperform their GARCH(1,1) and EGARCH(1,1) 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/2009/2009cf680ab.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 Maejo University"},{"subitem_text_value":"Department of Applied Economics National Chung Hsing University"},{"subitem_text_value":"Econometrics Institute Erasmus School of Economics Erasmus University Rotterdam"},{"subitem_text_value":"Tinbergen Institute"},{"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":"Tansuchat, Roengchai"}],"nameIdentifiers":[{"nameIdentifier":"97000","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Chang, Chia-Lin"}],"nameIdentifiers":[{"nameIdentifier":"97001","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"97002","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Long memory","subitem_subject_scheme":"Other"},{"subitem_subject":"agricultural commodity futures","subitem_subject_scheme":"Other"},{"subitem_subject":"fractional integration","subitem_subject_scheme":"Other"},{"subitem_subject":"asymmetric","subitem_subject_scheme":"Other"},{"subitem_subject":"conditional volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classifications: Q14, Q11, C22, C51.","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 Long Memory Volatility in Agricultural Commodity Futures Returns","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Modelling Long Memory Volatility in Agricultural Commodity Futures Returns"}]},"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":"42144","relation_version_is_last":true,"title":["Modelling Long Memory Volatility in Agricultural Commodity Futures Returns"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:23.648533+00:00"}