{"created":"2021-03-01T07:02:00.421232+00:00","id":42156,"links":{},"metadata":{"_buckets":{"deposit":"1929dfd8-8bfc-404e-a769-860aaf008849"},"_deposit":{"id":"42156","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42156"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042156","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-05","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-741","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 examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the commodities in all the models. Model 2, which includes the business cycle industrial metal copper and not aluminum, displays more direct and indirect transmissions than does Model 3, which replaces the business cycle-sensitive copper with the highly energy-intensive aluminum. The asymmetric effects are the greatest in Model 3 because of the high interactions between oil and aluminum. Optimal portfolios should have more euro currency than commodities, and more copper and gold than oil.","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/2010/2010cf741ab.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":"Lebow College of Business, Drexel University, Philadelphia, PA"},{"subitem_text_value":"Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands"},{"subitem_text_value":"Tinbergen Institute, The Netherlands"},{"subitem_text_value":"Department of Economics and Finance, University of Canterbury, New Zealand"}]},"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":"Hammoudeh, Shawkat M."}],"nameIdentifiers":[{"nameIdentifier":"97024","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yuan, Yuan"}],"nameIdentifiers":[{"nameIdentifier":"97025","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"97026","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"JEL: C51, E27, Q43","subitem_subject_scheme":"Other"},{"subitem_subject":"MGARCH","subitem_subject_scheme":"Other"},{"subitem_subject":"shocks","subitem_subject_scheme":"Other"},{"subitem_subject":"volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"transmission","subitem_subject_scheme":"Other"},{"subitem_subject":"asymmetries","subitem_subject_scheme":"Other"},{"subitem_subject":"hedging","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":"Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies"}]},"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":"42156","relation_version_is_last":true,"title":["Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T05:04:17.896817+00:00"}