{"created":"2021-03-01T07:02:02.114798+00:00","id":42181,"links":{},"metadata":{"_buckets":{"deposit":"4f4bfaee-9f4d-4632-9982-339000ed3e03"},"_deposit":{"id":"42181","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42181"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042181","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-08","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-812","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":"A multivariate stochastic volatility model with dynamic correlation and leverage effect is described and estimated. The matrix exponential transformation is used to keep the time-varying covariance matrices positive definite. An efficient Bayesian estimation method using Markov chain Monte Carlo is proposed. Of particular interest is our approach for sampling the latent state variables from the conditional posterior distribution, using a blocked multi-move Metropolis-Hastings sampling, in which the proposal density is derived from an approximating linear Gaussian state space model. The proposed model is applied to the daily stock price index, the Japanese bond price index, and the Yen/USD exchange rate returns data.","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/2011/2011cf812ab.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":"Graduate School of Economics, University of Tokyo"},{"subitem_text_value":"Faculty of Economics, University of Tokyo"},{"subitem_text_value":"Faculty of Economics, Soka University"}]},"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":"Ishihara, Tsunehiro"}],"nameIdentifiers":[{"nameIdentifier":"97092","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Omori, Yasuhiro"}],"nameIdentifiers":[{"nameIdentifier":"97093","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Asai, Manabu"}],"nameIdentifiers":[{"nameIdentifier":"97094","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Asymmetry","subitem_subject_scheme":"Other"},{"subitem_subject":"Dynamic correlation","subitem_subject_scheme":"Other"},{"subitem_subject":"Cross leverage effect","subitem_subject_scheme":"Other"},{"subitem_subject":"Matrix exponential","subitem_subject_scheme":"Other"},{"subitem_subject":"Markov chain Monte Carlo","subitem_subject_scheme":"Other"},{"subitem_subject":"Multi-move sampler","subitem_subject_scheme":"Other"},{"subitem_subject":"Multivariate stochastic volatility","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":"Matrix Exponential Stochastic Volatility with Cross Leverage","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Matrix Exponential Stochastic Volatility with Cross Leverage"}]},"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":"42181","relation_version_is_last":true,"title":["Matrix Exponential Stochastic Volatility with Cross Leverage"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:19.095536+00:00"}