{"created":"2021-03-01T07:02:05.502604+00:00","id":42231,"links":{},"metadata":{"_buckets":{"deposit":"99b26e01-2ee0-49f1-8f28-418f972c20ce"},"_deposit":{"id":"42231","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42231"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042231","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-03","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-880","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":"The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with leverage and long memory. The dependent variable in the stochastic volatility model is the logarithm of the squared return, and its error distribution is approximated by a mixture of normals. In addition, we incorporate the logarithm of the realized volatility into the measurement equation, assuming that the latent log volatility follows an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to describe its long memory property. Using a state space representation, we propose an efficient Bayesian estimation method implemented using Markov chain Monte Carlo method (MCMC). Model comparisons are performed based on the marginal likelihood, and the volatility forecasting performances are investigated using S&P500 stock index returns.","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/2013/2013cf880ab.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_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 Echonomics, University of Tokyo"},{"subitem_text_value":"Mitsubishi UFJ Trust and Banking"},{"subitem_text_value":"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":"Shirota, Shinichiro"}],"nameIdentifiers":[{"nameIdentifier":"97189","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Hizu, Takayuki"}],"nameIdentifiers":[{"nameIdentifier":"97190","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Omori, Yasuhiro"}],"nameIdentifiers":[{"nameIdentifier":"97191","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"ARFIMA","subitem_subject_scheme":"Other"},{"subitem_subject":"Leverage effect","subitem_subject_scheme":"Other"},{"subitem_subject":"Long memory","subitem_subject_scheme":"Other"},{"subitem_subject":"Markov Chain Monte Carlo","subitem_subject_scheme":"Other"},{"subitem_subject":"Mixture sampler","subitem_subject_scheme":"Other"},{"subitem_subject":"Realized volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Realized stochastic volatility model","subitem_subject_scheme":"Other"},{"subitem_subject":"State space model","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 Stochastic Volatility with Leverage and Long Memory","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Realized Stochastic Volatility with Leverage and Long Memory"}]},"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":"42231","relation_version_is_last":true,"title":["Realized Stochastic Volatility with Leverage and Long Memory"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:25.583472+00:00"}