{"created":"2021-03-01T07:02:07.535303+00:00","id":42261,"links":{},"metadata":{"_buckets":{"deposit":"aaab3880-ec7c-46b2-8f82-8a8348327056"},"_deposit":{"id":"42261","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42261"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042261","sets":["62:7433:7437","9:7435:7436"]},"item_8_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Markov chain Monte Carlo method and its application to the stochastic volatility model"}]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2007-01","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-J-173","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-J"}]}]},"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 the time series analysis of asset prices, the stochastic volatility models have recently attracted attentions of many researchers since it clearly describes time-varying variance of asset returns. However, it is difficult to evaluate the likelihood and obtain the maximum likelihood estimators of parameters for such models. We take Bayesian approach and use Markov chain Monte Carlo (MCMC) method to overcome such a problem. We first describe MCMC method and conduct a survey of the literature for its application to the stochastic volatility model. The empirical analysis of stock returns data is also given.","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_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"97242","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Yasuhiro, Omori"}]},{"nameIdentifiers":[{"nameIdentifier":"97243","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Watanabe, Toshiaki"}]}]},"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/2007/2007cj173ab.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":"AA11451834","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","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":"東京大学大学院経済学研究科"},{"subitem_text_value":"一橋大学経済研究所"}]},"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":"大森, 裕浩"}],"nameIdentifiers":[{"nameIdentifier":"97240","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"渡部, 敏明"}],"nameIdentifiers":[{"nameIdentifier":"97241","nameIdentifierScheme":"WEKO"}]}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"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":"MCMC法とその確率的ボラティリティ変動モデルへの応用","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"MCMC法とその確率的ボラティリティ変動モデルへの応用"}]},"item_type_id":"8","owner":"1","path":["7436","7437"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-06-03"},"publish_date":"2013-06-03","publish_status":"0","recid":"42261","relation_version_is_last":true,"title":["MCMC法とその確率的ボラティリティ変動モデルへの応用"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:27.369527+00:00"}