{"created":"2021-03-01T07:02:08.690983+00:00","id":42278,"links":{},"metadata":{"_buckets":{"deposit":"2b9a2827-b208-4323-a106-099aa399af3d"},"_deposit":{"id":"42278","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42278"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042278","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2007-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-514","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 proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. We illustrate our method using simulated data and analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based on the marginal likelihood for various SV models including the superposition model.","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/2007/2007cf514ab.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":"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":"Bank of Japan"},{"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":"Nakajima, Jouchi"}],"nameIdentifiers":[{"nameIdentifier":"97286","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Omori, Yasuhiro"}],"nameIdentifiers":[{"nameIdentifier":"97287","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Bayesian analysis","subitem_subject_scheme":"Other"},{"subitem_subject":"Correlated jumps","subitem_subject_scheme":"Other"},{"subitem_subject":"Heavy-tailed error","subitem_subject_scheme":"Other"},{"subitem_subject":"Jumps","subitem_subject_scheme":"Other"},{"subitem_subject":"Leverage effect","subitem_subject_scheme":"Other"},{"subitem_subject":"Markov chain Monte Carlo","subitem_subject_scheme":"Other"},{"subitem_subject":"Marginal likelihood","subitem_subject_scheme":"Other"},{"subitem_subject":"Mixture sampler","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Stock returns","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":"Leverage, heavy-tails and correlated jumps in stochastic volatility models","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Leverage, heavy-tails and correlated jumps in stochastic volatility models"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-06-03"},"publish_date":"2013-06-03","publish_status":"0","recid":"42278","relation_version_is_last":true,"title":["Leverage, heavy-tails and correlated jumps in stochastic volatility models"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:14:27.909236+00:00"}