{"created":"2021-03-01T07:02:08.758632+00:00","id":42279,"links":{},"metadata":{"_buckets":{"deposit":"2d251dcb-dcff-4ebb-99ce-8e5083b8ec2f"},"_deposit":{"id":"42279","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42279"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042279","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-515","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":"Realized volatility, which is the sum of squared intraday returns over a certain interval such as a day, has recently attracted the attention of financial economists and econometricians as an accurate measure of the true volatility. In the real market, however, the presence of non-trading hours and market microstructure noise in transaction prices may cause the bias in the realized volatility. On the other hand, daily returns are less subject to the noise and therefore may provide additional information on the true volatility. From this point of view, we propose modeling realized volatility and daily returns simultaneously based on well-known stochastic volatility model. Using intraday data of Tokyo stock price index, we show that this model can estimate realized volatility biases and parameters simultaneously.We take a Bayesian approach and propose an efficient sampling algorithm to implement the Markov chain Monte Carlo method for our simultaneous model. The result of the model comparison between the simultaneous models using both naive and scaled realized volatilities indicates that the effect of non-trading hours is more essential than that of microstructure noise but still the latter has to be considered for better fitting. Our Bayesian approach has an advantage over the conventional two-step correction procedure in that we are able to take the uncertainty in estimation of both biases and parameters into account for the prediction and the evaluation of Value-at-Risk.","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/2007/2007cf515ab.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":"Graduate School of Economics, University of Tokyo"},{"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":"Takahashi, Makoto"}],"nameIdentifiers":[{"nameIdentifier":"97288","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Omori, Yasuhiro"}],"nameIdentifiers":[{"nameIdentifier":"97289","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Watanabe, Toshiaki"}],"nameIdentifiers":[{"nameIdentifier":"97290","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Bias correction","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":"Realized volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"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":"Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously"}]},"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":"42279","relation_version_is_last":true,"title":["Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:27.307385+00:00"}