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Modelling the Asymmetric Volatility of Electronics Patents in the USA
http://hdl.handle.net/2261/2484
http://hdl.handle.net/2261/248416c9b586-5388-407a-bf07-e1867fe8aa88
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Modelling the Asymmetric Volatility of Electronics Patents in the USA | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Electronics partents | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | patent share | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | innovation | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | GARCH | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | GJR | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | EGARCH | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | asymmetry | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Chan, Felix
× Chan, Felix× Dora, Marinova× Michael, McAleer |
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| 著者所属 | ||||||
| 著者所属 | University of Western Australia | |||||
| 著者所属 | ||||||
| 著者所属 | Murdoch University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Since the 1970s, electronics and associated electrical equipment (henceforth "electronics") has been one of the most dominant industries in the developed countries, with its geographical centre firmly rooted in the USA. The overall presence of electronics patents in the USA is considerable, with the share of electronics reaching 31% of all US patents in 1996 and total electronics patents reaching close to 170,000 in 1997. For the empirical analysis, the time-varying nature of volatility in the electronics patent share, namely the ratio of US electronics patents to total US patents, is examined using monthly data from January 1975 to December 1997. As negative and positive movements in the patent share may have different impacts on innovative activity, and hence on volatility, both symmetric and asymmetric models of volatility are estimated. The estimated models are the symmetric AR(1)-GARCH(1,1), the asymmetric AR(1)-GJR(1,1), and asymmetric AR(1)-EGARCH(1,1). Of these, the asymmetric AR(1)-GJR(1,1) model is found to be suitable for modelling the electronics patent share in the USA. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Mathematics and Computers in Simulation. 掲載予定. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 2003-CF-208, 発行日 2003-03 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf208ab.html | |||||
